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Charles Ellis is a master story teller. When Ellis served on Yale University’s investment committee from 1992 to 2008, his colleagues, who included David Swensen, went so far as to call the advice and wisdom he imparted through his stories “Charley’s parables.” So when I decided to research whether alpha — investment returns above what a plain old index fund would give you — was just a fairy tale that the investment industry told itself at bedtime, Ellis was my guy. I asked the author of Winning the Loser’s Game and the man who wrote the foreword to Swensen’s landmark book on portfolio management to talk to me for a video series we were filming on the murky topic of why institutional investors rarely beat the market. It isn’t a new problem (Ellis first wrote about it in 1972), but it has been getting steadily worse, and I believed I might be writing alpha’s obituary — not good when your job is writing for a publication named Institutional Investor.

When the indefatigable Ellis called me back on a dreary day at the end of March, he graciously said no to the video, assuring me I would never want to interview him on film, as he doesn’t know how to speak concisely. We then spent an hour talking about what prompted him to write “Murder on the Orient Express: The Mystery of Underperformance,” a short, Agatha Christie–inspired piece in the Financial Analysts Journal last year in which he lays the blame for the inability of pension funds, endowments and others to invest well at the feet of the “usual suspects.” Everyone is guilty in Ellis’s estimation: money managers who overpromise, investment committees operating under bad governance structures, consultants who want to protect their franchises and poorly paid, thinly staffed institutional investors.

But the 75-year-old Ellis is polite, perhaps to a fault. He assures me that all these people sincerely believe they’re doing the right thing and that it’s hard to identify the “son of a bitch” (well, maybe not polite to a fault) who is truly responsible for the colossal failure to find alpha. To make his point, Ellis takes me on a long and often touching detour to explain how we can be part of the problem even as we are oblivious to the specifics of the role we are playing. He enlists the movie The Help, in which young, card-playing white women are blind to the tragic effects of segregation around them, to make his point that people in the investment industry are doing their best, even if inexorable forces are preventing them from delivering their promised product.