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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)
Do you think strategies exhibit reversion? Post publication we see factor alphas decay generally, but it's well known that e.g. value goes in and out of favor cyclically. So maybe there's alpha in being able to hold thru underperformance until enough ppl leave a factor?
Any news about when trend-following is going to stop providing alpha? Has worked for a good century, can be backtested decently in several asset classes & I expect it to continue to work. Who is not gonna pay me in the future? Who was paying & now isn't?pic.twitter.com/GJ6l2KYoks
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