The main inefficiency of indexes is that they are growing, neutral markets like currencies and commodities have momentum and mean reverting inefficiencies that we try to exploit with our strategies.
Oil, Gold, or eurusd are not random walks, randomness is very high but not 100%.
These are the benchmarks for every trader:
1) beat the 0
2) beat spx500
3) beat Buffett
4) beat Winton
Luckily we dont' heve to beat also Simons and his Medallion fund.
Even a lower return than SPX or BRK can be welcome if the DD is much lower or the behaviour is uncorrelated to indexes.