I am trying to calculate the weekly turnover of a portfolio consisting of 5 assets .The portfolio rebalances every week an I have calculated the weights and portfolio returns for each week. Is there a formula I can use in excel to calculate the weekly turnover? Or an easy way to calculate in another program?
Min (purchases or sales) / portfolio market value
You would typically need quantity of shares held for each position so that you would be able to calculate the market value of purchases and sales.
Weights or market values would not work because they tend to be impacted by the performance of your holdings.
Quantity of shares are used because you will be able to compare current number of shares of asset A vs a week ago.