The kind of purely random stock-picking actions of monkeys would have delivered more returns than an equivalent market capitalisation-weighted index over the last 40 years, a report by London-based Cass Business School and consultants Aon Hewitt has found.

In the study, a computer was programmed to randomly pick and weight stocks in a 1,000-strong sample, which "effectively simulated the stock-picking abilities of a monkey". The process was then repeated 10 million times.

The study was based on monthly US share data from 1968 to 2011 and found nearly all 10 million indices weighted by chance delivered vastly superior returns to the market capitalisation approach.

“One of the implications of our work is that we should perhaps be benchmarking our fund managers against monkeys rather than against a cap-weighted index!” said co-author of the study, Professor Andrew Clare.

The findings will add a twist to the regular debate about the benefits or costs of active and passive fund management over the long term, particularly in the case of large, liquid markets.

John Belgrove, senior partner at Aon Hewitt, said the study shed fresh light on the role of fund managers.

"Inherent weaknesses in cap-weighted investment strategies are well documented and the long-run results of the 'monkeys' are likely to cause some surprise. The good news for investors is that there is more implementation choice than ever to consider when selecting a preferred long-term portfolio construction and fund manager style,” Belgrove added.