According to Christian mythology, the Holy Grail was the dish, plate, or cup used by Jesus at the Last Supper, and said to possess miraculous powers. Legend has it that the Grail was sent to Great Britain, where several guardians keep it safe. The search for the Holy Grail is an important part of the legends of King Arthur and his court, with Percival, one of the Knights of the Round Table, and Galahad, Lancelot’s son, playing the major roles. The financial equivalent of the quest for the Holy Grail is the quest for the money managers who will deliver alpha—returns above the appropriate risk-adjusted benchmark. Our journey together on this quest is really a tale of two competing theories about how markets work and which investment strategy is most likely to allow you to achieve your financial goals.


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