2016/01/28 by Papathanakos, Vassilios
#FOS: Economics and business #Portfolio Management (q-fin.PM)
paper · doi:10.48550/arxiv.1601.07626
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.