Fundamental Portfolio Accounting

Given a certain stock level extensive quantity and a portfolio, we can aggregate the stock quantities across the holdings of the portfolio. The extensive quantity can be profits, assets, dividends, carbon emissions etc. We can then study its dynamics at the portfolio level over a certain time period, and relate it to variations observed at the stock level through a form of attribution. By carefully splitting the time period into buy-and- hold intervals, we can properly identify the contribution of variations in stock level quantities to portfolio quantities. We illustrate such decomposition with an analysis of the value versus growth debate. Another use case is the analysis of the relationship between portfolio carbon emissions and stock level emissions, as required by net zero investment policies