Portfolio Size Adjustment

Another lever to manage turnover and reduce unnecessary trading is to adjust the size of the buy list.

• • Reducing the size of the buy list from 10% to 5% of the universe can lead to fewer trades and more concentrated holdings, which can enhance the conviction of the portfolio and reduce costs.

Back-Test Results for 5 variations of the strategy

Initial Selection of Variables

Decile-Based Return Analysis for Predictive Power

Combining Variables for Multi-Factor Analysis

Stock Selection Based on Ranking System

Incorporation of Additional Buy-Sell Rules

Determining Buy-Sell Frequency

Rebalancing and Trim Frequency

Setting Trimming Boundaries

Determining the Number of Stocks in the Strategy

Back-Testing the Strategy

Turnover Management: Reducing Excessive Trading

Frequency Adjustment for Portfolio Trimming and Buy-Sell List

Stress Testing for Robustness