EFF/KRF: They can't be experts since, as Bill Sharpe pointed out in 1991, this is a fallacy of arithmetic. In aggregate, investors hold the market. This means that, before fees and expenses, the alpha for investors as a whole is always zero. Our recent mutual fund paper says that, in aggregate, passive mutual funds nail their benchmarks: their aggregate alpha is zero. If this is true for passive investors more generally, it implies that the aggregate pre-cost alpha of active investors (stock pickers and other types) is also always zero–regardless of market conditions. Active investors can only win at the expense of other active investors.
Eugene Fama and Ken French are members of the Board of Directors of the general partner of, and provide consulting services to Dimensional Fund Advisors LP.