The very essence of the EMH (which is frequently oversold, but holds to some degree) is that we can't know which stocks are going to go down or up just by looki

The very essence of the EMH (which is frequently oversold, but holds to some degree) is that we can't know which stocks are going to go down or up just by looking at the current state of the market. The expected value of any given stock is the same as that of an index fund, assuming it's no transaction cost to obtain it. So ignoring fees, picking stocks randomly does have the same positive expected return as holding all a small bit of all stocks at once (which is what owning an index is), just a much higher variance and thus people choose to own indexes.