I've been actively investing for about seven years now. I pick my own stocks, and my time frame is generally six months to two years. I consistently win using a simple strategy that is essentially a mix of Peter Lynch's 'buy what you know,' Warren Buffett's value investing, and my own preference for under-the-radar or turnaround plays. I never buy hot stocks, and I almost always take a contrarian macro approach. This works well for me. I've averaged about 15% a year since 2006, vs the market's roughly 6%. I used to think that perhaps I was just being 'fooled by randomness,' and I still suspect that my luck will run out on every new pick, but it never does, or hasn't yet. Occasionally I'll make the wrong decision, but that's the exception, and I have rules in place to minimize the effect of bad decisions when they occur.

Probably the most difficult thing about learning how to invest was mastering my emotions. Investing was incredibly stressful in the beginning, and to say that I waged a war against my own emotions in order to subjugate them so that I could invest properly sounds melodramatic, but that's essentially what happened. Now that I've distilled what I know into a fairly simple system, I don't stress nearly as much over my investments. I have simple rules that I follow, and I've found that as long as I follow them, I stay pretty stress-free, and my picks do pretty well. As soon as I deviate from those rules, however, I begin feeling uncomfortable, my emotions begin swelling up, and that affects my decision-making process. I have a rule for when that happens as well: sell, retreat and regroup.

I keep reading that it's practically impossible to beat the market, but I've done it every year since I began investing. Maybe that's just luck, or maybe I'm just the exception, I don't know, but it honestly isn't even that difficult to do any more. After I put the initial time in to learn the ins and outs of the game (hours perhaps in the thousands) and learned the discipline necessary to invest without letting my emotions and biases get the best of me, it all seems pretty simple. That said, I don't think most people are willing to put in this level of effort into learning the game, and I think that's what separates those who should buy index funds and those who successfully pick individual stocks. It's not impossible to beat the market, but it takes a LOT of effort to get to the point at which it can be done regularly without hastening one towards an early death due to heart failure. Most people's only foray into the marketplace is a purchase of some penny stock that their brother's friend's sister's cousin's broker may have recommended. They lose, and decide to let the professionals handle it. Others put in the time to learn about DCF, the relevant ratios, various investing strategies, etc, but they never learn to master their emotions, and they usually end up doing almost as good as the market, but with much higher levels of stress. Those people end up adopting an ETF strategy. A few expend the effort to cultivate both the knowledge and the discipline to use it effectively, and are able to pick successfully as a result.

My two cents.