First, he reviews 21 published analyses to relate turnover to volatility reduction while controlling for other factors. (cxoadvisory.com)
Anything above an allocation of 30 % shows that you don't get significant volatility reduction and can in fact increase your volatility during some time periods such as from 1992 — 1999. (thedigeratilife.com)
It comes with significant volatility reduction, a feature, however, that can make the strategy attractive to some investors. (researchaffiliates.com)