You cannot in the same breath argue that there are simple market strategies that offer superior risk-adjusted returns, and then claim that big money won’t go after it because they can’t get out.

There are more actors in the market than just Citadel. For starters there are day traders at virtually every wealth level and with every level of risk tolerance. Someone—or more accurately, many someones—with more money, better information, and better market access is going to claim that free alpha until there’s none left. The notion that there’s so much free, obvious, and reliable market edge simply lying there for the taking by any shmuck with $100 to put into Robinhood is farcical and flies in the face of quite literally all empirical data we’ve collected on the performance of active market participants.

Every single time this kind of discussion happens on the Internet, people inevitably rush to the comments to say that they know the magic strategy that beats the passive indexes. And yet every single study to date has shown that active market participants perform worse than chance and there is zero correlation between those who beat the indexes one year and those who do so the next.

> As an individual investor you actually have a huge advantage over large institutions in that your portfolio is nimble and easy to get out of.

This is a joke. By the time you or I can act on market information, those same big players have known for a comparative eon; more than long enough to change the price of those investments enough to remove any edge.