Market efficiency will vary by the type of investor. There are different levels of efficiency based on your structural advantage. Market efficiency is based on the behavior of a given market and not on the profitability of a given trader. Hence, you can declare a market as efficient, yet there could still be profitable investors. Similarly, market efficiency could be rejected, yet that does not ensure an investor can make money in that market.
For retail investors, the market is very efficient. You cannot get an edge if you are slow to react, have less information than other investors, process the information poorly, and have high transaction costs. If you are an institutional trader, your sense of efficiency is different. You may have a slight edge on reaction time, trading efficiency, and information processing. If you are a hedge fund, you may have an even greater edge; however, being declared a hedge fund does not necessarily confer a lower efficiency level.
The old argument by Friedman on the efficiency of speculation is that reasonable speculation will drive out poor speculators and thus make the market efficient. The counterargument is that noise traders are more prevalent than shrewd speculators and can keep the markets inefficient. A corollary to the Friedman argument is that there are different classes of investors with varying levels of capital that can exploit opportunities, so while efficiency may exist on average, that is not the same as saying the markets are efficient for everyone.
A sophisticated investor has an edge and creates an opportunity to exploit inefficiencies. Hence, the job of any due diligence is to identify sophistication and the chance for the edge that can be exploited.
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