This dissertation presents an overview about the active portfolio management process focusing exclusively on the first two stages: the information analysis science and alpha building. The Value Added (VA) formula is analytic developed showing that the Information Ratio (IR) is directly proportional to the amount of value that a strategy can add, and therefore, is an excellent ratio for comparing different strategies. On an exclusive chapter the IR is defined and studied demonstrating the advantages and disadvantages of it s use.For an information to be analyzed there must be a minimum economic/financial background that justifies some return forecasting power.Otherwise, we could be starting a data mining process that can fool information analysis into believing that information exists when it does not. So on, this dissertation presents a chapter devoted to the study of the main financial ratios used by the asset management industry, demonstrating, even analytically, why some financial ratios can predict returns. Next, using a software developed on Matlab framework capturing data from an ACCESS database, all the financial ratios studied in this dissertation are analyzed for the period going from Jan/1998 to Dez/1999. The results obtained show that the most frequently used financial ratios, as the book-to-price ratio for example, are the ones which better perform in terms of IR.Concluding, alpha building, which is after all the basic input for portfolio optimization, is explained. The chapter emphasizes the alpha eating phenomenon explaining how it is detonated and how it can be avoided. .