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Investment Portfolio Structure, Turnover Assessment, and Rebalancing Efficiency
This paper examines methods for analyzing structural changes in investment portfolios and proposes new approaches for assessing turnover and the effectiveness of their rebalancing. The study aims to systematize and adapt statistical indicators of structural shifts for analyzing the dynamics of securities portfolios, as well as to develop methodologies for assessing the proportion of changes during rebalancing and its effectiveness via the Sharpe ratio. Using the analysis of portfolios of Russian management companies (mutual funds) as an example, it is demonstrated that estimates of their structural changes are quite effective for portfolio rebalancing. The Ryabtsev index provides the best metrics for portfolio renewal levels, achieving an accuracy of 97.63%. The proposed portfolio management activity coefficient and the method for assessing rebalancing effectiveness have proven their practical significance for analytical research and investment decision-making.