OK you like EMH so much that you think 9 students from one professor all outperforming for decades is cherry picking and data mining.

To expand even further on my critique: you are placing a huge amount of weight on 9 students, of unknown veracity, out of an unknown number of students (itself out of an unknown number of millions of people who have tried to beat the market over the past century), who have not released audited records much less ones comparing them to indexing, who started half a century ago (which is the investing dark ages compared to what goes on now, in 2013), and at least one of whose successes seem to be partially explained by non-efficiency-related factors?

This is roughly as convincing as Acts of the Apostles documenting the 12 apostles' successes in beating the (religious) market and earning converts.

I think people investing more broadly than SP500, people investing with people who come in to their living rooms seeking "angel" investors do a lot worse. If the market was efficient in principle, then one wouldn't need the SP500 or even the NASDAQ seal of approval to wind up with results that were at the market mean.

Those angel investors are forfeiting diversification and so can easily earn below-average returns. EMH doesn't mean that you cannot deliberately contrive to lose money.

I think their is a gigantic difference between "we cannot prove that their is alpha" and "the most likely explanation of what we see is that their is no alpha."

I think in an adversarial environment where everyone claims to be able to beat the market and you should give them their money, and there are compelling theoretical reasons that any beating of the market would wipe out whatever advantage was posssed, there is not such a gigantic difference.

I bought a few thousand dollars worth, made the 20% or so return it seemed I was seeing laying on the table a few months later.

Congratulations on your day-trading success. You know what happens to most of them, right?