A Division of Windham Capital Management, LLC

Transaction Costs and Turnover Control

Does the Windham Software make any attempt to minimize turnover from the current portfolio during the optimization process, or assumes no transaction costs?

The Windham Software allows the specification of a transaction cost vector across all instruments defined in the portfolio.
To disregard turnover control, transaction costs are set to zero. This would be the same as constructing and transitioning into the optimal portfolio from an all-cash position.

To control turnover from the current portfolio allocations, populate the transaction cost column in the optimization screen.If you would like to control turnover from the current portfolio you should populate that transaction cost column.

Transaction cost of 0.01 would equate to 1%

Category:Understanding the Software -> Optimization