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The aim of attribution analysis is to explain the impact of active management decisions on the risk and return of a portfolio. For such an analysis to be meaningful, the attribution model must reflect the investment process. One approach to risk attribution is known as stand-alone volatility analysis and centers on the volatility of each return contribution viewed in isolation. Another approach to risk attribution is based on the marginal contribution to risk, which is defined as a partial derivative. In this article, the authors present a more insightful approach to risk attribution that combines the strengths of stand-alone volatility analysis with the virtues of the marginal contribution approach. The main contribution of this article is to codify and extend the earlier work of Menchero and Hu [20061. The result is a flexible and general risk attribution framework capable of drilling down to the finest level of granularity. The authors show …