To be an active investor, you must believe in inefficiency to get opportunities, and in efficiency for those opportunities to turn into returns.
I work mainly on investing strategies, algorithmic trading (non-HFT, longer-term), a little bit of data science.
Here is a short presentation I once did on the subject that I'm particularly proud of:
How Can A Widely Known Investment Strategy Work And Be Profitable?
I've created this subpage specifically to stress the importance of the message expressed most clearly by Mauboussin in the work cited below.
Be it an active investor selecting stocks or a passive investor regularly adding chunks of ETFs, every investor must be aware of the odds she or he is taking, the competition to beat these odds, and what one's edge in the investment may be. Is it a behavioral edge, where you avoid certain behavioral biases? Is it an advantage of long-time compounding? Is it some informational or analytical advantage?
There is no free lunch in investing, it's always an exchange. For excessive profits some kind of risk must be taken. A lot of work has to be done and usually some temporary drawdown must be weathered. Not every risk is rational to take. But it's rational to think of every investment as a kind of exchange: trading a willingness to take this risk (and suffering the consequences of a failed outcome) in exchange for potential future profits in excess of a risk-free rate.
Namely: to every trade there is an other side. One needs to understand who is on this other side, why, and where one's edge in the investment may potentially be.