Identify where the returns and the risks of an index-tracking equity portfolio come from

An index portfolio's return is essentially the benchmark return, so return attribution focuses on the index's own sector, country and factor exposures, plus a small residual from how the portfolio differs from the index. The manager can add a little through securities lending fees, and index investors also carry stewardship duties through proxy voting and engagement. Risks include the index's systematic risk, tracking error from imperfect replication, counterparty and collateral reinvestment risk in securities lending, basis and roll risk when futures or swaps are used, and concentration when cap weighting loads weight into a few large stocks. The trap is treating lending income as free: reinvested collateral can lose value, and recalling lent shares to vote gives up fees.