{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T12:45:00Z","timestamp":1792759500437,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>When a fund misses its benchmark, part of the miss belongs to the manager and part to the market. We separate them with the systematic tracking error, the standard deviation of the return differential of the aggregated portfolio, which is what survives when replication risk is pooled across funds. On twenty-eight European equity funds observed weekly from 2003 to 2013 we report three findings. Replication risk converges quickly in the number of funds: drawing subsets at random, the systematic tracking error falls from 13.65 per cent for a single fund to 8.79 for the full panel and reaches within five per cent of that floor at nine funds. The manager share of replication risk is cyclical rather than trending: splitting forty independent thirteen-week blocks at the median level of the VSTOXX, the ratio of the average fund tracking error to the systematic one is 1.752 in the calm half and 1.608 in the turbulent half, so the manager share falls from 42.9 to 37.8 per cent when markets are disturbed. A counterfactual decomposition attributes about half of that fall to the rise in correlation between funds and most of the remainder to the dispersion of their volatilities. The exercise is conducted on non-overlapping blocks throughout, so none of it rests on the overlapping-window correlation that contaminates rolling estimates.<\/jats:p>","DOI":"10.2139\/ssrn.7651339","type":"posted-content","created":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T12:06:28Z","timestamp":1792757188000},"source":"Crossref","is-referenced-by-count":0,"title":["Market or Manager? Decomposing Replication Risk with the Systematic Tracking Error"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8224-3596","authenticated-orcid":true,"given":"Cheikh","family":"Niang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,23]],"date-time":"2026-10-23T12:06:28Z","timestamp":1792757188000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7651339"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7651339","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}