Trading-profit attribution for the size factor
The size premium, studied by Papathanakos in 2016. The abstract mentions profits and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“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.”
StrategySize premium
ClaimProfit
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodSize premium by year
FamilySize premium22Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 980
AssetEquities18
AuthorsPapathanakos1
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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