11.12.2025 Opalesque Exclusive: Lhabitant paper shows how benchmark choice can manufacture or erase alpha
Matthias Knab, Opalesque for New Managers:

A new research note by Francois-Serge Lhabitant offers a sharp critique of how the asset management industry estimates and interprets alpha, arguing that many widely used methodologies systematically distort the true picture of manager skill. The paper shows that alpha - typically the intercept from a regression of fund excess returns on a benchmark

Article source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5884722 - Opalesque is not responsible for the content of external internet sites
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