Before revision:  Using the client database of Swissquote Bank SA, we find that the transaction cost structure determines on average to a large extend the relationship between the mean turnoverper transaction of an investor and his mean wealth. A simple extension of CAPM that includes variable transaction costs is able to reproduce qualitatively the observed behaviors.
After revision:  Using the client database of Swissquote Bank SA, the largest on-line Swiss broker, we find empirical relationships between turnover, account values and the number of assets in which a trader is invested. A theory based on simple mean-variance portfolio optimization that crucially includes variable transaction costs is able to reproduce qualitatively the observed behaviors.