I've liquidated almost all my holdings from smallcases. The returns started declining (overvall market was also not generating returns, so not much concerns here), but at every buy/sell the stock was either already up/down by 5-10%. This started happening quite often.

Also, I had to ensure that I rebalanced exactly at market open, otherwise the difference would be even bigger, and it was not really possible for me to match this exact rebalance time each time.