I was reading this blog yesterday. The author talks about how some fund managers outperform the market, and a list of names are given. This is interesting to me after having just finished reading "Fooled by Randomness".

http://bigpicture.typepad.com/comments/2006/07/outperforming_f.html

Taleb believes that with a big enough pool of fund managers, probability dictates that some will outperform the benchmark, even over a long period of time.

I am currently reading Mandelbrot - the two authors have some contrasting opinions - review to follow

http://www.amazon.co.uk/gp/product/1861977905/026-8787779-9446068?v=glance&n=266239

UPDATE: After the comment from Barry, I thought I would give my opinion on outperformance. For a number of years I have invested my money using various mechanical strategies including:

• Stephen Bland's High Yield strategy

http://www.fool.co.uk/valueinvesting/2006/vi060630.htm?source=EDSP

• Validea

http://www.validea.com/home/home.asp

As can be seen from the links, these have outperformed their respective benchmarks over a timeframe of several years. If the market were truly efficient this shouldn't happen, unless we are at a particular point in the economic cycle that flatters these strategies. If I didn't believe outperformance were possible I would invest in a low cost tracker.

Other strategies that I've investigated but not yet invested are:

• Joseph Piotroski

http://www.alphaseeker.com/val03.htm

I wrote an application that downloaded all FTSE constituents (around 2200 at the time) from Hemscott and crunched the data to provide me with passing companies. I believe this strategy may be more suited to the U.S. as it requires quarterly reporting.

• Joel Greenblatt

http://www.amazon.co.uk/gp/product/0471733067/202-3803663-2591064?v=glance&n=266239