Why Active Investing Is a Negative Sum Game
by Eugene F. Fama and Kenneth R. French
William F. Sharpe has a great article in the January/February 1991 issue of The Financial Analysts Journal (Vol. 47, No.1, pages 7-9). The title is "The Arithmetic of Active Management." It should be required reading for academics and investment professionals alike.
The whole article is at: https://web.stanford.edu/~wfsharpe/art/active/active.htm
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