Brokerage fees. Even without that, still no. There is an implicit assumption in your math that bad and good investors aggregate funds in the same amount. They

Brokerage fees. Even without that, still no. There is an implicit assumption in your math that bad and good investors aggregate funds in the same amount. They don't. And, depending on exactly how strictly you are defining EMH - I mean, does anyone believe it in it's strictest form? It's a crazy idea.