Similarities between Poker and Investing

[zerosum]

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I'd consider zero excess return to be the same as a risk-adjusted return equal to the market return, which is non-zero, while it seems like you're using "risk-adjusted" and "excess" interchangeably.

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I'm pleased that we agree and that we both undertand that terminology just got in the way. In my work, risk-adjusted return refers only to the value added/subtracted by an active selection process, i.e., the excess return. I agree that the reward to accepting systematic risk, the market return in your example, is non-zero. I'm just glad we did not get into a discussion of the issue that frustrates all risk adjustment methods: the joint hypothesis problem.

FWIW, I personally prefer to bootstrap returns relative to factors of risk, and I also place greater emphasis on downside deviation measurement.