How do these investing powerhouses stack up?

(MoneyWatch) I  recently discussed how the common definition of insanity -- doing the same thing over and over and expecting different results -- relates to investing. I see it time and time again: Investors look to the past performance of active fund managers as a predictor of future performance. They look to the past as an indication of the future, and it never fails; rather, I should say "it always fails." 

Investors are left perplexed and downtrodden when the returns they were expecting from their active managers come up short. Yet, year after year, they keep searching for the perfect managers -- ones with track records of generating impressive earnings or those with the best research staffs. To illustrate my point -- that the past is no indicator of future performance and that research staffs don't translate into returns -- I again use the example of SEI Investments and Russell Investments.

Meet the powerhouses

SEI and Russell are two of the biggest players of the pension plan consulting space. SEI considers itself "a leading global provider of asset management, investment processing and investment operations." Russell notes that they "research, select and monitor some of the best money managers in the world."  SEI's figures include $219 billion in assets under management, and Russell includes $246.8 billion in assets under management, and those figures are just the beginning of these companies' impressive resumes. Those  figures do not include the assets they advise, but do not directly manage.

Both firms are revered by many advisors and investors, but does a good reputation equal good returns? 

To find out, we'll compare the results of SEI and Russells' funds to the passively managed funds of Dimensional Fund Advisors. (Disclosure: My firm, Buckingham, primarily uses DFA funds in constructing client portfolios.) The following table presents the results over the period for which we have data for all of the funds from 2000-October 2013. (Note: The data has recently been updated to include figures through Oct. 31.) Where more than one version of a fund is available, the lowest-cost version is used. 

As you'll see, the actively managed funds of SEI underperformed the passively managed funds of DFA in every single case, and Russell underperformed in every single case except one, emerging markets.