The results reported in Brock et al. (1992) have clearly changed over recent years. However, their results
on predicting conditional variance remain stable. The causes of the first change remain an interesting open
question. They may have to do with technology, better price information, and lower transaction costs, or
possibly a greater attention is now given to technical trading rules. In all cases the changes in the profitability
of these dynamic strategies provides an important piece of information on how markets function. If traders
have indeed traded the profits away, then an interesting study would be to look at the volatility side of the
picture in a similar light. Is there a dynamic strategy that would push the conditional variances toward
eachother? This is a much more complicated question than for the means, but it would be a very interesting
question to answer.