Portfolio turnover ratio

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The portfolio turnover ratio (better: portfolio turnover rate, abbreviation: PTR ) indicates how many transactions have been carried out on the basis of a mostly annual calculation in the assets of an investment fund or a securities portfolio . Suggestion for a German name: redeployment rate or turnover rate. If PTR = 100%, then the portfolio has been turned once in the reporting period.

The closer the thus determined ratio to 0, the more direct the undertaken transactions in connection with the issue and redemption of unit certificates . Transactions with derivatives are not included in the calculation of the PTR.

The PTR is an important measure of the costs that fund management incurs.

PTR formula

There are different formulas for calculating the PTR depending on the country, supervisory authorities and legal regulations. The PTR formula as defined by the United States Securities and Exchange Commission

${\displaystyle PTR={\frac {\mathrm {min} (X,Y)}{M}}}$

• min: minimum function
• X = value of purchases of securities (in the year)
• Y = value of sales of securities (in the year)
• M = (monthly) average of total wealth

The formula according to the UCITS Directive differs from the SEC formula in that the sum of purchases and sales is formed and the volume of the share certificate transaction is subtracted from the securities turnover.

${\displaystyle PTR={\frac {(X+Y)-(A+R)}{M}}}$

• A = value of the issue of unit certificates in the fund (in the year)
• R = value of the redemption of unit certificates in the fund (in the year)

Individual evidence

1. ↑ UNDERSTANDING EQUITY TURNOVER DATA: INITIAL FINDINGS FROM IMA RESEARCH SUBMITTED TO THE KAY REVIEW ( English , PDF) theia.org. Retrieved September 21, 2019.