Negative Synergy of Choice: Efficient Markets and Active Strategies in Non-Qualified Investors’ Portfolios

The article examines the “efficient market trap” phenomenon that arises in the investment behavior of non-qualified investors when they simultaneously choose an efficient market and an active management strategy. It is shown that the current regulation of the securities market in the Russian Federation institutionally nudges non-qualified investors toward segments of organized, liquid, and information-rich markets, thereby correctly resolving the first investment dilemma (the choice of market type) in favor of more efficient market structures. At the same time, the regulatory framework scarcely differentiates the investment strategies applied in these markets, leaving the second dilemma (the choice between active and passive management) entirely at the discretion of the investor or the discretionary manager. Under these conditions, cognitive biases emerge that foster the choice of an active strategy, a tendency that is also substantially supported by the discretionary management industry. However, in the context of efficient markets, proactive management strategies often fail to generate consistent and superior returns after factoring in expenses, with high management fees serving as a consistent source of underperformance compared to market benchmarks. As a result, a negative synergy of investment decisions is formed – a persistent decrease in expected returns for non-qualified investors. The article proposes the authors’ approach to interpreting this phenomenon as an institutionally and behaviorally driven trap and formulates practical recommendations for regulators and private investors.