Hi Jason, I do agree that the idea of volatility as risk is quite flawed, and loss versus risk free instruments should be the benchmark for considering how risky is an investment proposition. And I do think that some good investment methodologies might in the long run beat the market.

But in considering specifically the question of active versus passive strategies, I find alluring the logical [not empirical] argument of how active investment, in aggregate, must match the returns of the market. And since all investors will, on average, only be able to match the returns of the market, then after cost, they will, once again on average, lose to the market return by the amount of their costs.

Since a layman investor has no ability to find high performance managers who outperform consistently [perhaps because they are misled by metrics which do not properly capture outperformance as you have alluded to], or lack the ability to invest for themselves properly, they are better off being passive and just "buying the market".

Your comments please, thanks, Jamie.