Hey Norbert - thanks for your comment!

My personal philosophy as to what ultimately matters is maximizing geometric returns, as many of the assumptions underpinning many risk-adjusted measures are unrealistic for most portfolio managers (e.g., you can borrow at the risk-free rate to lever a superior Sharpe portfolio, etc.). As the saying goes, "You can't eat Sharpe."

Your critique is fair as it pertains to statistical significant alpha when directly measuring Team Behavior against Team Efficiency. If you regress one return stream against the other, there is no statistical significance in the intercept. But, I'll push back and caution against the need for such a long-time horizon for measurement. I'll note that for Figure 2 I used daily returns in the analysis and annualized the results, so there were 6,435 data points for the measurement and the five year rolling metric displayed contained a rolling 1,260 data points for 5,175 calculations.

To the dangers of requiring very long time horizons, it's my opinion that markets are ever evolving complex adaptive systems and by requiring such a long time horizon for data analysis, you're implying that future market dynamics will be the same as they've been in the past (i.e., markets are stationary). This can introduce significant bias in models and model conclusions as many of the data points are "stale."

Many market efficiency proponents and factor investors have learned this hard way, since many of the original academic findings from these early papers have performed poorly. For instance, the Russell 1000 Growth TR Index has recently overtaken the Russell 2000 Value TR Index in performance (since 12/31/1978). If you're a risk-premium market efficiency believer, you're in trouble. If markets are efficient and higher returns should be compensated with higher risk taking, how does this occur?

Well, you'll notice that they're bolting on more factors to their model portfolios and have gotten away from the concept of risk-premiums altogether (e.g., How are more profitable companies riskier?). I'd also argue that by publishing their findings, many market participants believing these were inefficiencies and not risk-premiums, corrected their mistake. Markets adapted.

At the end of the day, it all comes down to your investment philosophy and how you believe markets work. I personally try to blend the underlying theory and logic from each camp. Believing that markets are efficient most of the time, but investors can be irrational some of the time causing inefficiencies, all while keeping in mind that "past performance isn't indicative of future results" since market dynamics change and evolve.

I'd be more than happy to review your findings if you choose to do the research you're suggesting!

All the best - Scott