"In short, the combined portfolio of all active mutual funds is close to the cap-weighted market portfolio,
but with a return weighed down by the high fees and expenses of actively managed funds....
Keep in mind, however, that after costs, that is, in terms of returns to investors,
we are back in the realm of Table 1 and Figure 1, where the evidence says that
for the vast majority of funds true α is negative.
And even for the top percentiles of historical t(α), strong past performance is probably due to chance.
Going forward, the estimates of true α for the top performers is close to zero
- about the same as for an efficiently managed portfolio of passive funds"