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The answer is: extremely.

Here are the common reasons people who say they are generating alpha aren't actually generating anything.

1. Misunderstanding beta and alpha

I saw a thread on here a few days ago from some guy claiming he was killing it in the stock market. Basically he was running a long-only account in a bull market lol If you go long everything and the stock market goes up 10% and you're leveraged 2x, you're going to outperform the stock market by returning 20%! He fundamentally misunderstood the concept of alpha. Even over short time horizons if you look at the weekly returns you'll see how your returns are really well correlated the basic stock indices.

2. Comparing yourself to the wrong benchmark

If you're running a futures trend-following strategy and you're benchmarking against the S&P - you're not looking at the right benchmark. You need to do a PCA against the the relevant return stream: https://www.grahamcapital.com/JOIM%2...%20Futures.pdf
This article shows that if you control for common strategies, most hedge fund (/CTA) managers are actually doing nothing much lol

3. Paper ballers

You actually have to trade with real money . Real slippage, real commission and real psychology.

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