Wednesday, April 13, 2011

Between Holding Period And Turnover

I just discovered a link between the optimal holding period and the turnover. The optimal holding period for T-Rank 2.0 is 6 weeks as discussed in my previous post. In the same post, the average turnover for weekly rebalance is 15%. So the average holding period for a stock is 1 week / 15% = 6 weeks, which equals to the optimal holding period. It appears that with weekly rebalance, T-Rank 2.0 automatically finds the optimal holding period for each stock in the portfolio. This also explains why the annualized return doesn't change much between weekly rebalance and 6 week rebalance.

No comments:

Post a Comment