Recursion/Self referencing & year-to-date attribution effect

[JoeriT]

Hello Fabric Community,

I hope you're all doing well! I'm currently working on a project where I need to calculate the year-to-date cumulative attribution effect for investment portfolio analysis in Power BI, and I've encountered a bit of a roadblock.

Here's a breakdown of the problem:

I have a formula that calculates the Year-to-date cumulative attribution effect:

Ei' = (Ei-1')(1+BRi/100) + (Ei)(1+PRi-1'/100)

where:

• Ei' is the cumulative attribution effect through period i.
• Ei-1' is the cumulative attribution effect in period i-1.
• BRi is the benchmark return in period i.
• Ei is the attribution effect in period i.
• PRi-1' is the cumulative portfolio return through period i-1.

Note that on the 1st of January no historical data should be used in this formula (even though the dataset contains data from multiple years):

Ei' = (0)(1+BRi/100) + (Ei)(1+0/100)

Thus on January 1st:

Ei' = Ei

I find it difficult to implement the logic correctly, particularly the self-referencing. I read in other posts that a work-around for self-referencing in formulas is to make the formula closed-form. Could anyone provide guidance on the possibility of making this formula closed form and if possible, how to write a code for this formula that works in DAX?

Below you find some sample data and in column G the excel calculation for this formula.

	A	B	C	D	E	F	G
1	Date	Port. Total Return	Cumu. Port. Total Return	Bench. Total Return	Attribution effect	Cumulative attribution effect	Excel formula
2	1-1-2024	-0,282	-0,282	-0,222	-0,001	-0,001366	‘=E2
3	2-1-2024	-0,13	-0,411	-0,176	0,0163	0,014863917	‘=F2*(1+D3/100)+E3*(1+C2/100)
4	3-1-2024	-0,494	-0,903	-0,496	-0,023	-0,00787653	‘=F3*(1+D4/100)+E4*(1+C3/100)
5	4-1-2024	-0,177	-1,078	-0,181	0,0359	0,02771068	‘=F4*(1+D5/100)+E5*(1+C4/100)
6	5-1-2024	-0,02	-1,098	-0,003	-0,02	0,00814329	‘=F5*(1+D6/100)+E6*(1+C5/100)
7	6-1-2024	-0,252	-1,347	-0,222	-0,023	-0,01474788	‘=F6*(1+D7/100)+E7*(1+C6/100)

Note that column G contains the excel formulas I use to calculate column F. I want to replicate the results in column F by dax code.

Any insights or suggestions would be greatly appreciated!

Thank you in advance for your help.

[v-yilong-msft]

Hi @JoeriT ,

I create a table as you mentioned.

Then I create a column and here is the DAX code.

Column =
VAR CurrentDate = 'Table'[Date]
VAR CurrentAttributionEffect = 'Table'[Attribution effect]
VAR CurrentBenchmarkReturn = 'Table'[Bench. Total Return]
VAR CurrentPortfolioReturn = 'Table'[Cumu. Port. Total Return]
VAR PreviousCumulativeAttributionEffect =
    CALCULATE (
        SUMX (
            FILTER ( ALL ( 'Table' ), 'Table'[Date] < CurrentDate ),
            'Table'[Cumulative attribution effect]
        ),
        ALL ( 'Table' )
    )
RETURN
    IF (
        CurrentDate = DATE ( YEAR ( CurrentDate ), 1, 1 ),
        CurrentAttributionEffect,
        PreviousCumulativeAttributionEffect * ( 1 + CurrentBenchmarkReturn / 100 ) + CurrentAttributionEffect * ( 1 + CurrentPortfolioReturn / 100 )
    )

Finally you can get what you want.

Best Regards

Yilong Zhou

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[JoeriT]

Hi @v-yilong-msft 

Thank you for your reply.

My apologies. I did not include the row numbers in the sample data. I edited this now. Column G is just to clarify how I calculate Column F. I want to write a dax code that calculates Column F.