Performance Attribution: Selection, Sizing, and Timing

A portfolio that earns $50M in a bull market has told you almost nothing about the PM's skill. The$50M is the Sun's frame of reference — a total return that mixes market beta, factor tilts, and actual stock-picking. Only when those layers are stripped away does the Earth's frame come into view: idiosyncratic PnL, and within that, the fraction attributable to which stocks the PM chose (selection), how much she sized them (sizing), and when she held them (timing). These three dimensions, measured over many periods, are the only reliable diagnostic for what a PM is actually good at — and what she is systematically giving away.