  Performance analysis, from the external point of view of a client who would
only have access to returns and holdings of a fund, evolved towards exact
attribution made in the context of portfolio optimisation, which is the
internal point of view of a manager controlling all the parameters of this
optimisation. Attribution is exact, that-is-to-say no residual "interaction"
term remains, and various contributions to the optimal portfolio can be
identified: predictive signals, constraints, benchmark. However constraints are
identified as a separate portfolio and attribution for each signal that are
used to predict future returns thus corresponds to unconstrained signal
portfolios. We propose a novel attribution method that put predictive signals
at the core of attribution and allows to include the effect of constraints in
portfolios attributed to every signal. We show how this can be applied to
various trading models and portfolio optimisation frameworks and explain what
kind of insights such an attribution provides.
