Not sure if any studies were done, but you need go no further than the folks who invented it, Jim Simons and Renaissance Technologies, whose Medallion Fund retu

Not sure if any studies were done, but you need go no further than the folks who invented it, Jim Simons and Renaissance Technologies, whose Medallion Fund returned 66% over 30 years. The fact that they closed the fund to everyone but employees soon after they realized how good their algorithms were says a lot. https://en.wikipedia.org/wiki/Renaissance_Technologies https://en.wikipedia.org/wiki/Renaissance_Technologies