Nordic strategy evaluation

You should have a look at this extraordinarily thorough and methodic assessment of the allegedly active investment strategy of the Norwegian Government Pension Fund NBIM, which was commissioned from the Ministry of Finance in the wake of heavy losses during the crisis. The academic authors came to a number of noteworthy conclusions:

• Their survey of current thinking about the Efficient Markets Hypothesis (EMH) suggests that EMH does not hold in practice, even though it is quite hard to consistently beat a market portfolio: "even modest levels of skill should lead to at least some part of the portfolio being actively managed".
• The authors found that the fund's active strategy contributed a small, but statistically significant outperformance. However, they attributed this outperformance not as much to the active strategy per se, but rather to the exposure to a number of financial market risk factors (especially liquidity and volatility) as often used in hedge fund replication models. The lion's share of the fund's performance arises from passive exposure, which is why they consider the fund not to be an actively managed portfolio in first approximation.
• Consequently, they recommend that effectively, a semi-active strategy be adopted which uses factor exposure as active bets rather than as an accidental byproduct of more conventional active strategies. 

Comparing NBIM's size, resources and sophistication with those of the overwhelming majority of players in the field should give pause for thought in applying those considerations to other cases.