The concept of "sophisticated investors" is to classify investors based on their investment returns and has been applied to latest investment practice, but there is a shortage of academic research. Its significance lies in that different from stock picking, this is a new investment idea of investor picking, namely finding out "sophisticated investors", following their investment and then obtaining excess returns. This paper puts forward the concept of "sophisticated investors" for the first time, and explores the reasons for profits from this strategy. It arrives at the conclusions as follows:firstly, "sophisticated investors" can be identified according to historical investment performance; secondly, "sophisticated investors" are differently from both of rational and institutional investors, showing future study should place emphasis on "sophisticated investors"; thirdly, the performance of "sophisticated individuals" is better than the one of "sophisticated institutions", and preference differences account for this difference, namely target companies of "individual sophisticated investors" raise returns mainly through capital operation, thereby leading to higher excess returns, and target companies of "institutional sophisticated investors" rely more on their own business besides capital operation to raise their performance. It extends the idea of investor behavior research, reveals the importance of "alternative investors" and connects with international research of "smart money effect". Future research of the interaction between capital market and real economy can also be from the perspective of "sophisticated investors". The conclusions can be used to formulate effective investment strategies.