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Trading-profit attribution for the size factor

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  • Vassilios Papathanakos

Abstract

An algorithm was recently introduced by INTECH for the purposes of estimating the trading-profit contribution of systematic rebalancing to the relative return of rules-based investment strategies. We apply this methodology to analyze the size factor through the use of equal-weighted portfolios. These strategies combine a natural exposure to the size factor with a simple understanding within the framework of Stochastic Portfolio Theory, furnishing a natural test subject for the attribution algorithm.

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  • Vassilios Papathanakos, 2016. "Trading-profit attribution for the size factor," Papers 1601.07626, arXiv.org.
    • Handle: RePEc:arx:papers:1601.07626
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