This is an article related to Decentralized AI Day (Tokyo).


Portfolio Turnover Rate

I calculated the Quarterly Portfolio Turnover Rate from 13F-HR using the following calculation equation.


Quarterly Turnover Rate

Quarter Number of Removed Holdings  Number of Added Holdings Total Holdings in the Current Quarter Turnover Rate (%)
2023-03-31 59 104 156 104.487179
2023-06-30 74 77 159 94.968553
2023-09-30 58 118 219 80.365297
2023-12-31 103 116 232 94.396552
2024-03-31 96 114 250 84.000000
2024-06-30 140 201 311 109.646302
2024-09-30 110 144 345 73.623188
2024-12-31 122 166 389 74.035990


Trends in Turnover Ratio

I will analyze the distribution of the Quarterly Turnover Rate using a boxplot.


I feel that the Turnover Rate does not reflect the same strong intention of the Numerai hedge fund team as the Number of Holdings or Position Size, which I saw in a previous blog article.

The correlation between "Number of Holdings" and "Turnover"



The addition and removal of holdings are correlated with Total Holdings.
As the total holdings change, the number of additions and removals of holdings appears to increase or decrease accordingly.

In conclusion

ï½¥Numerai's hedge fund team does not seem to have a strong focus on actively managing "Stock Turnover". Instead, "Stock Turnover" appears to fluctuate naturally in alignment with changes in the "Number of Holdings".