think of it this way: active investors face two distinct challenges. first, they have to gain an informational edge. next they have to exploit that edge at some scale, in markets literally built for price discovery. 1/

when an active investor buys, she does not celebrate if the price goes up immediately. she wants minimal to no to even negative price movement, so she has continuing opportunity to exploit. 2/

what constrains her ability to profit is not lack of liquidity or access to leverage, but the speed with which price usually converges to relative value. 3/

that, once she has found her information, is the main threat to her profit. and that precisely is what index flows exacerbate and render more hazardous. /fin