I went through some presentations about LowVol strategies for some indices. In the presentations were tables with average returns, vola, Sharp ratio and ATOP. I have no clue what this ATOP is supposed to mean. They interpreted higher ATOP as higher transactions costs. So, what does it exactly stand for and how is it measuring transaction costs?

Using google didn't give me anything.


I would say it could be short for

annual turnover (precent/portfolio)

Higher portfolio turnover often means higher transaction costs. The definition is usually the lesser of all buys and sells in a year divided by the average monthly NAV of the strategy. (Morningstar) Be aware that turnover numbers come in all colors and flavors and can in or exclude various trades. (As a small example: would you include an FX hedge into your turnover calculations?)

If you could link a presentation in question we could probably provide you with a better guess.

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    $\begingroup$ Thank you so much! Just one minute before someone told me it stands for average percentage turnover. So, your answer went in the right direction and explained how it is connected. Hence, accepted and up voted. $\endgroup$ – Finance_Newbie Jan 13 '15 at 12:53

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