This is a classic case of "It depends." Sometimes you can't have both and the finer points really come down to bit depth, image quality, image content and even the Alpha channel itself. If it has lots of semi-transparencies and such it will compress lesss eficuent, if it's just an opaque matte, it could be compressed insanely. See? There's no simple, all out answer for this, but a few things to consider are:
- Save the Alpha as a separate clip or image sequence to later be re-introduced as a matte
- Use "old" formats like Targa and TIFF to render 8bit image sequences
- Use PSD Image sequences or EXR files
- Consider alternate CoDecs liek DNxHD
There's always a tradeoff of course, but e.g. a simple logo animation with no detailed graphics can compress insanely as TIFF or Targa. What was once a 20 GB file could end up being a 200 MB image sequence. So it's definitely worth a try.