This is a good question and I had to think about it for six months before I could come up with a good answer.
Whether or not alpha is “non-zero sum” is a red herring. I was wrong concerning that point. There is a more important reason not to flaunt discoveries of alpha.
Alpha is a bet against your society’s beliefs. If you proselytize a powerful alpha source then other people will (in the short term) think you are nuts. This is no use to anyone.
If you want people to trust you in the long term then you can do one of two things.
Publicly bet reputation by flaunting your discoveries.
Privately bet capital.
If you are confident in your alpha source then you should bet capital regardless of whether you also bet reputation. If you are already betting capital then betting reputation is redundant. You gain no additional upside. But there is a long-term cost to your reputation if you turn out to be wrong. There is an unavoidable short-term cost to your reputation regardless of whether you turn out to be wrong.
Flaunting discoveries of alpha creates downside without upside.
I have three problems with this argument.
First, it’s not always possible to bet capital. For example, suppose you figured out quantum gravity. How would you bet capital on that?
Second, secrecy is costly and it’s not always worth it to pay the price. For example, it’s much easier to find collaborators if you go public with your idea instead of keeping it secret.
Third, sometimes there is no short-term cost to reputation. If your idea goes against established beliefs, but you have really good arguments for it, other people won’t necessarily think you’re nuts, or at least the people who think you’re nuts might be compensated by the people who think you’re a genius.