Anyone else currently experiencing extremely low model turnover? My Value + Quality Microcap Strategy is currently sitting at 48 days since a trade which is the second longest inactivity period since 2018 (went 50 days in October of 2022). Just curious if I am alone in this or if others are experiencing the same thing in their models.
I use the Compustat engine, so have a low level anxiety that the engine might stop updating and no one would notice since it has a relatively low usage rate.
Cheers,
Daniel
My turnover has been low, but not extremely low these last few months.
An exercise I like to do is to run a simulation, download the transaction data and plot the cumulative number of trades as function of date.
This way you see if there are periods or market regimes with below/above average turnover and if those deviations are within normal variance or something sketchy is going on…
As you can see for this example, turnover often comes in batches especially during earnings season. Of course the exact behavior highly depends on system, universe etc.
i can’t say anything about the Compustat question.
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I just informed support that one of the designer models I trade didn’t rebalance at all today (despite weekly rebalances).
I’ve seen where a model doesn’t add/remove positions during a rebalance, but I never noticed a rebalance not occurring.
Likely unrelated to Daniel’s concern, but seemed fitting to mention here.
I wouldn't worry about that. My Compustat screens are being updated daily, and ranks are changing all the time. Likely you have a relatively static system governing your model. My Crazy Returns Small Cap model hasn't had any transactions since September 22, but I'm sure it's on track because other models have had transactions.
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