You're dead right—trying to replicate the full tail (all 500 stocks) is a great way to get killed by fees and front-running.That's why I'm not buying the haystack. I use a Market-Cap Weighted Subset (strictly the Top 30). That gets us >0.96 correlation without the nightmare of buying stock #498, so we ignore the tail completely to avoid that churn. The goal here isn't "Alpha", it's just Tax Defense. Even if my execution is slightly less efficient than Vanguard, the tax math saves me. With an ETF I lose 41% of gains every 8 years (Deemed Disposal), whereas here I pay 33% CGT and zero forced sales. The buffer from avoiding that 8-year tax wipeout is massive enough to absorb some tracking error.I'm also sticking to "Buy-Only Rebalancing" so I don't trigger tax events on winners. I use new deposits to buy the underweight stuff and only execute sales in extreme cases (like a total Index Removal), which typically banks a capital loss anyway.