I don't think this is as horrible as it sounds. It would be expected that a long-term investor would have a negative alpha (for the period of a few seconds), es

I don't think this is as horrible as it sounds. It would be expected that a long-term investor would have a negative alpha (for the period of a few seconds), especially in a shallow market encouraged by low-latency traders. For example, if you're buying 100k stocks on an exchange, chances are that you'll move the price. Since the price movement was "random" (i.e. not caused by any fundamental news about the company, but rather about your decision to execute that trade exactly in that moment), it would make sense for the price to revert back to the previous mean. But then, if you're focused on the long-term performance of your investments, you won't care - you know in advance that you will have to pay a fee for executing large trades (which is only fair, really), so you factor that in when deciding which stock to buy!