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‘One way to control trading costs is to limit turnover’“We determine the optimal buy and sell thresholds for our quant strategies by taking into account the expected outperformance of the stocks we hold, the potential performance of others that are highly ranked, and the costs that these moves would involve. These thresholds are fully incorporated in our proprietary portfolio construction algorithm. As a result, we are able to keep the turnover of our quant strategies low by avoiding unnecessary transactions.”
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