Let's say I want to take an Alaskan cruise, but I don't quite have the money. If I get a higher return I'll have enough to go. If I get a lower return I won't go, and I'll still have enough money for rent. In my (admittedly contrived) scenario I'm willing to accept more risk as long as my returns are potentially higher.
It's risk-adjusted return that you and the GP care about. It's fairly straightforward to add both risk and return - just add leverage. Picking individual stocks, on the other hand, means you wind up being the "dumb money" that the "smart money" systematically takes advantage of.
Let's say I want to take an Alaskan cruise, but I don't quite have the money. If I get a higher return I'll have enough to go. If I get a lower return I won't go, and I'll still have enough money for rent. In my (admittedly contrived) scenario I'm willing to accept more risk as long as my returns are potentially higher.