skfolio.attribution.AssetByFactorContribution#

class skfolio.attribution.AssetByFactorContribution(asset_names, factor_names, vol_contrib, mu_contrib)[source]#

Asset-by-factor contribution breakdown.

Breaks down factor contributions by asset. Each cell is the contribution of one asset to one factor’s total contribution.

Summing over assets gives per-factor contributions. Summing over factors gives each asset’s systematic contribution.

For single-point attribution, arrays have shape (n_assets, n_factors). For rolling attribution, arrays have shape (n_windows, n_assets, n_factors).

Attributes:

asset_namesndarray of shape (n_assets,): Asset names.
factor_namesndarray of shape (n_factors,): Factor names.
vol_contribndarray of shape (n_assets, n_factors) or (n_windows, n_assets, n_factors): Volatility contribution for each asset-factor pair.
mu_contribndarray of shape (n_assets, n_factors) or (n_windows, n_assets, n_factors): Return contribution for each asset-factor pair.