While holding the entire index portfolio should theoretically minimize tracking error, the transaction costs from buying and selling all of the securities can ultimately detract from tracking ...

Passive investing strategies aim to minimize cost differentials, crucially measured in basis points, by closely tracking benchmark indexes. Tracking difference and ...

Equity factor strategies have experienced performance challenges relative to cap-weighted indexes since the COVID-19-induced market crash of 2020. In cap-weighted indexes, companies with higher market ...

Index tracking and portfolio optimization are pivotal techniques in modern financial management, aiming to replicate the performance of a benchmark index while minimising discrepancies and risk. This ...

So while TE has a purpose in understanding a portfolio’s positions away from benchmark, it does very little to explain the absolute volatility in returns. TE statistics have to be examined in the ...