Megan McArdle writes,

It doesn’t matter which version of the EMH is correct. It doesn’t matter if the behavioral finance guys are correct. You–adorable, clever, hardworking little you–are mathematically just as likely to underperform the market as outperform it. You would do better to go to Vegas and sit down at the $25 blackjack table with a firm resolve to walk away as soon as probability has varied a few hundred dollars in your favor.

And the guy you’re paying to manage your money? Same deal. Statistically, in fact, he will give you a lower return than a broad market index, because of his salary and trading fees.

She refers to an article by Michael Lewis, which I assume is this one. The article is too long for my taste.

But the point is important that the typical investor should act as if the efficient markets hypothesis is true. One of the most widespread biases in finance is hubris. I could not believe it when Mike Moffat sided with Patri Friedman’s argument to use mortgage leverage to buy stocks. In an efficient market, that is just plain incorrect.