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longbridge-performance-attribution

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Original

English
🇨🇳

Translation

Chinese

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.
通过Brinson-Hood-Beebower行业归因法和多因子回归，将投资组合的收益拆解为可归因的组成部分。可解答如下问题：“我的收益增值来自行业配置还是个股选择？”以及“我的α中有多少来自市场β，多少来自真实投资能力？”
响应语言：匹配用户输入语言——简体中文/繁体中文/英文。

When to use

使用场景

  • 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.
  • 用户希望了解投资组合盈亏（P&L）的来源：例如“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”。
  • 需要具备Trade权限的长桥（Longbridge）账号登录以读取持仓信息。

Workflow

工作流程

  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
  4. Fetch each position's daily candles (up to 10 positions; skip if > 10, note limitation): 
    longbridge kline <SYMBOL> --period day --count 252 --format json
  5. Brinson Attribution (use current weights from positions; group by industry):
    • Allocation effect = (w_p,i − w_b,i) × (r_b,i − r_b)
    • Selection effect = w_b,i × (r_p,i − r_b,i)
    • Interaction = (w_p,i − w_b,i) × (r_p,i − r_b,i)
    • Total active return = sum of all three
  6. Factor decomposition (OLS regression of portfolio excess return on factors):
    • Market: (r_benchmark − r_f)
    • Momentum: (60-day return rank)
    • Report α (intercept), β_market, with t-stats
  7. 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.
  1. 获取投资组合持仓：
    longbridge positions --format json
  2. 获取投资组合盈亏：
    longbridge portfolio --format json
  3. 获取基准指数日K线数据（默认：美股为SPX.US，港股为HSI.HK，A股为000300.SH）： 
    longbridge kline <BENCHMARK> --period day --count 252 --format json
  4. 获取每只持仓标的的日K线数据（最多支持10只持仓；若超过10只则跳过，请注意此限制）： 
    longbridge kline <SYMBOL> --period day --count 252 --format json
  5. Brinson归因分析（使用持仓当前权重；按行业分组）：
    • 配置效应 = (w_p,i − w_b,i) × (r_b,i − r_b)
    • 选股效应 = w_b,i × (r_p,i − r_b,i)
    • 交互效应 = (w_p,i − w_b,i) × (r_p,i − r_b,i)
    • 总主动收益 = 上述三者之和
  6. 因子分解（投资组合超额收益对因子的OLS回归）：
    • 市场因子：(r_benchmark − r_f)
    • 动量因子：（60日收益率排名）
    • 输出α（截距项）、市场β，以及t统计量
  7. 择时能力分析（T-M模型）：将投资组合超额收益对(r_b − r_f) + (r_b − r_f)²进行回归；若γ > 0则表明具备正向择时能力。
运行
longbridge positions --help
和
longbridge portfolio --help
以确认当前命令参数名称。

CLI

命令行界面（CLI）

bash
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
bash
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

输出内容

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βMarket β
Alpha (Jensen)超额收益α超額收益αJensen 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.
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βMarket β
Alpha (Jensen)超额收益α超額收益αJensen α
Timing ability γ择时系数擇時係數Timing coefficient γ
输出内容顺序：按行业划分的Brinson归因表 → 因子分解结果 → 择时能力结论 → 三句解读总结。需标注Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券。

Error handling

错误处理

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-terminalFall 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
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-terminalFall 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

MCP fallback方案

  • mcp__longbridge__positions
    for holdings; 
    mcp__longbridge__candlesticks
    for price series when CLI is unavailable.
  • 当CLI不可用时，使用
    mcp__longbridge__positions
    获取持仓数据；使用
    mcp__longbridge__candlesticks
    获取价格序列数据。

Related skills

相关技能

  • 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
  • longbridge-portfolio
    — 盈亏曲线与账户级汇总
  • longbridge-positions
    — 原始持仓数据
  • longbridge-multifactor
    — 用于选股的因子模型
  • longbridge-correlation
    — 用于因子分解的协方差矩阵

File layout

文件结构

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