for the replication. Our methodology is based on a minimization of the tracking error subject to a set of constraints … annualized ex-ante tracking error can range from 0.41 to 0.07 %. We use principal component analysis to extract the main drivers … of the size of the tracking error, namely, the volatility of and the differential between the yields in the objective …

orderings, (2) variability orderings, and (3) tracking-error orderings. For each problem, we discuss the properties of the risk … measures, variability measures, and tracking-error measures, as well as their consistency with investor choices. Finally, for …

. These effects motivate narrow mandates and tight tracking error constraints to most fund managers except those with …

Most socially responsible investment funds combine a sustainability objective with a tracking error constraint. We … characterize the impact of a sustainability constraint on the mean-tracking error efficient frontier and illustrate this on a …