RupeeCase
Education . Factor Costs . 2 of 3
Same idea . different trading bill
The faster a factor trades, the less of it you keep.
Factor archetype
Turnover
Edge kept
Patient value . quality . size . trades a little
25% / yr
98% kept
Busy momentum . the signal goes stale fast
150% / yr
88% kept
Frantic short term reversal . rebuilt every month
600% / yr
52% kept
50% a month
Research line in the sand. Trade slower than this and a factor keeps a net edge. Trade faster and most of it goes to the desk.
Illustrative at a 0.40% cost per trade on a 5% paper edge. The turnover figures are real. The kept share moves with the market you trade in, but the ranking never flips.