Another theoretical issue is that UNDER performance doesn't mean NEGATIVE performance. If the market average is returning 10% one year, and a stock-picker retur

Another theoretical issue is that UNDER performance doesn't mean NEGATIVE performance. If the market average is returning 10% one year, and a stock-picker returns 6% (maybe even 8% - but with fees eating 2%), then doing the OPPOSITE of the stock picker would be a bad idea. You don't want to short stocks that (on average) are having positive returns ...