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  • Last update: 5 years ago
  • Total downloads: 119
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Wei Li (1 other programs)
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scripts default iconCalculating the Portfolio Turnover (Scripts) Publisher's description

Calculating the equal weighted portfolio turnover

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

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.

System Requirements:

MATLAB 6.5 (R13)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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