There is a great deal of evidence (one example here) that company insiders (e.g. senior managers) who trade in the stock of their firms do beat the market. Theoretically, this shouldn't happen, as insiders may only trade as long as they are not in possession of material, non-public information. But this is a difficult line to define, as recent events at Canam Group illustrate.
In late December of 2010, company Chairman and CEO Marcel Dutil sold 1.5 million shares (through a company he controls) of Canam at $7/share. Just four months later, the company announced an after-tax charge of $25 million related to additional costs to complete a major contract. The stock began a major descent from that point, as earnings numbers turned negative for consecutive quarters (thanks to this same project).
What Dutil did may be perfectly legal. Four months before the announced write-down, the problems may not have been "material" (at that time; obviously, they subsequently did become so) or "non-public", a complicated definition the courts are charged with interpreting.
But it's hard to believe that just four months before a precise after-tax write-down figure was released to the public, that he did not have any knowledge that things weren't going so well. Such knowledge doesn't mean he did anything illegal (that's for someone better versed in this regulation to decide), but it does demonstrate how insiders do have advantages.
As Canam's stock fell below $3, Dutil became active once again, buying up 900+ thousand shares (through the same company) at just $2.87/share in November. Today, the stock sits above $4/share!
Blindly riding the coat tails of insiders has been found to be profitable, and the reasons appear to be clear. Insiders have better knowledge of the companies they run than does the public, and they may be trading on that knowledge.
Disclosure: Author has a long position in shares of TSE:CAM