There seems to be a common sentiment that no investor can consistently beat the market on returns. What evidence exists for or against this?
I have never seen any study or credible book that claims beating the market is possible, and justifies this claim. I have however seen many claim the opposite. In my own experience, I have also very rarely seen any strategies or mutual funds that exceed index returns in a way that can't be explained by luck and coincidence.
To make the question less complicated, suppose I am asking only about an investor who purchases stocks, bonds, ETFs and options in the North American market. The investor starts every year with $10,000, makes trades with a typical fee/comission scheme, harvests return at the end of the year, and then starts again with $10,000 (any gains are thus taken by the investor as profit, and any losses are covered by her out of pocket). She pays tax as if she is a single US citizen living in a state with no income tax, and investment of this $10,000 is her sole income. The benchmark is $10,000 invested in S&P500 through a zero-comission ETF.
Is there really no investment strategy that would make it likely for this investor to consistently outperform her benchmark?