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: 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.