"They found they could have made a tidy paper profit in the following six-month period, on average, 12.01 percent a year above what a simple, market-… - Benoit Mandelbrot

"They found they could have made a tidy paper profit in the following six-month period, on average, 12.01 percent a year above what a simple, market-following index fund would have earned them. But beyond six months, the picture changed: After two years, their paper profits vanished as the stock prices "corrected" themselves."