RT Journal Article
SR Electronic
T1 Analyzing Active Investment Strategies
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 56
OP 67
DO 10.3905/jpm.2006.661373
VO 33
IS 1
A1 Manuel Ammann
A1 Stephan Kessler
A1 Jürg Tobler
YR 2006
UL https://pm-research.com/content/33/1/56.abstract
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