On the Forbes website today there is an article about some new research about to be published by Research Affiliates. It involved making up 100 random portfolios of 30 shares from the top 1000 shares every year from 1964-2011. It then compared the performance of these portfolios with the index. It claims that 98 our of 100 of these portfolios beat the market.
Although I have seen consistent out-performance of monkeys vs the index and professionals, the size of this out-performance seems slightly incredulous. I fear that they may not not have used survivorship bias free back data for this simulation. I await the full report from Research Affiliates to see.