We give a simple explicit formula for turnover reduction when a large number
of alphas are traded on the same execution platform and trades are crossed
internally. We model turnover reduction via alpha correlations. Then, for a
large number of alphas, turnover reduction is related to the largest eigenvalue
and the corresponding eigenvector of the alpha correlation matrix.Comment: 15 pages; a trivial typo corrected in Eq. (43), no other change
