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Calculating the Portfolio Turnover 1.0

  Date Added: June 20, 2013  |  Visits: 257

Calculating the Portfolio Turnover

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function [p, k_sum]=turnover(old,new) PURPOSE: Calculating the equal weighted portfolio turnover--------------------------------------------------- USAGE: [p, k_sum]=turnover(old,new) where: old, new are either character arrays, number arrays or cell arrays containing the tickers or CUSIPS of two different portfolio. They do not have to be the same size, that is, holding the same number of securities in both portfolios.--------------------------------------------------- RETURNS: p = turnover percentage, defined as % newly added securites in the old portfolio (a % number) k_sum = total number of matches in the old portfolio for every cusip/ticker in the new portfolio (a vector)--------------------------------------------------- Example: in the old portfolio, there are 10 stocks. If 5 were sold and 3 completely different stocks were bought, the turn over ratio would be: 3/10= 30%, It is not the exact turnover definition in portfolio management, as it is not value weighted. It is more accurate when portfolio is equal weighted by tickers/Cusips. The new and old portfolios do not have to be the same format, but have to be consistent in terms of CUSIP or ticker handles. For example, CUSIP could be in cell array format in the old portfolio, while in char array format in the new portfoliio, but they all have to be CUSIP. Both Tickers and Cusips must be in COLUMN vectors! Cusip is preferrable to ticker, at least in my experience. If you download data from FactSet,CompuStat, Cusip is constant through time while ticker C changes from Chrysler to Citibank.

Requirements: No special requirements
Platforms: Matlab
Keyword: 3103d Accurate Array Consistent Constant Cusip Definition Exact Format Handles Management Ratio Terms Ticker Tickerscusips
Users rating: 0/10

License: Shareware Size: 10 KB
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