Being a system trader, for the most part, I found this interesting.

Investors Underperform Because They Continue To Chase Returns – Joel Greenblatt

In 2011, I published a book called The Big Secret for the Small Investor. I always say it’s still a big secret because no one bought it. It talked about a couple of studies, including the best-performing fund from 2000 to 2010, which was up 18% a year even when the market was flat. The average investor in that fund went in and out at the wrong times on a dollar-weighted basis to lose 11% per year.

Meanwhile, the statistics for the top-quartile managers for that decade were stunning: 97% of them spent at least three of those 10 years in the bottom half of performance, 79% spent at least three years in the bottom quartile, and 47% spent at least three years in the bottom decile. So our fund would compromise: Reduce the tracking error but add the benefit of buying cheap stocks and shorting expensive stocks. In a more muted return environment for the S&P 500, that extra additional return should be very attractive to investors.