bpdulog

I don't think they're saying the active manager can't add value by underweighting but then that the benchmark may be incorrect.

For instance if an active long only manager is benchmarked on the S&P but he underweights industrials and is heavy into newer firms maybe the Nasdaq or some composite is a closer fit to his style. Or if he's underweighting everything in general and reducing his overall beta maybe a less agressive (from a systemmatic risk standpoint) benchmark would be a better fit.