Whitepaper: Profit and Loss Attribution Analysis

P&L Analysis for a Linear and a Non-Linear Portfolio

Most companies with a dynamic portfolio of assets usually analyze their daily / monthly P&L in great detail. One of the most commonly desired analyses is P&L Attribution – which can show the traders a breakdown of various factors which have affected the P&L.

The attribution can give a clear picture of which fundamental factors have impacted the P&L positively or negatively and by how much – and the analysis can be done for any time period. The results can then be checked against trader’s views on each of those fundamental factors before they built / changed the portfolio to its current shape. It not only acts as a check for the traders, but also as a feed-forward mechanism for the teams who can see clear patterns emerging in the underlying fundamentals and their calls on those fundamental factors.

What can you learn from this paper?


This whitepaper on P&L Attribution Analysis aims to identify the factors that contribute to the change in a portfolio’s market value between two time periods. The factors could be market movements, new positions, closure of positions or contract amendments or even corrections.

Since P&L attribution gives insights into the reasons behind a certain change in the Portfolio MTM month-on-month or week-on-week etc., it gives a sort of operational control on the portfolio and also highlights any aberrations (like amendments or corrections) which may have otherwise given a false impression of a huge spike or fall in the MTM.

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