"There's plenty of room to find different names that satisfy our need," said Jim Colby, manager of the Market Vectors fund, which is operated by Van Eck Global in New York. "On the other hand, it makes the process more complex to sort through the scenarios."

Even funds holding larger percentages of their index can find their sampling cuts performance. The $617 million PowerShares Fundamental High Yield Corporate ETF has 257 bonds in its portfolio, compared with about 2,100 in its benchmark, and has lagged its benchmark by as much as 1.40 percentage points for a 12-month period within the past two years, according to ETF.com data. That's partly because it weighs its sample more heavily to high-quality bonds, which limits its yield.

BlackRock Inc, the world's largest asset manager, says rock-bottom interest rates and low volatility have created complacency among issuers and investors, and that the market for trading corporate bonds is broken.

"Driven by record new issue volume, the size of the market has grown substantially while the market's trading capacity has decreased," BlackRock said last week in a research paper made public on Monday. It's a perfect recipe for a bond market rout to whipsaw investors, one fund index manager said.

Meanwhile, many index bond funds are paying too much attention to building portfolios that are easy to trade. That doesn't mean they are doing an efficient job of tracking their benchmarks, said Dave Nadig, chief investment officer at ETF research firm ETF.com.

State Street Global Advisors' $9 billion SPDR Barclays High Yield Bond ETF gets high marks for having high yields and fees of 0.40 percent of assets invested, compared to 0.50 percent at a rival fund run by BlackRock. But the fund's tracking error -- the difference between the return an investor receives and the benchmark's performance -- has been twice its fees at times, according to ETF.com.

As of June 30, the junk bond ETF's 12-month median tracking difference was -0.72 percent, or six times higher than the -0.12 percentage points produced by BlackRock's $12 billion iShares iBoxx $ High Yield Corporate Bond ETF, according to ETF.com.

"JNK has been sloppy in its tracking over the past two years, so investors may find the all-in cost higher than advertised," ETF.com said in a research report.

Brian Kinney, an executive at State Street Global Advisors, said higher transaction costs due to the lack of liquidity on the bond market contributed to the junk bond ETF's wider tracking difference.

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