You have discovered an investment strategy that can beat the market by 300 basis points per year.
Assume the stock market is expected to return 9% per annum. Unfortunately, to implement your strategy, you will have to turn over your portfolio three times a year.
Think of this as rebalancing (selling and purchasing) 25% of your portfolio every month. You have very good traders, who can execute trades at a cost of only 7.5 cents per transaction (15 cents round-trip) on a $30 stock. Does this strategy make sense?