Turnover Ratio calculation
Author: thodder
Creation Date: 9/7/2010 2:41 PM
profile picture

thodder

#1
In book "Come into my trading room" by Dr Elder, he discusses calculating the turnover ratio on page 186. To do so, you need to calculate the float which he states is:
QUOTE:
number of shares issued minus holdings of the institutions and insiders

The number of shares issued can be retrieved using "FundamentalDataSeries("common shares outstanding")". Do you know if the holdings of institutions and insiders is available with WLP?
profile picture

thodder

#2
I did a search and I stumbled onto my own post...

I need to calculate percent insider ownership of a company. Can this be done with WLP? I could find insider transactions, but I was unable to find fundamental data that could be used to determine insider holdings.
profile picture

Eugene

#3
Maybe this could help?

Float Analysis study
profile picture

thodder

#4
Thanks. That helps a little.

It looks like the author of the "Float Analysis Study" needed float, but couldn't find the historical data to calculate it within the WLP provided data. It appeared he was using the current day float from Yahoo Finance (see example http://finance.yahoo.com/q/ks?s=GS+Key+Statistics) and assumed that the float would be the same in the past. This could be okay for trading, but may have issues with backtesting.

It would be nice to have sufficient historical data to calculate: float, % held by insiders, % held by institutions. I was hoping there was a way to calculate it from existing fundamental data if we didn't have an item that already did it for us. At the moment, it looks like the three items I mentioned are not available and can not be derived from the existing fundamental data provided with WLP.
profile picture

Eugene

#5
QUOTE:
It would be nice to have sufficient historical data to calculate: float, % held by insiders, % held by institutions.

Let me know when you find one, preferably a free one. I haven't seen such time series, therefore had to resort to the Yahoo's free service for the float in that routine.
profile picture

thodder

#6
I haven't seen historical data for those three items anywhere either. If I do, I'll let you know. The best hint is from the Yahoo site on the insider and institutional holdings percent, which states, "Data provided by Thomson Reuters" (see link in previous posting).

If I could get the current insider holdings (in shares not percent), I might be able to use the insider transactions to adjust the holdings backwards from the current day to develop a historical holdings value. It might be possible to calculate an approximate using percent this same way as we can calculate shares from percent, but we may lose some digits in rounding.

I don't see a why to calculate institutional holdings history.

I was hoping Fidelity might have access to this data to add to their provider, but I'm sure I should be calling my Fidelity rep to request that information be added.