The hardest thing for active investors to accept is that attempting to beat the market is futile. "It’s kind of crazy when you think about it," say Wesley Gray and Tobias Carlisle in their book, Quantitative Value. "We had hoped that having tested every model and approach under the sun we would be able to triumphantly announce that we had identified a way to reliably predict the market using fancy algorithms derived from hundreds of academic researchers. "But it just wasn’t the case. We’ve built these models: they aren’t reliable; they aren’t robust; and they are littered with data-mining. A large swath of the financial services industry would love to have you believe in their magic. We’re here to tell you that it doesn’t exist. Sorry." "This message [that attempting to beat the market is futile] can never be sold on Wall Street, because it is in effect telling stock analysts to drop dead," says Nobel laureate Paul Samuelson. "And even if this advice to drop dead is good advice, it ...
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