What you might find amazing is that the style-consistent funds enjoyed a performance advantage even after the researchers controlled for portfolio turnover and expenses. This is noteworthy because low fund expense ratios and modest portfolio turnover have been two of the only truly reliable indicators that could be used to predict superior performance in the future.

Arguably, the most famous fund study documenting that cheap is best was written by Mark Carhart, who is co-head of the Quantitative Strategies Group at Goldman Sachs Asset Management. In this landmark study, "On Persistence in Mutual Funds," Carhart documented that there is a direct negative correlation between a fund's returns and its expenses. In addition, Carhart concluded that another predictor of future performance is mediocrity. Dreadful funds tend to remain that way. In contrast, however, hot funds usually don't burn bright for long. A fund that generated high returns during the previous 12 months often has one year of momentum left before it struggles.

Style-consistent funds are more likely to fit into the lower-cost category; obviously, with a style-pure fund, there's not as much costly trading going on. The conclusion, then, that style consistency by itself could give a fund a competitive edge surprised John Rekenthaler, president of Morningstar Associates, a subsidiary of Morningstar. "This is a surprising result," Rekenthaler says. "When you look at a mutual fund and control for expenses and turnover rate, style consistency really shouldn't matter."

Why should style consistency alone be such a big deal? Brown speculates that the managers who remain faithful to their little square in the style box are less likely to mess up their asset allocation and stock picks than those who try to time their style decisions.

This argument makes perfect sense to Arnie Wood, president and CEO of Martingale Asset Management in Boston. "In more cases than not," he observes, "when managers make changes in a portfolio and they leave their particular style, they tend to make more mistakes as they drift. And when they drift, they tend to fall into the same trap as individual investors: They run to whatever has done best recently."

Larry Swedroe, director of research at BAM Advisor Services in suburban St. Louis, observes that the Brown-Harlow study indirectly makes a strong case for index funds, which are inherently stylistically pure. "We would suspect that index funds would compare favorably since passive funds would logically have the greatest persistence of style, which should equate to the best performance," he says.

Swedroe, who has written a trio of pro-indexing books, says it is unfortunate that the research didn't directly compare actively managed funds, which don't stray from their style mission, with index funds.

There weren't enough index funds in the study period to generate any meaningful conclusions, Brown explains. The finance professor, however, warns that no one should assume that the researchers believe that indexing is superior. "The message isn't that you shouldn't hire active managers and just index," he insists. "We are finding people who are producing reliable alpha, but they are the ones who stick closer to their mandate."

In his study, Wermers looked at all domestic equity mutual funds, which had at least 50% of their assets invested here, that existed anytime between January 1975 and December 1994. The 2,892 funds were culled from the database maintained by the Center for Research in Security Prices (CRSP) at the University of Chicago and Thomson Financial's institutional ownership files. The styles of the stocks held within the funds were characterized by size, book-to-market value and momentum.

One of the most intriguing findings was the great success of the study's biggest style busters. The top 5% and 10% of funds, ranked from top to bottom by their active style drift, respectively earned 18% and 17.3% average annual net returns. In comparison, the average net return for all funds in the study was 15.8%. Wermers suspects that part of this superior performance resulted from the fact that these style-inconsistent managers were more likely to hold portfolios of small stocks, which enjoyed greater returns during the study's time period.