Check out Warren Buffet's great explanation of the efficient market hypothesis. In economics, the theory is that you can't beat the market because the market has taken all available information into account. From Buffet: "Each such organization has its own group of bridge experts cooperating on identical hands and they all have read the same book and consulted the same computers. Furthermore, you just don’t move....any significant fraction around easily or inexpensively—particularly not when all eyes tend to be focused on the same current investment problems and opportunities. An increase in funds managed dramatically reduces the number of investment opportunities, since only companies of very large size can be of any real use in filling portfolios.