Aberdeen said it has wondered whether it is possible to find a simple measure that helps to identify skilful active managers and thus funds that may produce good returns. This is what the idea of the “information ratio” was meant to achieve, but several studies have shown there is no relationship between it and future fund performance, Aberdeen said in a statement. (The term “information ratio” measures the risk-adjusted return of a financial security, asset or portfolio).

The UK-listed investment firm, however, argues that research by Martijn Cremers and Antti Petajisto of Yale School of Management, and recently endorsed by Morningstar, the fund tracker, finds a strong link between “active share” – the extent to which a fund’s holdings differ from its benchmark’s - and future performance. Aberdeen looks for the same patterns and does not bother with using benchmarks when assembling portfolios, it said.

“We have always believed that successful investing is about being different from the herd, or rather about finding the right opportunities to be different. This is why we ignore benchmarks in portfolio construction. We prefer to focus our efforts on finding quality companies and holding onto them for the long term,” Aberdeen continued.

The comments form part of a continuing debate in wealth and investment management circles on how to deliver the market-beating “Alpha” by breaking free of benchmark constraints. (M&G, the UK investment firm, recently told this publication about this issue here.)

In outlining the Yale study’s findings, Aberdeen said that in contrast to the information ratio, which measures past performance per unit of volatility, Cremers and Petajisto’s “active share” methodology looks at what is inside portfolios, then it finds robust links between portfolios’ profiles and future performance.

Aberdeen illustrates this issue by showing what happened when the Yale researchers examined the performance of 2,740 all-equity US mutual funds from 1990 to 2009. Diversified stock pickers - funds with high active share but not the very highest tracking error - performed best, producing an average yearly benchmark-adjusted return over the period from 1990 to 2009 of 120 basis points after taking away all expenses and costs.

Meanwhile, funds with low active share, termed closet indexers by the researchers, showed an average yearly benchmark-adjusted underperformance of 89 basis points over the same period on the same basis. The research also found that portfolio turnover was comparatively high among closet indexers, while diversified stock pickers showed a much lower level of turnover.

In the case of one of Aberdeen's flagship funds, by way of example, the Aberdeen Global Asia Pacific Equity Fund, launched in April 1988, has delivered annualised  returns of 12.1 per cent, comfortably ahead of the sector average of 8.96 per cent, the fourth-best performing fund out of 26 funds of this type.

To view the Yale study, click here.