Oversampling is necessary to increase the quality of the waveform and signal-to-noise ratio; so with 125 MHz I wouldn't go beyond 20-30 MHz of bandwidth, maybe the 40 you mention, not the 60 or sharp 62.5... especially if the anti-aliasing filter has 1 pole only.
Choices: passive or active filter.
Let's assume that the ADC is driven by an OpAmp buffer, possibly doing level shifting and offset adjustment. Its output impedance at several MHz increases to let's say a fraction of ohm to a few ohm if it is already a good OA (150 MHz GBWP minimum).
Passive filter: it is stable it is simple, and alas has only 1 pole; if you do not expect big noise above the chosen cutoff frequency, then it is ok for the purpose of anti-aliasing. 47 ohm and 100 pF give 33 MHz. This circuit has linear phase over a portion of its bandwidth, up to about 20% of cutoff frequency. The change of OA output impedance is "absorbed and masked" by the 47 ohm.
You may increase the order as suggested by @Dan Mills and @Bimpelrekkie: take into account filter tuning for resonances, maybe adding some larger resistors in parallel to inductors.
Active filter: there are good architectures (Sallen-Key, Multiple Feedback, etc.) to build active filters; . Once the architecture is decided you may calculate components with high accuracy once the parameters of the desired transfer function have been decided: Bessel, Butterworth, ... including Equiripple (that I like). However, it is never clear what is the effect of limited gain of the OpAmp and parasitics. I posted a question (OpAmp performance for Sallen-Key filter); see @peufeu answer, very useful. Link to Analog Device design tables Depending on chosen filter, keeping a conveniently nominal gain of e.g. 1-2, you need a lot of margin on the open loop OA gain: with 30 MHz of cutoff, probably you have to go to 150-300 MHz of GBWP, and this necessitates RF techniques, risk of oscillations and ringing ... all things that are worsening the quality of what your ADC can do. I usually use FET input OpAmps because they do not create problems of offset with OA input bias/offset current and large resistor values, that are changing when selecting different cutoff values (e.g. AD8065, AD8039 less stable with temp.)