[DS Quant Namil-Kim] Quant Note - Cut Turnover Preserve Signal

■ Prioritize high-score trades to improve signal efficiency - Executing buy-sell pairs by score improvement maximizes signal gain for a given turnover - High-score trades can secure substantial score improvement with less traded value ■ Balance turnover and signal through partial rebalancing - Reducing traded value by 80% can still capture 63.6% of modeled score improvement - Marginal signal gains decline as turnover rises, while trading costs increase ■ Determine optimal execution rate based on trading costs - Optimal execution balances marginal signal improvement against trading costs - The optimal rate depends on the score distribution and trading costs This material has been approved for publication as an investment research report. DS Investment & Securities Research Telegram: https://t.me/DSInvResearch