But you can beat the market by doing a few things:
1. Invest, don't trade.
That means buying companies in large quantities when they're at a bargain, and holding for a long time (think years or even decades). This will keep your costs and commissions down.
2. Look where others won't.
As Ben Graham and Seth Klarman have pointed out in their books, you want to look for companies that no one else is looking at for a variety of reasons:
* They've hit rock bottom in the last 1/3/5 years. If people are selling, you should look at buying.
* They're special situations. Is the stock going through the process of bankruptcy, merger/acquisition, spin-off? This is the basis for books like Margin of Safety and You Can Be a Stock Market Genius.
* They're complicated. Distressed debt, credit-default swaps, and other alternative investments to access by the public can be profitable if one is willing to put in the time (years) and dedication to analysis, but I generally wouldn't recommend it
* They don't fit the fund's portfolio / low institutional ownership. Active funds may employ thousands of people to work full-time on investments that suit their fund. This generally means large cap companies because the funds have to utilize so much capital that they can't waste it on institutional ownership of small and micro cap companies. Everyone and their mom has done research analysis on Google, few spend their time on Sanderson Farms, which only broke into mid-cap territory for the first time in over a year, and has since risen by over 10% after being massively undervalued.
If you are in a diversified basket of 15-30 value-oriented stocks with at least some focus on quality, you can stand to beat the market over the very long term.