When the average person looks for a place to hit the treadmill, they probably choose somewhere nearby that's affordable. Should another gym open up, offering cheaper monthly fees to use their exercise equipment, that average person would most likely take their business there instead.
Rationally, you would expect the same to be true at a BJJ gym. You are a paying customer, and therefore you want the best possible return on your investment. Should you find someone willing to offer you a similar product for less money, then rationally, it would make sense to move.
However, signing up at a BJJ club isn't just an exchange of cash for goods. When you join a team, you're entering into a relationship that is more than financial. In the vast majority of schools, what it takes to earn a belt rank is the subjective opinion of an instructor. Therefore, as soon as your teacher awards you a belt, you become their representative. The instructor is putting their faith in your ability to uphold their reputation, to demonstrate that belts from their team are worth something. That means that along with your performance on the mat, you normally also need to prove a certain amount of dedication.
Loyalty isn’t only about the instructor, because that belt doesn't just represent what you have learned from your teacher. It pays tribute to all those hours spent with your team mates. Every roll, you've been tested, and if you're lucky enough to have good training partners, you've also benefitted from their advice. They've pushed you physically, challenged you mentally, broken you down and built you up technically. Every new belt is an individual accomplishment, but it is also a team effort.
Competition is another important factor in the unusually 'team' focused mentality of BJJ. Unlike judo, where you compete for your country, in BJJ you compete for your team. It is comparable to football: a player for Real Madrid would receive a very hostile reception should he ever transfer to Barcelona and later face his old club. Similarly, there is absolutely no way either Real or Barcelona would allow a player to train at both clubs simultaneously. He would be dubbed a traitor, or to use the BJJ term, 'creonte'.
Then again, that same footballer would be well paid for his services. In BJJ, the players are the ones who pay in order to be part of a team. This is why it can seem bizarre to outsiders: moving home is about the only situation I've heard of where switching teams isn't an issue (unless there happens to be an affiliate in that new city).
Arguably, that attitude hinders the growth of BJJ, isolating everyone in their particular schools, unable to benefit from a broad range of instruction. On top of that, obsessing over your 'team' can lead to the 'gentleman's agreement'. This happened recently when Sergio Moraes and Marcelo Garcia, both Alliance, did not contest their middleweight final at the 2009 Mundials. Instead, they had a game of rock-paper-scissors to decide the victor.
Personally, I didn't put much thought into why I decided to walk into the Roger Gracie Academy in 2006 rather than, say, Carlson Gracie London. Nevertheless, I now find myself looking for either RGA or Gracie Barra when I move house. Stepping through that door appears to have been a more momentous decision than I realised at the time.
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