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(MoneyWatch) Charles Ellis is the author of the classic investment book "Winning the Loser's Game." He's also a former managing partner of the consulting firm Greenwich Associates and is on the Board of Advisors of the Yale School of Management. Ellis has spent more than three decades working on business strategy with major investment management firms in Europe, Asia, Australia, New Zealand, and North America.

In an article that will appear in an upcoming edition of the Financial Analysts Journal, Ellis describes the persistent failure of institutional investors to achieve their ubiquitous, but ephemeral, goal of beating the market. He says that extensive data show that the persistence of outperformance of active managers is...