AppliedNumeric answer
A signal that trades too much · Part 2 of 3
A daily-rebalanced long–short signal earns a gross return of 12% a year on its book. It trades 20% of the book each day, and each unit traded costs 5 basis points. Use 252 trading days.
At what cost per unit traded, in basis points, would the strategy just break even?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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Execution: market impact, implementation shortfall and capacity
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