Download our new research on the nature of investment alpha and what active managers can do to sustain it.
In today’s environment, the ability of an active portfolio manager to generate alpha — returns above those of the index — is more critical than ever. Our research shows that managers do tend to accumulate meaningful alpha, but then often give it back due to biases and poor exit timing decisions.
In a supplement to our Alpha Lifecycle research, this paper shows that disciplined active managers who are able to exit positions at or near the peak of their alpha curve – typically a 6 month ‘window of opportunity’ per position – can preserve more than 120 bps outperformance (net of fees), per year, vs index funds.