StdTurn
Turnover Volatility — Chordia Subrahmanyam and Anshuman 2001
Liquidity
Quick facts
| Factor ID | StdTurn |
| Display name | Turnover Volatility |
| Family | Predictor |
| Category | Liquidity |
| Direction | lower_expected_return |
| Status | supported |
| Paper | Chordia Subrahmanyam and Anshuman 2001 |
| Source tables | daily_basic |
| Required fields | turnover_rate |
| PIT required | no |
| Coverage | 2011-01-24 – 2026-05-15 · 617,710 rows · 90.2% of panel |
Formula
std(turnover_rate over t-252..t-1)
Rolling 252-day standard deviation of daily share turnover rate.
China adaptation
Uses Tushare turnover_rate directly.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 184 |
| Monthly mean | 0.2838% |
| Monthly std | 4.6472% |
| Annualized Sharpe | 0.21 |
| t-stat (simple) | 0.83 |
| Hit rate (months > 0) | 54.3% |
| Last 12M compounded | -7.43% |
| Cumulative wealth (start = 1) | 1.383 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | -5.22% | 1.416 | 5046 |
| 2025-06 | +4.63% | 1.481 | 5055 |
| 2025-07 | -3.30% | 1.432 | 5057 |
| 2025-08 | +3.02% | 1.476 | 5062 |
| 2025-09 | +1.37% | 1.496 | 5069 |
| 2025-10 | -0.97% | 1.481 | 5075 |
| 2025-11 | -1.67% | 1.456 | 5081 |
| 2025-12 | +0.11% | 1.458 | 5088 |
| 2026-01 | -2.35% | 1.424 | 5095 |
| 2026-02 | +4.57% | 1.489 | 5099 |
| 2026-03 | -2.72% | 1.448 | 5105 |
| 2026-04 | -4.54% | 1.383 | 5101 |
Known data issues
Turnover_rate_f vendor artifacts motivate using total-share turnover_rate.
Notes
None recorded.
See also: Liquidity family, Factor library, Factor returns.