This is actually a well-known issue though probably never presented to a non-trader audience like this before. As you raise your holding period, max attainable returns and max attainable risk-adjusted returns decline very sharply. This is why good quantitative hedge funds insist on short-term forecasts and active strategies that trade frequently though not necessarily HFT.
There are a number of other issues here. Even obvious things that a junior analyst on a good desk would do in about 2 minutes haven't been done in order to make God's returns look worse. For example, (I haven't tested this myself) I suspect God would do MUCH better if God rebalanced 1/1260th of his portfolio every day based on the 5-year forecast that day. (1260 trading days in 5 years), and God would likely have lower transaction costs as well.
There are also many issues with how they are constructing these God portfolios. Portfolio construction and risk management frequently have a bigger impact on investor returns than the quality of the forecasts.
There are a number of other issues here. Even obvious things that a junior analyst on a good desk would do in about 2 minutes haven't been done in order to make God's returns look worse. For example, (I haven't tested this myself) I suspect God would do MUCH better if God rebalanced 1/1260th of his portfolio every day based on the 5-year forecast that day. (1260 trading days in 5 years), and God would likely have lower transaction costs as well.
There are also many issues with how they are constructing these God portfolios. Portfolio construction and risk management frequently have a bigger impact on investor returns than the quality of the forecasts.