A very small fraction of stocks account for a large majority of the return of an index. If you miss these few in your portfolio, you will under-perform. It's not 50:50 whether or not you over-perform or under, its more like 1:50(over a significant period of time).
Yeah the distribution of returns isn't symmetrical, but the expected return is still equal to the market return. You could make the argument that that means that expected utility is lower because of decreasing marginal utility, but I'm not confident enough in my understanding of others' utility functions to make that claim.
A very small fraction of stocks account for a large majority of the return of an index. If you miss these few in your portfolio, you will under-perform. It's not 50:50 whether or not you over-perform or under, its more like 1:50(over a significant period of time).