Many here are seeking the holy grail. Now, I believe there IS a strategy that, over the years, can only make money. The only trouble being that it ties up a lot of capital. It goes like this: 1) Find 10-20 closed end "average" mutual funds. Short them in equal parts. 2) Go long the same amount of underlying in S&P futures. Roll them over as they mature. Since 80% or more of the mutual funds will underperform the S&P (for many reasons, some of them unavoidable, like costs, commissions, etc) will underperform 2) heavily. That's it.