Maximum Turnover Constraint

You can limit turnover as the Northfield Portfolio Optimizing System optimizes the initial portfolio. If you specify a value for Maximum Turnover in the Portfolio Constraint Options Screen, the System will swap securities into and out of the portfolio in the direction of optimization until the turnover constraint is reached. This is one-way turnover, not round trip. For example, selling the entire portfolio for cash would be 100% turnover. An iteration, as defined for the Portfolio Optimizing System, is a pair of trades, and the user can also constrain the number of iterations.

See also:  Portfolio Constraint Options Screen