Given an efficient market, stock trading with non-inside information is gambling, while stock trading with inside information is illegal. Markets exist to allocate capital efficiently, where the market invariably is designed to draw out information and intelligence that was previously not visible (a fine line between that and inside info).

If we all just bought indexes, of course, none of that would happen, capital would be divided conservatively according to the index manager. So at a higher level, there has to be some strategy that works beyond a brain dead index one, or markets wouldn't be successful at all. There must be some smart players out there that are doing efficient capital allocation (maybe not day traders, maybe not most of us, but someone...).