Hi P123,
How is the turnover calculated particularly for a live strategy that uses active weighting?
- I have a strategy that does circa 300% per P123 statistics. Portfolio of 10 stocks.
- I understand that to mean the portfolio -on average- replaces the 10 stocks 3 times over a given 12 months period.
But every time it sells a stock and replaces it with a new stock, it (might and often does) adjusts the weight of all other stocks (because of the active weighting).
Example on the screenshot below:
- DPZ and TAP are sold
- SBUX and QRTEA are bought
- But MO has to be “re-weighted” down to 4.74%
Are these “re-weighting” transactions included in the rebalancing % number? How?
Thank you very much,
Jerome
Rebalancing example.pdf (19.4 KB)