Active Management vs. Passive Managementby Tim Bock
The best that can be said for the active management approach is that the dispersion of results between the best performing and worst performing active managers is likely to be greater in less liquid markets. In other words, some active managers will do much better than the market, but others will do much worse: it's a zero-sum game. Since there is no reliable way of identifying superior active managers in advance, active management simply adds uncertainty to the investment process.