  We consider an investment process that includes a number of features, each of
which can be active or inactive. Our goal is to attribute or decompose an
achieved performance to each of these features, plus a baseline value. There
are many ways to do this, which lead to potentially different attributions in
any specific case. We argue that a specific attribution method due to Shapley
is the preferred method, and discuss methods that can be used to compute this
attribution exactly, or when that is not practical, approximately.
