The Supply and Demand of Alpha
Journal of Investment Management (JOIM), First Quarter 2011
Posted: 9 Apr 2011 Last revised: 13 Apr 2011
Date Written: January 1, 2011
Abstract
This paper analyzes the supply and demand for alpha by institutional investors and the money managers who serve them. A large database of products offered by such managers is used to estimate how the demand for such products increases as a function of achieved excess returns and how the ability to produce such excess returns declines with increased AUM (Assets Under Management). Static and dynamic (simulation) analyses are used to explore some implications of these estimates.
Keywords: Supply and Demand, Alpha, Assets under Management, Financial Equilibrium, Institutional Investors, Robust Estimation, Inflow, Excess return
JEL Classification: G00
Suggested Citation: Suggested Citation