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Most trades that "worked" have some combination of risk premium/structural alpha, and genuine alpha. That is, you were getting paid to either take a risk or perform a service, but also you got paid more than you "should" have because others had not noticed how good the trade was
Equity stat arb (i.e. cross-sectional price reversion) is an example of this. This provides the service of supplying liquidity to impatient traders and it therefore has positive expected return. But for many years the positive expected return was *way* higher than necessary
to induce traders to provide the service, because not many had noticed you could do it (or had the necessary infra). So it had genuine alpha in addition to structural alpha. Now it only has structural alpha and is less well rewarded as a result.
I'd argue most forms of quant value and trend following have a similar property. Value is a risk premium and trend following (on average) provides the service of taking on price risk from hedgers, but they both also had had genuine alpha in the past which is largely
absent today. For these strategies in particular past performance is not a guide to future returns.
(Also if you are looking at a backtest of these strategies rather than a live track record there is a ton of "data mining alpha" but that's a separate topic)
It’s fascinating, you’ve posted so much yet I cannot think of one single post you made that I learned anything from.
It’s honestly quite strange that you follow < 40 people and one of them is someone you never learn anything from. Idk your background but perhaps my tweets aren’t really intended for you? You could just unfollow!
Hi! the unroll you asked for: Most trades that "worked" have some combination of risk… https://threadreaderapp.com/thread/1370390303178375170.html … See you soon. 
What about the service "pay someone else's outperformance by underperforming." When will these people finally get paid?pic.twitter.com/lSz7U91dxD
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