“…a fund’s management has skill only if the fund’s expected gross returns are sufficient to cover the costs (primarily trading costs) not included in its expense ratio…a comparable efficiently managed passive fund would apparently avoid these costs. More important, this definition of skill is the only one we can accurately test in the absence of accurate estimates of the trading costs of active funds…” -Eugene Fama and Kenneth French
THE JOURNAL OF FINANCE, VOL. LXV, NO. 5, OCTOBER 2010 article: