Here's an example of how an alpha decays as we trade less and less liquid assets. This the pre-fees performance of an alpha cross_ex_std_1w.

It is the standard deviation of volume across exchanges for a given timestamp, and then averaged over the past week. Basically how well do exchanges agree, you can also use OI it is about 0.86 correlation if you swap it out for OI.
It is very clear that as we trade less liquid and higher spread assets where it becomes increasingly harder and harder to monetise the signal gets worse.
It starts out at 2 sharpe and ends off at 0.3 Sharpe for top 30 (by marketcap). An example of efficiency of alphas.