But it would be pretty easy to obfuscate the whole thing behind a few layers of "We've got 50 PhDs working here, we run black box algorithms" etc etc, the strategy could be artificially made a couple of orders of magnitude more complex while still producing the exact same outcome.

Do hedge fund investors keep an eye on whether you do what you say? How did Bernie Madoff go for so long if that's the case?

Of course the mechanism is simple and mechanical, but that isn't how you'd market it to investors.

I'll go read the Lo paper...