Suppose that XYZ Corp. was a high-momentum stock held by the portfolio. One quarter later, it was ranked 350th in momentum - no longer in the top one-third of the 1000 stocks in the Russell. meanwhile, ABC Corp, not yet the portfolio, ranked 333rd. ABC would be in the index next quarter and XYZ not. Should the fund sell its entire XYZ position and buy ABC? This could lead to a significant trading cost for example, one pays transaction costs for both the sale of XYZ and for the purchase of ABC in order to make this recomposition. And the difference in expected return between #333 and #350 was probably quite small. On the other hand, not doing the trade meant failing to track the index. And it still left open to the questions: how large of gap in rank must there be to justify a trade? whether to trade boundary stocks on the edge of the list?