A couple of points:-
1. On average indexing and some form of asset allocation will beat other investment options and that is where the smart money bets. I know that you want to continue to espouse your viewpoint that there are better available options however you have a problem in that historical returns (the data) do not support your viewpoint.
2. Why can't boring and simple also be interesting. I find choosing the right asset allocation for me to be interesting.
If you want to be the richest person in the world or if you want to spend more than the average person and you are prepared to take on more risk then you can do that. You can though even do that with standard index options - just put all your money into stocks. The point is if you want to build and maintain your investment pool in a low risk simple proven approach index investing with some form of asset allocation works great.
Lastly if you want to build up businesses and sell them or whatever go for it. I'm personally not interested. It just sounds like work to me.
This is where I tend to disagree, because index investors (which I'm a part of, in a way) tend to take for granted a few things that are not.
1. You must handle historical data with care. Index funds are a very recent beast when you consider an investor's very long term. When I read, here or there, that "a dollar invested in US stocks 150 years ago would be worth xx million dollars nowadays", I think people forget an important point : people did *not* index in these days. There was no mutual fund, and buying individual securities to build your own index was not only very expensive (no low cost broker on these days) and quite hard, for the very reason nobody knew what an index could be. And we don't know yet (because index funds are such a new thing) how their very existence influences the market or not.
Another thing regarding index funds' youth : they have never failed, yet. But, at some point in their history, they certainly will. There will be some fraud. Or some unjustified panic. Here in Europe, most index funds aren't invested only in the stocks in the index they are replicating. They handle complicated derivatives that allow them to be less expensive ; some more serious houses (I guess even Vanguard does it) do lend shares for short sellers, here again to reduce costs. I a bad bear market, this can go wrong. And even if you index fund does not fail, even if he was very cautious, panicking investors might try to sell massively their shares. On these hard days, the value of your shares can go far away from the underlying index, or can become very illiquid (which can be a problem if you need the money at that moment).
One third thing : indexes by themselves. They are a strange beast. We think they are something very neutral, but they are not. Do you know how the S&P500 is built, for instance ? How the proportion of every stock it consists in are determined ? Have a look at it. You'll be surprised.
As for the proof that index investing always beats other strategies, at least for a small investor, this is far from being actually proven. Read Mebane Faber's techniques. He clearly showed that, no matter your underlying asset allocation, selling you indexes when their price is under their 200 days mobile average, and buying when they are above it, leads both to better CAGR and smaller volatility. O'Shaughnessy showed that simple, automated investing in securities chosen according to some value metrics (say, lowest P/E ratio) consistently beats indexes, too. Ben Graham proved adapting your stock/bond allocation according to P/E ratio relative to bond yield is better, too. I have also read that buying mega caps (say, the 30 biggest blue chips), equal weighting them and keeping them forever leads to better risk adjusted returns. All very boring, easy, automated investment strategies, if you ask me.
So where is that undeniable proof that indexing is the best lazy option ?