I'm opening to believing that too, but I just haven't seen any statistical evidence supporting this and a lot of evidence against it. For example, see Fama & French's paper on luck versus skill. They also look at funds as small as $5M in assets so that's definitely covering the small guys with flexibility.
Luck versus Skill in Mutual Fund Performance - Fama/French Forum
or
SSRN-Luck Versus Skill in the Cross Section of Mutual Fund Returns by Eugene Fama, Kenneth French
The problem with every academic study on this subject is they study the wrong thing, the performance of mutual funds and not the individual performance of their managers.
I've used this analogy before but I think it is worth considering.
Pro players are like stocks it is relatively easy to find out which one perform better/higher profit. Just as stock price are projection of future profits, player salaries are a reflection of their future potential. General managers/coaches are the equivalent of fund managers. They select which players are the best values (this is especially true for sports which have strong salary caps). I am ignoring the value that coaches add in enhancing player performance and play calling, just focus on their personal decisions.
If academics studied professional sports they would find that there are only three franchise, Lakers, Celtics, and Yankees that have long term winning percentage above chance. The NFL is particularly remarkable in that the highest winning percentage is around 55%, last I looked. Clearly on average sports franchise have a .500 record.
They would conclude that sports owners could save money, rather than hiring a general manager/coach to make personal decision they should use the consensus of scouting reports for drafting. In fact it is really pointless to make trades because all of the information about a player current and future potential is known by every participant, and is accurately reflected in their salary. By looking at the long term records of the sports and finding that only 3 superior performance, academics could logically conclude that general managers do nothing but increase the expense of the owners.
Needless to say if such a academic paper was ever published it would be met with howls of derision by the tens of millions of sport fans, who could rattle of dozens of coaches and GMs with fantastic long-term records and clear examples of their smart personal choices. Just as importantly they could come up with scores of GMs/coaches who made really stupid trades.
The problem is that measuring the long term of individual portfolio manager is very difficult so nobody does it. We know the names of handful of folks, Buffett, Lynch, Gross, Graham with fantastic records. What is completely unknown is their a second tier of money manager (say 5 to 10%) and individual investors with much above long term records. Nobody knows.
Now obviously figuring out who these great stock pickers are early enough to invest with them is very difficult and quite possibly a fools errant.