Maximum Turnover

The Maximum Turnover Constraint controls the deviation of the resulting portfolios, either optimal or investable, from the initial portfolio weights. This constraint is often used to limit trading, though the transaction cost constraints can be a more effective method of considering trading costs.  

• Entering a zero or a letter turns this constraint off, which appears as "N/A".  

• Maximum Turnover can be controlled during optimization (entered on the Constraints Worksheet) and post-optimization (entered on the Investability Constraints Worksheet).  

• A 100% turnover permits the Optimizer to sell all current holdings and purchase entirely new holdings, though it does not require that scenario.  

• Obviously, this constraint requires an initial portfolio.

• The Turnover Field in the tables on the Charts Worksheet displays the turnover that would be necessary to trade between the portfolios currently selected as Portfolio 1 and Portfolio 2.