If you're investing, assuming the returns will be similar - would you prefer a roller coaster ride (which is a certainty) or a double twisting roller coaster (even higher volatility than necessary)?I think most people would agree they would prefer less volatility.If you are an active fund manager - meaning that you are attempting to achieve returns by selecting individual securities and when to buy and sell them - the you add 2 more sources of volatility. One level is due to having an "unstable technique" - the nature of "active management" is that there is not a process but rather constant change. The second level of extra volatility is due to the low level of diversification. By its premise - targeting specific company stocks - active management has less diversification and therefore is more volatile.Extensive scientific and statistical analyses have proven that asset class is the dominating factor in returns not individual securities. Let me repeat that - it's the asset class exposure that dominates returns not the individual securities. That's because stocks in an asset class tend to move like a herd. A good example is when I compare my firm's model portfolios to my clients employer's 401(k) plans. Once my clients allocate their assets as we direct - and they have similar asset class exposure = the returns in their 401(k) are similar over the same time periods - the same ballpark with our more highly diversified institutional funds winning the contest.So the better way to achieve returns is by owning asset classes with deep diversification within each asset class. You lose nothing in returns but gain lower volatility.At the beginning of this blog I stated " assuming the returns will be similar" - well as it turns out - less volatility almost always means higher returns. Remember that a 10% drop requires a 11% rebound to get back to parity. a 25% drop requires a 33% return to get back to parity. a 50% drop requires a 100% return to return to parity. Investing success is much more about reducing mistakes than it is about hitting home runs. This is because the mistakes are so costly.If you are reading my blogs you hear the word diversification constantly - that's why - it's helps you avoid mistakes.So avoid the "double extra volatility" that active management delivers. Instead go with evidence-based investing. You need exposure to the market roller coaster ride to get the long term wealth-building available in stocks - but don't take the active management extra crazy roller coaster ride because it hurts your returns and is tougher on your stomach.