Investors who pick actively managed funds simply because data shows they beat the index might want to look a little more closely, according to a report released by a coalition of eight independent financial advisory firms known as the Zero Alpha Group.

"The bottom line here is that we are very concerned that the mutual fund industry systematically and significantly overstates fund performance in a way that makes actively managed the mutual funds occasionally look competitive with indexes when that is not the case," said Brent Brodeski, a co-author of the report, and managing director of Rockford, Ill.-based Savant Capital Management.

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