RT Journal Article
SR Electronic
T1 The Alpha Life Cycle: New Insight into Investment Alpha and How Portfolio Managers Can Sustain It
JF The Journal of Investing
FD Institutional Investor Journals
SP joi.2022.1.237
DO 10.3905/joi.2022.1.237
A1 Chris Woodcock
A1 Alesi Rowland
A1 Snežana Pejić
YR 2022
UL https://pm-research.com/content/early/2022/08/02/joi.2022.1.237.abstract
AB In this article, the objective is to validate and better understand an effect of return generation at the position level that has long been assumed but never demonstrated: that return generation has a life cycle—a beginning, middle, and end—and that investors often hold on to positions too long, potentially diminishing whatever excess returns they were able to generate early in the life cycle. This analysis examines roughly 10,000 episodes (i.e., full cycles of a given position from first entry to last exit) across 43 active equity portfolios over 14 years.