Research reference
Turnover & costs
Reconcile traded notional, implementation assumptions and net outcomes.
Turnover & costsTurnover & costsTurnover & costsTurnover & costs
Turnover needs a denominator before it becomes a cost
Reconcile one-way and two-way turnover, drifted weights and basis-point charges with a worked rebalance.
Build a cost ledger without charging slippage twice
Choose a price benchmark, separate execution components, and account for unfilled orders rather than assuming frictionless quotes.
Participation is a constraint, not a capacity certificate
Translate portfolio size into stock-level trading demand and distinguish a liquidity scenario from evidence of scalable performance.
A short return needs a borrowing and cash-flow ledger
Account for borrow availability, fees, distributions and recalls before treating a negative stock weight as an executable short position.