Perhaps it's easier to see from the other side: the monkey is getting the same expected returns as "buy one of everything on your list," but the index fund is n

Perhaps it's easier to see from the other side: the monkey is getting the same expected returns as "buy one of everything on your list," but the index fund is not, because the index fund is employing a different weighting strategy (e.g. buy the 30 or 500 largest companies). Of course, if you define "market" using the same list that an index fund uses, the monkey's expected performance converges with that of the index fund.