Trading-profit attribution for the size factor
Portfolio Management
2016-01-29 v1
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.
Keywords
Cite
@article{arxiv.1601.07626,
title = {Trading-profit attribution for the size factor},
author = {Vassilios Papathanakos},
journal= {arXiv preprint arXiv:1601.07626},
year = {2016}
}
Comments
15 pages, 14 figures