Hello P123 Community,
In previous posts there has been discussion on turnover, generally with an emphasis on how to LIMIT strategy/portfolio turnover.
I am interested in seeing the effects of having INCREASED turnover on some of my sims.
I am using a 3500 stock universe (US), 20 stocks, weekly rebalance, buy rankpos <=10 (or no buy rule), sell rankpos>25 (I’ve played with this number).
Playing with buy and sell rules I can’t seem to break 400% annual turnover. My target is 600 to 1000%.
Ranking system includes factors for Quality, Value, Growth, Sentiment, Size. My factors are roughly 50% financial statement based (i.e. turnover would only be impacted quarterly), and roughly 50% market based (i.e. price, EV, mktcap, volume, etc). I suspect that if I increase the proportion of market based factors I could increase turnover.
Other ranking systems I have with a higher proportion of market factors seem to be able to reach a higher turnover.
I am trying to see if I can get higher turnover by also limiting my price based factors.
I’m curious if any of you have had a similar experience, or can offer any tips for increasing turnover.
Thanks in advance!
Cheers,
Ryan