With things like reversion to the mean, etc, very few stocks will consistently beat the market every year. Below is the compiled data of all 30 Dow components (way too many in S&P 500 to do this) for the years 2007-2012. This is excluding dividends.
Red highlight means it underperformed the Dow average that year (yes I'm aware Dow is poorly weighted but you get the idea) and green means it overperformed the Dow.
So here's some things to notice from a stock picking perspective.
On average, about 50% of components beat the market and lose to the market each year. So you would think that this means it should be easy to beat the market, a 50% chance is pretty high (especially vs the only 30% or so of professional managers that beat the market).
However, generally half of the stocks that beat the market one year underperform the market the next year. For 2007, 17 stocks beat the market. In 2008, of that 17, only 11 beat. In 2009, only 5 then 3, then 2 then 0. So only zero stocks out of all 30 are positive for all 5 years. Mathematically this makes buying and holding the same stocks very hard to overperform each year.
However, if you look at the total returns after all 5 years (thus the good years can compensate for the bad years), you'll find...15 components out of 30 that beat the Dow over this time frame.
So...50:50 chance right?