Bayesian Investor, previous Overcoming Bias co-blogger, made this claim here. However, Eliezer Yudkowsky in Inadequate Equilibra seems to think beating the markets in such a way is impossible. I don't know who to believe. More information on Eliezer's critisisms and Bayesian Investor's replies to them can be found in the comments on the linked page.
Whether or not Bayesian Investor's strategy works is extremely important to know, because if it does work, effective altruists have the potential to substantially increase their wealth and thus effectiveness at altruism. To give an extremely rough sense of the importance, note that if 1,000 effective altruists each with $100,000 in investments earned an extra 3% returns, they would collectively make and extra $3,000,000 per year. Of course, this is ignoring the possibility of re-investing the money, which could further increase earnings. We could all follow Bayesian Investors advice just in case it turns out the be right, but the funds he recommends investing in have significant management fees, and paying them for no benefit would be quite costly in the long run.
I would very much like to know if Bayesian Investor's investment advice is worth following, and if it is, how we should go about spreading word of it to other effective altruists.