Well, there are (small) inefficiencies for everyone to exploit. For example, a stock is mispriced and you expect it to return an additional 1% when the mispricing disappears. The difference between an institutional investor and a retail investor is that the institutional investor can invest $100 million in the stock and make $1 million of profit, while a retail investor with $100,000 will make only $1,000. As a result, institutional investors can afford to spend a lot more money on research, hardware, data, etc. It's very hard to compete with that as a retail investor.