Matt Levine, Bloomberg, Why Have Markets Learned Nothing in the Last 50 Years? here. Remember when he went on vacation, that sucked, right?
A thing called the Grossman-Stiglitz paradox says that markets can never be totally efficient: Sometimes stock prices need to be wrong, because otherwise no one would want to invest in making them more right. If everyone indexed, then stock prices would all be wrong, and you could make a killing buying good companies and selling bad ones. If no one indexed — as happened in 1960, more or less — then prices would be as right as everyone could make them, but you’d have to work really hard to get them that way instead of just free-riding on everyone else’s work.