People would be a lot more skeptical if they understood that there is an incredible amount of chance in the results that you observe for active managers. So the distribution of outcomes is enormously wide - but that's exactly what you'd expect by chance with lots of active managers who hold imperfectly diversified portfolios. The really good portfolios contain a lot of really lucky picks, and the really bad portfolios contain a lot of really unlucky picks as well as some really bad ones.
Eugene FamaI take the market-efficiency hypothesis to be the simple statement that security prices fully reflect all available information.
Eugene FamaActive management is a zero-sum game before cost, and the winners have to win at the expense of the losers.
Eugene FamaMarkets are efficient, but there are different dimensions of risk and those lead to different dimensions of expected returns. That's what people should be concerned with in their investment decisions and not with whether they can pick stocks, pick winners and losers among the various managers delivering basically the same product.
Eugene Fama