A very good post indeed.
My two cents on the issue:
1. I would suggest some of you check out the non-investable numbers as well. HFRX is notorious for poor sampling data - surprised there are quants who would be applying data mining on those information because I surely do not.
2. Run AR1 to AR5 models on the VWAP and VWAV and you'll find an interesting pattern (interesting from my perspective at least).
3. Run a graph of tradable vs non-tradable goods over a span of 70 years. Notice the deviations.
Happy trading!
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