Edit: 2015/07/12, There are some serious mistakes in this article. Now that I re-read it with a more developed understanding, I can see some inconsistencies. I play fast-and-loose with the terms alpha and beta, in part because I hadn’t yet worked out their strict statistical meanings. What I was trying to argue was that there are hundreds, or millions of factors that drive asset returns, but that they are often extremely hard or even impossible to identify and measure. But that doesn’t mean the individual investors aren’t aware of these factors. So (possibly) when a hedge fund has a great return, it’s not necessarily because they ‘beat the market’ — in fact that is an undefined term — but because their investment in research allowed them to gain exposure to the factors they thought best (*cough* or more likely because they were massively leveraged and bought the market). And that this price discovery benefits the market as a whole, and doesn’t imply that everyone must win or lose ‘alpha’ with respect to the market.