PT  - JOURNAL ARTICLE
AU  - François-Serge Lhabitant
AU  - Denis Mirlesse
TI  - Alpha Capture Systems: Past, Present, and Future Directions
AID  - 10.3905/jai.2023.1.181
DP  - 2023 Jan 23
TA  - The Journal of Alternative Investments
PG  - jai.2023.1.181
4099  - https://pm-research.com/content/early/2023/01/23/jai.2023.1.181.short
4100  - https://pm-research.com/content/early/2023/01/23/jai.2023.1.181.full
AB  - Alpha Capture Systems (ACS) describe a set of commercial and private computer programs that track investment recommendations and their subsequent performance to create an alpha-generating portfolio. This article presents an overview of the evolution of ACS from the first sell-side to the more recent buy-side systems, from capturing brokers’ ideas to analyzing the underlying positions of mutual funds and even hedge funds. We discuss the key features of the most recent ACS and flag their expected weaknesses. We suggest various improvements we expect to see in future ACS that, based on our experience, should enhance their performance significantly.