A high correlation between active manager returns and risk premia means that active fund returns contain mostly risk premia. •If active manager returns are highly correlated with risk premia, the data not only fuel the possibility that active funds are merely tilting on risk premia, but also weaken the argument that only active managers can provide diversification Results How Much of Alpha Can Risk Premia Account for? The main idea is to regress manager returns on variables and the unexplained portion of returns is commonly known as alpha. The results of the regressions show that the average manager produced a very small amount of alpha annually. Once the factors size and value-growth are included, the average alpha decreases. Thus the Fama and French factors can explain more than half of the managers’ alphas.