Likewise, if as you say passive investments always returned on average more than active trading, we'd all passively trade and it would stop working.
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You'll do better than the worst active investors, but on average as long as they are competent, and your money manager is competent (to say both are competent), active trading in stocks over time will give higher returns. Don't most financial calculators display higher returns when you choose the "riskier" investment strategy over the "conservative" one?
I'm copping out a bit and not bothering to find the studies. But, I think a lot of people are active investors because they feel that they can do better, but many studies show that they're actually doing much worse. Too many people remember their gains and don't remember their losses. Someone that was up 100% one year and down 50% the next might not remember or realize, then, that they're stuck with the same amount at the end.
That said, I think an disciplined, focused investor can do better than the indexer and the average investor (for all intents, I think we should call average active traders "speculators" instead of "investors"). I also don't think that this flies in the face of Fama and French's efficient market theory. They acknowledge a premia for small stocks and value stocks. Of course, the full explanation, if I understand it, is because there is increased risk associated with that reward.
The best way to reduce risk in this case is through increased knowledge. Let's use an example of a micro stock versus a large stock and substitute analysts for the entire market.
A micro stock might have one part-time analyst. A large stock might have the attention of 20 analysts. We can argue that a stock price is always fairly priced based on all available knowledge and, as such, there's no incentive to try and bet against the market. However, when we look at the micro stock, it seems obvious that it would be easier for one investor to learn about the core business and capitalize on perceived strengths and trends before that knowledge is dissiminated to the broader market.
In essense, that seems to be the core of Buffet's style and one that's been preached regularily. He and Munger treat buying a stock position in a company as no different than buying the whole company... it just works out to a different percentage of ownership on the books. So, if you're always buying companies and never buying stocks, you stick with what you know and gravitate to companies that you 1) understand the best and 2) feel you can fairly price.
In a sense, as an individual investor, you might be in the best position to leverage this kind of mindset. The failing of many active mutual fund investors is that, if they do well (either through having a hot hand at the casino or true understanding), they attract money that might throw them out of their sweet spot. After all, if you're an awesome fund manager with micro cap stocks, you can only take in so much new money before you're forced out of micro cap stocks. As an individual investor, you won't face that issue for quite a long time.
all that said, I'm still happier right now with the bulk of my money in index funds and a little play money for speculation.