For investors it is important to know what trading strategies an asset manager pursues to generate excess returns. In this paper, we propose an alternative approach for analyzing trading strategies used in active investing. We use tracking error variance (TEV) as a measure of activity and...

As the term structure of interest rates cannot be directly observed in most segments of the capital market, it has to be estimated from bond prices. It is not possible to estimate stable and plausible term structures for all maturities with the usual approaches. In this paper a two-stage...