longbridge-performance-attribution

longbridge-performance-attribution

Decomposes a portfolio's return into attributable components using Brinson-Hood-Beebower sector attribution and multi-factor regression. Answers: "did I add value through industry allocation or stock selection?" and "how much of my alpha is market beta vs true skill?".

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

• User wants to understand the sources of their portfolio P&L: "我的超额收益来自哪里", "是选股好还是配置好", "performance attribution AAPL TSLA", "我的 alpha 来源".
• Requires Longbridge login with Trade scope to read positions.

Workflow

1. Fetch portfolio positions: longbridge positions --format json
2. Fetch portfolio P&L: longbridge portfolio --format json
3. Fetch benchmark daily candles (default: SPX.US for US, HSI.HK for HK, 000300.SH for CN):

longbridge kline <BENCHMARK> --period day --count 252 --format json

1. Fetch each position's daily candles (up to 10 positions; skip if > 10, note limitation):

longbridge kline <SYMBOL> --period day --count 252 --format json

1. Brinson Attribution (use current weights from positions; group by industry):
2. Allocation effect = (w_p,i − w_b,i) × (r_b,i − r_b)
3. Selection effect = w_b,i × (r_p,i − r_b,i)
4. Interaction = (w_p,i − w_b,i) × (r_p,i − r_b,i)
5. Total active return = sum of all three
6. Factor decomposition (OLS regression of portfolio excess return on factors):
7. Market: (r_benchmark − r_f)
8. Momentum: (60-day return rank)
9. Report α (intercept), β_market, with t-stats
10. Timing (T-M model): regress portfolio excess return on (r_b − r_f) + (r_b − r_f)²; γ > 0 indicates positive timing ability.

Run longbridge positions --help and longbridge portfolio --help to verify current flag names.

CLI

longbridge positions --help
longbridge portfolio --help
longbridge kline --help

longbridge positions --format json
longbridge portfolio --format json
longbridge kline <BENCHMARK> --period day --count 252 --format json
longbridge kline <SYMBOL>    --period day --count 252 --format json

Output

| Component | 简体 | 繁體 | English | |---|---|---|---| | Allocation effect | 配置效应 | 配置效應 | Allocation effect | | Selection effect | 选股效应 | 選股效應 | Selection effect | | Interaction effect | 交互效应 | 交互效應 | Interaction effect | | Market beta | 市场β | 市場β | Market β | | Alpha (Jensen) | 超额收益α | 超額收益α | Jensen α | | Timing ability γ | 择时系数 | 擇時係數 | Timing coefficient γ |

Output: Brinson table by industry → factor decomposition → timing verdict → 3-sentence interpretive summary. Cite Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券.

Error handling

| Situation | 简体回复 | 繁體回復 | English reply | |---|---|---|---| | command not found: longbridge | 回退到 MCP 或提示安装 longbridge-terminal | 回退到 MCP 或提示安裝 longbridge-terminal | Fall back to MCP or install longbridge-terminal | | not logged in / unauthorized | 请运行 longbridge auth login（需 Trade 权限） | 請執行 longbridge auth login（需 Trade 權限） | Run longbridge auth login with Trade scope | | Empty positions | 账户暂无持仓，无法归因 | 賬戶暫無持倉 | No positions found; nothing to attribute | | > 10 positions | 持仓超过10只，仅归因前10大持仓 | 持倉超過10只 | Attribution limited to top-10 positions | | Other stderr | 直接显示原始错误 | 直接顯示原始錯誤 | Surface verbatim |

MCP fallback

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime.

Related skills

• longbridge-portfolio — P&L curve and account-level summary
• longbridge-positions — raw holdings
• longbridge-multifactor — factor model for stock selection
• longbridge-correlation — covariance matrix for factor decomposition

File layout

longbridge-performance-attribution/
└── SKILL.md