The return attribution presented in the Brinson examples focused on the bottom-up approach, where the attribution effects were calculated at security and sector levels and then summed to determine their impact at the total portfolio and fund levels.
A similar return attribution approach can be done at multiple levels of the decision process to evaluate different decisions.
Consider an example in which the top level is the fund sponsor. At the fund sponsor level, the first decision might be to allocate a certain weight to asset classes—the strategic asset allocation. If the fund sponsor does not manage funds internally, it would delegate a second investment decision to the investment managers to decide on any tactical deviations from the strategic asset allocation. The sponsor might also select multiple portfolio managers to manage against specific mandates within a given asset class.
The attribution analysis that we use to determine the impact of these fund sponsor decisions is sometimes called macro attribution. The attribution of the individual portfolio manager decisions is sometimes called the micro attribution.
Fund sponsors first determine the strategic asset allocation for the portfolio by assigning specific weights to the asset classes. Assuming the fund sponsor decides to hire external portfolio managers for tactical asset allocation purposes, then macro attribution allows for the determination of the effect of such decisions by the fund sponsors.