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Analyzing Active Investment Strategies

abstract The article examines strategies for making financial investments by using a decomposition of the non-central tracking error variance to indicate how actively assets are managed. This method examines how much risk the asset manager takes in investments by analyzing positive and negative returns. Two mathematical models are presented to analyze the active management of investments. The authors believe that their decomposition method and tracking error variance generate data that is not formally found by traditional analysis methods.

1
   
type journal paper
   
keywords Active investing, Tracking error, tracking error variance
   
language English
kind of paper journal article
date of appearance 21-10-2006
journal The Journal of Portfolio Management
publisher Institutional Investor (New York)
ISSN 0095-4918
volume of journal 33
number of issue 1
page(s) 56-67
review double-blind review
   
citation Ammann, M., Kessler, S., & Tobler, J. (2006). Analyzing Active Investment Strategies. The Journal of Portfolio Management, 33(1), 56-67.