Of the nearly 26,000 stocks in Hendrik Bessembinder's database, more than half are losers.

Against T-bills, that is. The finance professor at Arizona State University studied almost nine decades of US stock and bond performance and found that 58 per cent of shares fail to outperform Treasury bills in their lifespan.

The research, which is currently a draft, may deal yet another blow to the active fund management industry.

The results reinforce the importance of portfolio diversification, according to Bessembinder, and show why many actively-managed portfolios often underperform their benchmarks. Miss out on the relatively few stocks that generate large positive returns, and you lose.

Investors pulled $US264 billion ($348 billion) from actively managed US equity funds last year and there has not been a calendar year of inflows since 2005, according to data from Morningstar.

The study shows:

• The average monthly return for US stocks from 1926 to 2015 was 1.13 per cent, compared with an average monthly T-bill rate of 0.38 per cent.
• However, on an individual basis, less than half of monthly stock returns were positive.
• Less than 4 per cent of stocks in the Center for Research in Security Prices database - or about 1000 - were responsible for all of the $US31.8 trillion in wealth created by US equities in the period. Of those, 86 companies generated half the returns.

To be sure, the sharemarket as a whole did perform better than T-bills. But that's attributable mainly to those large returns from relatively few stocks. Exxon Mobil alone accounted for about 3 per cent of wealth created and Apple Inc. for about 2 percent.

"Slightly more than four out of every seven stocks do not outperform Treasury bills over their lives," the professor wrote in the draft paper published in SSRN, a repository of academic research.