A new study published in the financial Analysts Journal argues that although asset managers can generate more returns by using market timing factors than they can with passive strategies, associated costs eat outweigh the benefits. This according to an article in Institutional Investor.

The findings give investors cause to be “cautious about dynamic equity factor allocation compared with the simpler strategy of constructing a passive multi-factor portfolio,” the article reports.

The study found that a factor-timing strategy generated gross returns of 4.17 percent annually over 20 years, a level 0.95 percent higher than the returns of a passive strategy, but the article added that “the turnover of the fund and the high costs of transactions ate away much of the potential return.” One of the authors told II, “We find when we switch to a realistic setting, predictability is hard to enjoy after transaction costs,” adding, “the industry knows it’s very hard—and should be cautious, and perhaps timid, with factor movements.”

“Active management loses again,” the article says.