Cost drag and rebalancing frequency

A Nifty 500 momentum portfolio has gross return 14% and volatility 20% a year. Each rebalance replaces 40% of the portfolio. Per-side costs are 11.9 bp plus 15 bp slippage. (a) Compute annual turnover $\mathrm{TO}$ (buys plus sells, as defined in Proposition 4.10), cost drag, net Sharpe ratio and breakeven cost for monthly rebalancing. (b) Repeat for weekly rebalancing, assuming (unrealistically) the same gross return and the same 40% replacement per rebalance. (c) What does (b) tell you about how to choose a rebalance frequency?