There seems to be a common sentiment that no investor can consistently beat the market on returns. What evidence exists for or against this?
First off, even if the markets were entirely random there would be individual investors that would consistently beat the market throughout their lifetime entirely by luck. There are just so many people this is a statistical certainty. So let's talk about evidence of beating the market due to persistent skill.
I should hedge by saying there isn't a lot of good data here as most understandably most individual investors don't give out their investment information but there are some ok datasets. There is weak evidence, for instance, that the best individual investors keep outperforming 1 and interestingly that the trading of individual investors can predict future market movements 2. Though the evidence is more clear that individual investors make a lot of mistakes 3 and that these winning portfolios are not from commonly available strategies and involve portfolios that are much riskier than most would recommend 1.
Is there really no investment strategy that would make it likely for this investor to consistently outperform her benchmark?
There are so many papers 4 5 6 (many reasonable even) out there about how to outperform benchmarks (especially risk-adjusted basis). Not too mention some advisers with great track records and a sea of questionable websites. You can even copy most of what Buffett does if you want.
Remember though that the average investor by definition makes the average "market" return and then pays fees on top of that. If there is a strategy out there that is obviously better than the market and a bunch of people start doing it, it quickly becomes expensive to do and becomes part the market. If there was a proven, easy to implement way to beat the market everyone would do it and it would be the market.
So why is it that on this site or elsewhere, whenever an active trading strategy is discussed that potentially beats the market, there is always a claim that it probably won't work?
To start with there are a large number of clearly bad ideas posed here and elsewhere. Sometimes though the ideas might be good and may even have a good chance to beat the market. Like so many of the portfolios that beat the market though and they add a lot of uncertainty and in particular, for this personal finance site, risk that the person will not be able to live comfortably in retirement (see: Enron).
There is so much uncertainty in the market and that is why there will always be people that consistently outperform the market but at the same time why there will be few, if any, strategies that will outperform consistently with any certainty.