Distinguish attribution of return from attribution of risk, and macro-level from micro-level return attribution

Return attribution explains the sources of excess return after the event. Risk attribution explains where the portfolio's risk comes from, measured as active risk (tracking error) for a benchmark-relative mandate or as total volatility for an absolute-return one, and can be run ex ante or ex post. They answer different questions: a manager may earn most of the excess return in one sector while taking most of the active risk in another, which calls the risk budget into question. Macro attribution works at the level of the whole fund and the asset owner's decisions: strategic weights, tactical deviations and the choice of managers. Micro attribution works inside one manager's portfolio, explaining that manager's allocation and selection decisions against the mandate benchmark.