Search Results - subject:"Tracking Error"

The components of tracking error, interim trading and mutual fund performance

Matallín-Sáez, Juan Carlos; Mingo-López, Diego Víctor de - In: International review of economics & finance : IREF 98 (2025), pp. 1-13

Persistent link: https://www.econbiz.de/10015330738

Loss harvesting strategies tax efficiently diversify concentrated stock

Malkin, Slava; Selwitz, Harrison; Cai, Taotao; … - In: Journal of asset management : a major new, … 26 (2025) 5, pp. 447-463

Persistent link: https://www.econbiz.de/10015485826

Effects of liquidity on TE and performance of Japanese ETFs

Naka, Atsuyuki; Tian, Jiayuan; Shin, Seungho - In: International Journal of Financial Studies : open … 13 (2025) 3, pp. 1-32

This study identifies a nonlinear relationship among liquidity, tracking error, and risk-adjusted performance in JETFs … in the Japanese market, which also shows the highest average tracking error. In contrast, U.S.-listed JETFs offer the … lowest tracking error. These results suggest that investors may benefit from choosing smaller JETFs listed in Japan. …

Persistent link: https://www.econbiz.de/10015462901

A benchmark-asset principal component factorization for index tracking on large investment universes

Cesarone, F.; Di Paolo, A.; Bufalo, Michele; Orlando, … - In: Finance research letters 79 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015420449

Window dressing in the Active Share scores in publicly reported portfolios

Andreu, Laura; Forner, Carlos; Sarto, José Luis - In: Business research quarterly : BRQ 27 (2024) 3, pp. 324-345

that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share …

Persistent link: https://www.econbiz.de/10015051432

A guide to 130/30 loss harvesting

Goldberg, Lisa; Cai, Taotao; Schneider, Ben - In: Journal of asset management : a major new, … 25 (2024) 5, pp. 445-459

Persistent link: https://www.econbiz.de/10015192031

Exchange-traded funds and the future of passive investments : a bibliometric review and future research agenda

Joshi, Girish; Dash, Ranjan Kumar - In: Future business journal 10 (2024) 1, pp. 1-21

Passive investments such as exchange-traded funds (ETFs) provide an opportunity to invest in indexes, asset classes, and sectors with low maintenance costs and high transparency. Today ETFs dominate the world, with nearly 50% of the investment in the USA coming through ETFs. Numerous studies on...

Persistent link: https://www.econbiz.de/10015411149

Window dressing in the Active Share scores in publicly reported portfolios

Andreu, Laura; Forner, Carlos; Sarto, José Luis - In: BRQ Business Research Quarterly 27 (2024) 3, pp. 324-345

that window-dresser funds can be identified by controlling the level of tracking error. The funds with high Active Share …

Persistent link: https://www.econbiz.de/10015459005

Personalized multiple account portfolio optimization

Idzorek, Thomas M. - In: Financial analysts journal : FAJ 79 (2023) 3, pp. 155-170

Persistent link: https://www.econbiz.de/10014321644

Leveraged funds : robust replication and performance evaluation

Guasoni, Paolo; Mayerhofer, Eberhard - In: Quantitative finance 23 (2023) 7/8, pp. 1155-1176

Persistent link: https://www.econbiz.de/10014321669