Overview

Performance Alpha is not generated smoothly over time. There are inevitable periods of both extreme outperformance and underperformance. I do not believe it is possible to predict when these periods will be. The problem is that excluding the most significant periods of outperformance can dramatically affect a clients performance relative to the fund's performance. Anecdotally and from popular papers by John Boggle, for example, Clients have a habit of leaving after shorter periods of underperformance, and joining after periods of outperformance leading to clients within a fund underperforming the fund itself. I would like to do

• a literature review both of what research has been done on this subject.
  
• What measures of destructive client behaviour have been proposed
  
  • Pros and Cons of each measure
    
  • Examples
    
    • Behavioural Alpha
      
      • Fund Return over period vs. Clients IRR
        
      • Return if net contributions level over period vs. Clients IRR
        
    • Period Invested
      
    • Contribution Volatility Measure
      
• Whether there are additional measures that could be used
  
• What can be done to assist clients to protect any alpha creation
  
  • Have there been successful studies on how to do this?