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Brinson module

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共包含四个模块:

Module 1: 基准数据和投资组合数据预处理函数(补全行业分类和个股收益率) Module 2: 计算基准和投资组合的权重和收益矩阵 Module 3: Brinson多期模型核心算法,计算投资组合相对基准的择时收益、选股收益和交互收益 Module 4: 主函数模块

  • 总体输入:DF数据格式 input 1:基准数据(日期+代码+权重)index不指定 input 2:个股收益率和行业分类 input 3:持仓数据 持仓日期、股票代码、权重或者市值等可以计算出权重的数据(需要补全收益率和行业分类) index不指定 input 1和input3,结构一致用持仓(日期+代码+权重)作为输入。模块结合input2个股收益率,行业分类数据, 去帮用户计算基准和组合的行业权重及收益率

  • 总体输出: output 1:基于交易日的 归因结果 DF

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