Nicoals, thanks for this wonderful article. I am applying this pure alpha + beta approach already successfully for more than 20 years. First with trend following managed futures and then with more and more alternative investment risk factors.

I reap exactly those benefits you described. Much reduced MDDs during the last two crashes without bonds and around +2 percentage points p.a. higher return rate on long-term average over my reference, MSCI ACWI IMI TRN ETFs. This is mainly due to rebalancing alpha by means of the purely systematic 5/25% Swedroe rebalancing rule. My main effort goes into selecting the right alpha instruments and composing them well based on their statistical properties.

But I often cause quite some shaking heads in unbelief or even ridicule ever since with it. I assume the reason is mostly insufficient understanding of the intricate statistics behind trading and portfolio construction, which you all got to get right. But with an engineering background I like statistics and applying it at everyday work as ideal bridge between ideal theory and real practice.

"Consider how much busy is the multi-factor space now, after all the alpha is a zero sum game."

@Simone, real alpha was, is and will always go far beyond Investing 101. In my experience, each successful trader and investor with sustainable alpha returns masters a unique combination of diverse sciences - math/statistics, behavioural economy, history..., technologies, creative art and even religion with high discipline and decency a far cry away from Wall Street folks.

Thus, in order to have some certainty about alpha delivered in the future, try to find and only invest in those unique masters, who also know, openly admit and respect the limits of their specific alpha source.

One shining example is David Harding, who recently even left the trading art he once piloted, see:
www.winton.com/davids-views/July-2018/wintons-david-harding-on-turning-…  

You and @Jerome may look for some of these good folks on TopTradersUnplugged.com/start/ by Niels Kaastrup-Larsen, who wants to democratize hedge funds, see TopTradersUnplugged.com/about/

However, one of the best risk factor experts, Lars Jaeger, claims that alpha or rather alternative beta return capacities are much larger than assumed so far if exclusively the futures markets are traded for harvesting it. Because they are from 10 to 500 times larger and more liquid than the equity markets.  See his best textbook I know about it: "Alternative Beta Strategies and Hedge Fund Replication"  

If the implementation of the HF trading strategies also take the dependency of slippage costs on actual liquidity into account then capacity would be infinite, Lars says. Maybe because: "Only two things are infinite, the universe and human stupidity, and I'm not sure about the former." - Albert Einstein ;-)

I am just in the process of studying this new approach available through low cost ETFs, assumed to revolutionize the hedge funds industry in the futures as indexing, established by Bogle, has done it with the mutual equity fund industry before.

However, I am also still struggling with the issue of alpha or alt beta capacity if the trading strategies are public knowledge. What is your position about it and why, Nicolas? Will alt beta eat itself or be sustainable like traditional beta returns, if implemented well, as Lars claims?