In search of manager alpha: outperformance and dispersion

August 2023

The purpose of this paper is to measure and analyze the historical performance of actively managed strategies compared to market benchmarks. This topic has been discussed before in numerous platforms and contexts, but this paper aims to objectively create an accurate historical and quantitative picture of relative performance over time.

We found that the median manager in the majority of asset classes outperformed their benchmark before fees. However, the level of outperformance varied considerably, and it was not always sufficient to overcome the median fee for the respective asset classes. We also found that US small cap equity, EAFE equity, and emerging market debt (hard currency) have exhibited the largest positive median manager alpha net of fees.