Just came across this 2009 paper on sharpe ratios of traders: it seems to prove that it is possible to beat the market and that trading experience increases the odds of beating the market: http://www.plosone.org/article/info:doi/10.1371/journal.pone.0008036#pone-0008036-g004 "These studies, as well as our own, showing the existence of consistently profitable traders, do seem inconsistent with the claims of EMH. However, a proponent of EMH could always counter that the successful traders are in the same position as a coin flipper who has just flipped 20 heads in a row â one would expect this lucky streak to end. One could say the same about traders with Sharpe Ratios higher than the broad market. Yet the existence of a highly significant relationship between the traders' years of experience and their Sharpe Ratios suggests strongly that the performance of this cohort of traders is not due to chance. Furthermore, the increase over time of individual Sharpe Ratios suggests that traders are learning to take better risks. This learning, it should be added, could be due to both individual effort and effective training and management on the part of the employing firm."