I've gone from about 80% individual/actively managed stocks by myself in 2012, to about 60% or so today(was down to around 40%, but something caught my full stock picking attention and I think the risk/reward is appropriate), and I plan on lowering that to about 30% hopefully within the next 2-3 years, primarily moving towards around 100k of "fun" money for the stock market, although mostly I just want to buy and hold ~5k positions in many good companies. Finally got around to getting some shares of Berkshire Hathaway in my Roth account!
IMO, as long as you know almost all of the research goes against your actions, and you minimize the damage you can do(by prioritizing passive investing, or long term buy and hold/dividend stocks), it's a poor decision, but not the worst thing you could do, especially as long as you're very careful about playing with falling knives. Knowing that I specifically have significant, measurable exposure to 'x' company, as opposed to "The market" makes me feel much better about what I own, and in my 401k and Roth, I let passive strategies run their course, and forget about them day to day. As a side note, most of my current individual stocks are underpriced compared to the broader stock market, or their specific industry.
I'm not sure what my exact return has been from individual holdings, but I'd venture that during this entire bull market run, on balance I think I'm just a little behind "The market" returns. I remember my mistakes and missteps far better than I do my wins too, almost all of which were me leaving the party too early. And making relatively small ventures into playing with fire(short, options) has scared me off ever doing that again just as surely as taking a $100 to a blackjack table did to Casinos, like a stupidity innoculation, or a moderate "sports car" to understand how expensive that shit can be compared to a later in life "SPORTS CAR!!!!". Losing money sucks, and I know exactly where I stand on paper losses, vs. betting on specific time and share price directions.
I do think that though almost all retail investors fail, and most active management funds fail to beat the market average, a retail investor who doesn't have industry rules on them regarding diversification or have to answer to fund investors can have, not exactly an edge, but has different forces at play. Being able to take a contrarian position on something, and being able to sit on it for 2+ years, can be a different dynamic than a typical actively managed fund can do.