> If that worked, everyone would do it, and so it would no longer work.

This simply isn't true. Sometimes there are dollar bills on the ground. It takes a lot of years for everyone to pick them all up.

Keep in mind that the efficient market hypothesis disproves(TM) starting a successful business just as well as it disproves finding a successful trading strategy. ie: if that were a good startup idea, someone would have already started it, so it can't be an opportunity any longer. EMH is a useful tool but in reality it takes a long time after a fundamental shift creates an opportunity for it to be arbitraged away, and sometimes the opportunity ends due to another fundamental shift, not due to people arbitraging it away.

People copy other successful businesses all the time. Granted, it takes some time, but innovative business ideas become mainstream if they're successful.

Keep in mind that changing an investment strategy is simply changing the algorithm used. If I was running a fund returning 7% yoy, and yours was returning 10% yoy, you bet I'd be telling my staff to try out your algorithm.

Magellan was the biggest fund in the world until other funds adopted their innovations and it pretty much reverted to the mean.

Sure, but in finance it's not clean. It's not like one fund is getting 10% every single year and the other 7% every single year - there's high variability. The fund that'd underperforming may expect that the other fund's strategy is likely to blow up once every 20 years and thus not be worth it. It takes decades to get statistically significant results, and by then the world has changed.

PSLDX is one:

https://www.portfoliovisualizer.com/backtest-portfolio?s=y&t...

(Disclaimer: this is not an endorsement)

PSLDX does not dynamically adjust the leverage between stocks/bonds as a typical risk parity strategy would. Not that this is necessarily bad, this fund has a consistent exposure to a duration trade, buying long term bonds and paying short-term borrowing rate. over the last 40 years or so this has been a fantastic trade, as interest rates dropping both raises the price of bonds, propels higher equity values, and lowers the cost of leverage.

the downside to this particular fund is the extreme turnover in the fixed income component (only suitable for tax-free accounts) and the interest rate risk; the fund could underperform SPY in a world with increasing interest rates (which is where many traders believe we are now)

It does have an impressive record. 12 years is a good start, but not a long enough track record to prove much. I've been investing for nearly 40 years, and have had many with 12 good years go sour.

Not everyone does everything the best possible way.

Almost all people will immediately balk at the idea of using leverage in investing, despite the higher backward-looking risk adjusted returns. This is especially true when it might be statistically better, but in various stretches (eg. Last March) it does worse.