the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios …

of fund manager between the two market conditions. Tracking error was found to be relatively high in bearish conditions …

The risk management department usually imposes to asset managers a maximum value of the tracking error volatility (TEV …

rebalancing accounts for approximately 25% of the total tracking error, and in certain scenarios the rebalancing tracking error … could rise to as high as 5% in three weeks and can dominate the total tracking error. Since investors in LETFs have short …

identified as trading to change return variance or tracking error variance do not exhibit risk mean reversion. Mostly, funds … trade to reduce risk and, in particular, tracking error variance. This is most evident for funds that previously attained a … low tracking error variance. We find no evidence of a relation between past performance and intended changes to return …

tracking error volatility (TEV) under control. However, these constraints may be impossible to satisfy simultaneously because …