The focus of this study is the effect that portfolio composition has on the tracking performance of indexed portfolios. Indexed portfolios from high-capitalization indices are shown to have a lower tracking error and standard deviation of tracking error than indexed portfolios from...

The focus of this research is on enhancing the returns of socially responsible investment (SRI) portfolios by constructing minimum variance small-basket portfolios. The results suggest that individual investors and professional financial planners on behalf of their clients can realize enhanced...