Ramin put a good video on the difficulties of stock picking over the weekend which is worth a watch.
It has a few very interesting statistics to illustrate why the skew in returns (median<mean) leads to a random (non-diversified) selection of stocks typically underperforming a broad index.
The Freetrade Baggers project is actually an interesting case study in this as it shows similar patterns on a tiny scale (a small number of stocks providing the bulk of returns).
