Trading-profit attribution for the size factor

Vassilios Papathanakos

Papers from arXiv.org

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.

Date: 2016-01
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1601.07626

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