Because people are different, if you're 20 year-old healthy female you'll have a completely different risk profile from a 64 year-old male with health problems.

If you work in the government you might want to avoid your pension being in your own government bonds because you don't want all your eggs in one basket.

If you're an immigrant who plans to retire back to your home country you might want to limit you exposure to currency risk.

It's not just about betting on being better than the market, it's about aligning your investments (pension or otherwise) with your personal situation and objectives.