The relative return of an equity portfolio with respect to the market is factored into three components. The factorization separates the eects due to change in the distribution of capital in the market, to change in rank of the stocks in the portfolio, and to dividends. The factorization is of the nature of an accounting identity, and can be used to isolate the company size factor from other factors that aect equity returns. The results are applied to analyze the return structure of the S&P/Barra Value Index.