Calculating Portfolio Turnover from Purchases and Sales

Summary

The document answers a question about calculating weekly turnover for a portfolio that rebalances regularly. It gives a basic measure: take the smaller of total purchases or total sales and divide by the portfolio’s market value. This convention measures one side of the traded value relative to portfolio size, avoiding the double counting that would result from adding purchases and sales together when rebalancing transfers value between holdings.

To identify trading activity across periods, the answer recommends comparing the quantity of each asset held now with the quantity held previously, then valuing the purchases and sales. It cautions that weights and market values alone can change because holdings appreciate or depreciate, so they do not by themselves reveal how much was traded. The response does not specify details such as the precise valuation timestamp, treatment of cash flows, or alternative turnover conventions, so those choices should be kept consistent when comparing results.

Key ideas

• One stated turnover measure divides the smaller of purchases or sales by portfolio market value.
• Comparing asset quantities across periods helps identify actual trading activity.
• Market values and portfolio weights can shift because of asset performance even without trades.
• The chosen valuation time and turnover convention should be applied consistently.

Tags

# How to Calculate weekly Turnover


# How to Calculate weekly Turnover












I am trying to calculate the weekly turnover of a portfolio consisting of 5 assets .The portfolio rebalances every week an I have calculated the weights and portfolio returns for each week. Is there a formula I can use in excel to calculate the weekly turnover? Or an easy way to calculate in another program?

## Answer by user28909 (score 1)

https://quant.stackexchange.com/a/63559

Min (purchases or sales) / portfolio market value

You would typically need quantity of shares held for each position so that you would be able to calculate the market value of purchases and sales.

Weights or market values would not work because they tend to be impacted by the performance of your holdings.

Quantity of shares are used because you will be able to compare current number of shares of asset A vs a week ago.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.