PT - JOURNAL ARTICLE AU - Manuel Ammann AU - Stephan Kessler AU - Jürg Tobler TI - Analyzing Active Investment Strategies AID - 10.3905/jpm.2006.661373 DP - 2006 Oct 31 TA - The Journal of Portfolio Management PG - 56--67 VI - 33 IP - 1 4099 - https://pm-research.com/content/33/1/56.short 4100 - https://pm-research.com/content/33/1/56.full AB - Investors want to know the trading strategies an asset manager pursues to generate excess returns. Tracking error variance can be an alternative approach for analyzing the trading strategies used in active investing. Two decompositions of TEV may be used as a measure of activity in identifying different investment strategies. A simulation study testing the performance of different methods of strategy analysis demonstrates how a TEV decomposition can add information. When investment strategies involve random components, TEV decomposition delivers important additional information that traditional return decomposition methods cannot uncover.TOPICS: Equity portfolio management, quantitative methods, portfolio construction