  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.
