What is the historical portfolio turnover rate of the S&P/Barra Growth and Value indexes?
Annual turnover in the S&P/Barra 500 Growth and Value indexes has averaged about 20% and 19% respectively (on a capitalization-weighted basis) between 1993 and 1997. Turnover is due to both changes in the composition of the S&P 500 index and to changes in the relative price-to-book ratios of its constituents at the semi-annual rebalancing dates. Turnover for the S&P/Barra 400 Growth and Value indexes has averaged roughly 27% and 39%, and the turnover for the S&P/Barra 600 Growth and Value indexes has averaged roughly 41% and 37% over the same period.
