"Beating the market" is called a loser's game for good reason. 

It's worse than casino gambling because: 

1) Upward bias. Casinos mercifully kill off losers because they run out of money. The upward bias of the markets allows most losers to continue playing the game, blissfully unaware of their underperformance. 

2) High costs. The trading, management, and tax costs of active management make the casino's juice downright cheap in comparison. 

3) The rules change. Financial markets exhibit dynamic, not deterministic behavior. Casino games, while the odds are against the player, at least the rules don't change.  Players can confidently make their moves in the context of pre-determined probability and odds. Financial markets are "self-correcting;" what worked yesterday won't work tomorrow. 

It's the ultimate red queen's race. No professional chess player would play an opponent, either professional or novice, if the audience (the market consensus) could change the rules at will. 

The truly "professional" investor chooses not to play the game at all.