[The once and future king]

You are being naive.

There is so much much more to investing than just the Equity market and its indexes.

Some very very successful investors move funds across markets exploiting the irrationality of markets. Markets go through trends were they phase from being to confident to too fearfull. Exploiting this is called contrarian investing. You buy when everyone else is afraid (assets are cheap) and sell when everyone else is to confident (assets are expensive) this is the investing philosophy of Warren Buffet:

[ QUOTE ]
Warren Edward Buffett (b. August 30, 1930, Omaha, Nebraska), often called the "Sage of Omaha" or the "Oracle of Omaha"[3], is an American investor, businessperson and philanthropist.

Buffett has amassed an enormous fortune from astute investments managed through the holding company Berkshire Hathaway, of which he is the largest shareholder and CEO. With an estimated current net worth of around US$52 billion,[2] he was ranked by Forbes as the third-richest person in the world as of April 2007, behind Bill Gates and Mexican businessman Carlos Slim Helú.[4]

[/ QUOTE ]

WB hasnt just beaten the market(S) he has crushed it.

I also find it interesting that you would believe a market to be rational and efficient but do not consider the pricing mechanism of that market to be rational and effecient e.g. fiat currency. That is not a logical position.