Investors With Alpha Will Have Asymmetrical Returns

If inefficiencies are present in an investor's market and she has alpha, the impact will show up in asymmetrical returns. Manager D might be described as an aggressive manager with alpha. She achieves 170% of the market's return when the market rises but suffers only 120% of the loss when it falls. The next manager is truly exceptional: When market performance is plus 10%, manager G's performance is up 20%. In a downmarket, manager F is only down 5%. He clearly doesn't have an aggressiveness, defensiveness bias since his performance is exceptional in both markets.