Portfolio Turnover as a Proxy for Trading Costs

Summary

The document interprets ATOP in a strategy presentation as a likely abbreviation for annual portfolio turnover, expressed as a percentage of portfolio value. It describes a common calculation: compare total purchases with total sales over a year, use the smaller amount, and divide by average monthly net asset value. Higher turnover can indicate more trading and therefore potentially higher transaction costs, which explains why a presentation might treat a larger figure as a cost warning.

Turnover is only a proxy, not a direct measure of the money spent on execution. The answer notes that published figures can use different conventions, including whether particular trades count. An FX hedge is given as an example of a trade whose inclusion may vary. The abbreviation itself is offered as a plausible interpretation rather than confirmed from the presentation, and a specific source document would be needed to verify it. The calculation also does not account directly for trade size, liquidity, spreads, or market impact, so it should not be read as a complete cost estimate.

Key ideas

• ATOP may refer to annual portfolio turnover, but the source does not verify the abbreviation.
• A common turnover measure divides the lesser of annual buys or sells by average monthly portfolio value.
• Higher turnover can suggest greater transaction costs, but it does not measure execution costs directly.
• Turnover comparisons require consistent rules about which trades are included.

Tags

# Transaction Costs Measure ATOP: What does it mean and exactly measure?


# Transaction Costs Measure ATOP: What does it mean and exactly measure?












I went through some presentations about LowVol strategies for some indices. In the presentations were tables with average returns, vola, Sharp ratio and ATOP. I have no clue what this ATOP is supposed to mean. They interpreted higher ATOP as higher transactions costs. So, what does it exactly stand for and how is it measuring transaction costs?

Using google didn't give me anything.

## Answer by vanguard2k (score 2, accepted)

https://quant.stackexchange.com/a/16191

I would say it could be short for

annual turnover (precent/portfolio)

Higher portfolio turnover often means higher transaction costs. The definition is usually the lesser of all buys and sells in a year divided by the average monthly NAV of the strategy. (Morningstar) Be aware that turnover numbers come in all colors and flavors and can in or exclude various trades. (As a small example: would you include an FX hedge into your turnover calculations?)

If you could link a presentation in question we could probably provide you with a better guess.

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.