skfolio.attribution.BaseBreakdown

class skfolio.attribution.BaseBreakdown(names, vol_contrib, pct_total_variance, mu_contrib)

Base class for attribution breakdowns.

Stores common per-item volatility and return contributions for factor, family and asset attribution breakdowns.

For single-point attribution, numeric fields are 1D arrays of shape (n_items,). For rolling attribution (from rolling_realized_factor_attribution), numeric fields are 2D arrays of shape (n_windows, n_items).

Attributes:

namesndarray of shape (n_items,)

Item names: factors, families, or assets.

vol_contribndarray of shape (n_items,) or (n_windows, n_items)

Volatility contribution to total portfolio volatility.

pct_total_variancendarray of shape (n_items,) or (n_windows, n_items)

Percentage of total portfolio variance.

mu_contribndarray of shape (n_items,) or (n_windows, n_items)

Return contribution to total portfolio return.