英文标题：
《Trading-profit attribution for the size factor》
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作者：
Vassilios Papathanakos
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最新提交年份：
2016
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英文摘要：
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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中文摘要：
INTECH最近推出了一种算法，用于估计系统再平衡对基于规则的投资策略相对回报的交易利润贡献。我们运用这种方法，通过使用等权投资组合来分析规模因素。这些策略将规模因素的自然暴露与随机投资组合理论框架内的简单理解相结合，为归因算法提供了一个自然的测试主题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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