Performance versus turnover: a story by 4000 alphas

Zura Kakushadze and Igor Tulchinsky

Journal of Investment Strategies

Abstract: ABSTRACT We analyze empirical data for 4000 real-life trading portfolios (US equities) with holding periods of about 0.7-19 trading days. We find a simple scaling C ∼ 1 ⠄ Τ , where C is cents-per-share and Τ is the portfolio turnover. Thus, the portfolio return R has no statistically significant dependence on the turnover T. We also find a scaling R ∼ VX, where V is the portfolio volatility and the power X is around 0.8-0.85 for holding periods up to ten days or so. To our knowledge, this is the only publicly available empirical study on such a large number of real-life trading portfolios/alphas.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-investment-strateg ... story-by-4000-alphas (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ6:2448506

Access Statistics for this article

More articles in Journal of Investment Strategies from Journal of Investment Strategies
Bibliographic data for series maintained by Thomas Paine ().