Average monthly turnover rate
factor.formula
The calculation formula of monthly average turnover rate is:
Among them, the daily turnover rate calculation formula is:
In the formula, the meaning of each parameter is as follows:
- :
The average monthly turnover rate refers to the average daily turnover rate within a natural month.
- :
Indicates the total number of trading days in the month.
- :
The daily turnover rate on the i-th trading day.
- :
The stock trading volume on the i-th trading day (unit: shares).
- :
The outstanding share capital of the stock on the i-th trading day (unit: shares).
factor.explanation
The monthly average turnover rate factor is designed to quantify the trading activity of a stock. A higher monthly average turnover rate indicates that the stock has a large trading volume in the past month, market participants can buy or sell more conveniently, it is not easy to produce a large price shock, and the stock has good liquidity. On the contrary, a lower monthly average turnover rate indicates that the stock has a small trading volume in the past month, the trading is not active, the liquidity is poor, and large transactions may cause large fluctuations in stock prices. In quantitative investment, investors usually use the turnover rate factor to control the liquidity risk of the portfolio. At the same time, the turnover rate can also be combined with other factors to build a more effective investment strategy. For example, when constructing a portfolio that is long the momentum factor, stocks with good liquidity are usually selected.