So, guys, I agree with what you are saying but you have to appreciate modern portfolio theory. Yes, many assumptions may have been proven to be shaky at best but we do not have much of an alternative. Yes, you can be a pure stock picker/sector allocator, but by doing that your "risk profile" will be raised enormously to such an extent that no funds will be given to you to manage. Even though people will say they look at absolute performance, but these pension funds will cite terms like your alphas, betas and more importantly your R2 - all having to do with your risk profile, your risk taking to generate your returns. So, we all can laugh at why a -30% return is better than -40%, but it will put you in better framework when you appreciate the overall interacting factors.
p/s photos: Maki Nishiyama