The Incredible Structural Alpha

How Smarter Portfolio Design Beats the Factor Zoo

For decades, investors and academics have been locked in a hunt for alpha—the holy grail of risk-adjusted returns that can’t be explained by known market factors. The quest has grown so frenzied it spawned what John Cochrane famously called the “factor zoo”: a sprawling menagerie of hundreds of documented anomalies, each claiming to produce excess return. Yet despite all this effort, alpha has been shrinking. Mutual fund alpha has declined as has hedge fund alpha. The playbook that worked in 1993 looks considerably less potent today.

So, is alpha dead? Andrew Berkin and Christine Wang of Bridgeway Capital Management, authors of the study “The Incredible Structural Alpha,” published in the Spring 2026 issue of The Journal of Beta Investment Strategies, believe the answer is an emphatic no. However, finding it requires a fundamentally different mindset.

What Did the Authors Examine?

Berkin and Wang set out to show that meaningful, persistent alpha is available not by discovering exotic new factors or mining ever-larger datasets, but simply by being more thoughtful about how you construct the portfolios you already have.

Their laboratory was the classic 5×5 grid of portfolios sorted by size and value—the same analytical framework that Fama and French used in their landmark 1993 work. Using 60 years of US stock data (July 1963 through June 2023), they walked through four straightforward and easy to understand portfolio construction scenarios, measuring how each incremental design improvement affected both raw returns and risk-adjusted alpha.

The four levers they pulled were: You can read the rest of my Morningstar article here.