ReturnAttributionAnalysis¶
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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.
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classmethod
get_factor_return_attribution
(fund_tms: qf_lib.containers.series.qf_series.QFSeries, fit_tms: qf_lib.containers.series.qf_series.QFSeries, regressors_df: qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, coefficients: qf_lib.containers.series.qf_series.QFSeries, alpha: float) → Tuple[qf_lib.containers.series.qf_series.QFSeries, float][source]¶ Returns performance attribution for each factor in given regressors and also calculates the unexplained return.
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classmethod