Portfolio analysts often use one set of decision variables for attributing portfolio returns and a different set for attributing risk. This practice obscures the relationship between the sources of risk and return. This article demonstrates how to align the attribution model with the investment...

Quantitative risk management relies on a constellation of tools that are used to analyze portfolio risk. We develop the standard toolkit, which includes betas, risk budgets and correlations, in a general, coherent, mnemonic framework centered around marginal risk contributions. We apply these...