What if every fund manager had a certain non-zero level of skill - but the market price was such that the mean skill level returned no profit (or the risk free return rate). I guess this is more or less the efficient market hypothesis - except if you follow it through I don't think it says that there is no skill in stock picking - just that the skill is undetectable. Under those conditions a random strategy should do as well as the mean - and the mean return will simply be the average market return.