Profit Attribution Detail
The Profit Attribution Detail add-in provides additional information about the profit attribution selected in the main grid.
This add-in requires a profit attribution to be displayed in the main grid. It reflects the profit attribution of the row selected in the main grid and the date range indicated at the bottom right of the application. The date range of the entire screen (main grid and add-in), can be changed under the Screen tab on the right side of the application.
The first thing the add-in does is divide the total profit in each attribution bucket into an active and passive component. The passive component is the profit that would have been attributed to the factor bucket if you had kept your factor exposure(s) constant. The active component is the difference between the realized attribution and the passive amount. So, for example, if your average exposure to the market factor was zero for the year, but you were long when the market was going up and short when the market was going down, then you would have zero profit under passive, but positive profit under active and total.
The add-in also calculates the Sharpe ratio and p-value for each factor. The Sharpe ratio is just the annualized return divided by the annualized standard deviation, based on daily factor returns. To avoid double counting, no risk-free rate is subtracted from the factor return (this is different from the standard Sharpe ratio calculation in the application).