SQL and Investment Performance Measurement

Part III: Brinson-Fachler Performance Attribution, Daily In parts I and II , we set up a test database with some data and three views producing performance time series data for different portfolio structures. In this part, I will add two user-defined functions to give us the following: Performance time series of a portfolio and a benchmark combined Daily performance attribution and performance contribution results The functions are rather long, approximately 50 and 160 lines of code, respectively, so the full version of the latter will only be available in my GitHub repository . Benchmarking Let's start by adding benchmark data to our portfolio time series. The view  vPerformanceTimeSeries was developed in Part II and computes portfolio market values, cash flows, and returns in the structures defined in table Structure . In this test environment, any portfolio can act as a benchmark - there are no specialized tables for benchmark data. Thus, we want to combine, for each day and ...