In other words, you can't say that you have "alpha" (an abnormal return) without correcting for risk.
Falkenblog makes exactly this point:
In my book Finding Alpha I describe these strategies, as they are built on the fact that alpha is a residual return, a risk-adjusted return, and as 'risk' is not definable, this gives people a lot of degrees of freedom. Further, it has long been the case that successful people are good at doing one thing while saying they are doing another.Even better, he's got a pretty good video on the topic (it also touches on other topics). Enjoy.