ReturnAttributionAnalysis

class qf_lib.common.timeseries_analysis.return_attribution_analysis.ReturnAttributionAnalysis[source]

Bases: object

Class used for calculating metrics of performance attribution.

Methods:

get_factor_return_attribution(fund_tms, ...)

Returns performance attribution for each factor in given regressors and also calculates the unexplained return.

classmethod get_factor_return_attribution(fund_tms: QFSeries, fit_tms: QFSeries, regressors_df: QFDataFrame, coefficients: QFSeries, alpha: float) → Tuple[QFSeries, float][source]: Returns performance attribution for each factor in given regressors and also calculates the unexplained return.