Struct FactorAttribution 

pub struct FactorAttribution;

Multi-factor return attribution.

Given factor exposures (betas) and factor returns, decomposes portfolio return into factor contributions and an idiosyncratic residual (alpha).

Example

use fin_primitives::attribution::{FactorAttribution, FactorReturns};

let betas = FactorReturns { market: 1.1, size: 0.2, value: -0.1, momentum: 0.3, quality: 0.05 };
let factor_returns = FactorReturns { market: 0.01, size: 0.002, value: -0.001, momentum: 0.003, quality: 0.001 };
let portfolio_return = 0.015;
let result = FactorAttribution::compute(&betas, &factor_returns, portfolio_return).unwrap();
assert!(result.total_factor_return.is_finite());

Implementations

impl FactorAttribution

pub fn compute( betas: &FactorReturns, factor_returns: &FactorReturns, portfolio_return: f64, ) -> Result<FactorAttributionResult, FinError>

Decompose portfolio_return into factor contributions and alpha.

Each factor contribution is beta_i * factor_return_i.

Errors

Returns FinError::InvalidInput if any beta or factor return is non-finite.