When delegating an investment decisions to a professional manager, investors often anchor their mandate to a specific benchmark. The manager’s exposure to risk is controlled by means of a tracking error volatility constraint. It depends on market conditions whether this constraint is easily...

Exchange traded funds (ETFs) are one of the most popular and fastest growing classes of financial assets available in today's markets. Due to the significant increase in popularity, ETFs allow investors to diversify their portfolios through a basket of assets from different countries that are...

Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once these crucial parameters have been estimated, they are being treated as fixed. In this paper we develop some sense, both theoretical and practical, on the...

Fund selection is an important issue for investors. This topic has spawned abundant academic literature. Nonetheless, most of the time, these works concern only active management, whereas many investors, such as institutional investors, prefer to invest in index funds. The tools developed in the...

Risk budgeting interpreted as efficient portfolio allocation is often based on expected outperformance, alpha or information ratio. Once these crucial parameters have been estimated, they are being treated as fixed. In this paper we develop some sense, both theoretical and practical, on the...

We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical...