Can someone explain to me why people keep referring to average return as some sort of magical answer to the question? The median person makes the median income, that doesn't mean that trying to get a good job is pointless.

By definition in order for you to make more than the market, someone else has to make less than the market.

Assuming that knowledge has superlinear returns (I consider this to be obvious without proof required), of course less than 50% of participants will 'win' - those at the bottom are totally useless and burning money, whilst those at the top are quite skilled indeed.

It's fair to say that one should not expect to be in that upper echelon, but I don't think it's reasonable to state 'most people lose' and just leave it at that, it's blindingly obvious that most people lose, it would be impossible for them to not.

(Adjusted for balances - a guy with 20 billion quid can lose 1 pound each to 7 billion market participants and in that case 'almost everyone wins more than the market')