You don't see Warren Buffet buying indices either..

If you aren't willing to put in the work, sure just hold an all weather portfolio or whatever. But I don't think it's super hard to beat the market on a risk-adjusted basis, especially as a retail investor. Most of all, it takes a passion for it (trading is a hobby) and also a reasonable amount of time dedication.

For example, there are a number of persistent factors that don't go away. Things like value, low-beta, size factors, etc. It's not super hard to leverage the tons and tons of papers that have been published to construct a portfolio that does really well. And, due to structural reasons, will do well until the laws change (almost all persistent factors exist due to some law).

Especially in the current market environment, it's really easy to make a killing. The market is moving purely on sentiment and day traders have had some really great opportunities to make stacks in the past couple of months.

Warren Buffett doesn't buy stocks on Robinhood because they couldn't handle his volume. I saw him quoted somewhere not long ago saying that if he was working with a "small portfolio", a few hundred thousand dollars or maybe it was even a few million, that he was quite certain he could return in excess of 100% annually.

But yes, picking stocks is probably not as effective for most people as buying an index fund.