While I am no firm believer in the efficient market hypothesis, I do question whether it is worth the time and effort to try beating the market. If only mutual fund managers would stop trying:
Over the five year market cycle from 2004 to 2008, the SPIVA scorecard shows that the S&P 500 outperformed 71.9% of actively managed large cap funds, the S&P MidCap 400 outperformed 75.9% of mid cap funds, and the S&P SmallCap 600 outperformed 85.5% of small cap funds. These results are similar to that of the previous five year cycle from 1999 to 2003.
For the vast majority of people who don't have the time or patience to try to beat the market, low cost index funds are obviously the way to go.
And for those who think they can beat the market: good luck. When you take into account the costs of trading (commission, spreads), you are starting from a losing position. Add to that the opportunity cost (how much money could you make or how much fun would you have if you didn't spend th time trading) and trading doesn't seem to be a profitable venture.