passive funds. However, we show that this measure is not pertinent, especially when the tracking error volatility of the index … very low tracking error compared to its benchmark. In this paper, we propose a performance measure based on the value …, tracking error volatility and liquidity spread), this efficiency measure is easy to compute and may help investors in their …

: tracking difference risk and tracking error risk. Smart beta investors then have to a puzzle out the trade-off between … diversification, volatility, liquidity and tracking error. This article examines the trade-off relationships. It also defines the …

when a tracking error volatility (TEV) constraint holds. First, we define the TEV Constrained-Efficient Frontier (ECTF), a …