Pretty much everyone? Return is always measured as a function of risk (i.e. volatility). For example, it's trivially easy to get twice as much return if you're willing to take twice as much volatility - just use leverage to juice your returns (and your losses). However, to get twice as much return with the SAME level of volatility is exceeding difficult (you would essentially be a Warren Buffet at that point).
Similarly, to get the same about of return with much less volatility is just as difficult. It's why people were so willing to put money into Bernie Madoff's ponzi scheme, and why his years of steady returns with very little volatility turned out to be too good to be true.
I think the word "correlation" is the more important one.
Lack of correlation can be very valuable even if the returns are mediocre to poor.
I don't remember or understand how it works, but I think I read once about how a fund manager claimed to be able to take more risk with the "long" part of a portfolio because of the uncorrelated "short" part, even though the returns of it were unimpressive.
The expected value of the sum of two random variables is the sum of their individual expected values. The variance of the sum is the sum of the individual variances plus twice the covariance.
So, if you have two different assets with the same expected value and same variance, but with zero correlation, then all mixtures of the two will have the same expected returns, but a 50/50 basket of the two assets will have 0.707 (1/sqrt(2)) times the variance of either of the two assets alone.
More generally, for a basket of non-correlated assets, a basket that maximizes expected returns divided by standard deviation of returns will never be 100% one asset. Returns are a linear function of the individual weights, but std. deviation of returns are a non-linear function. (This is true, regardless of statistical distribution of the random variables, as long as std. deviation is well-defined... no assumptions about normal distribution are involved.)
I've worked in the industry, and yeah is a good explanation. The problem is that there is a reason why some strategies are uncorrelated to the market ; because they are not trading liquid vanilla products. Institutional investors cannot invest in crazy stuff that easily. Renaissance and other unicorns are not always open to new institutional investors, and certainly not one with tons of compliance to deal with.
A $40B manager once told if I could deliver 6% annual return with 1% volatility, he would give me all his money. Yeah, they want as little volatility as possible.
