What are the general equilibrium effects of retail investor entry into private markets? The conventional debate focuses on direct effects: potential benefits (portfolio diversification, access to high-return assets) versus costs (excessive fees, inefficient capital allocation by retail investors). We identify a countervailing mechanism: retail investors fund experimentation with unproven general partners (GPs), enabling institutions to free-ride by poaching proven talent. We document that 34% of value created by institutional investments in private markets comes from GPs who started with retail capital. We formalize this stepping-stone mechanism by extending Berk and Green (2004) to venture capital with heterogeneous investors and uncertain manager skill. New GPs with moderate perceived ability initially raise retail capital to reveal their true skill; after observing performance, skilled GPs graduate to institutional capital while unsuccessful GPs exit. Retail investors pay for information production, but institutions capture benefits through superior manager selection and bargaining power. Our calibrated model shows that retail investor entry increases aggregate welfare when stepping-stone benefits exceed inefficient allocation costs. Policies restricting retail access may harm efficiency by restricting this talent discovery path.