“You can’t eat relative performance” (Wall Street proverb)

“Relative performance” is how some security or other investment vehicle does against an index (for example, the Dow Jones index).  “Relative performance” doesn’t help much in a bear market if the index is doing poorly and the security is doing only less poorly.
 
“You can’t eat relative performance” is an investment industry phrase used since at least the 1970s.
 
 
Reuters Financial Glossary
Relative Performance
The performance of a security compared against an index.
   
22 September 1974, New York (NY) Times, “Ford Foundation Weighs Reducing Grants by 50%” by M. A. Farber, pg. 37:
In the last year “total returns” on the foundation’s diversified investment portfolio—dividends and interest plus capital gain or loss—were somewhat higher than Standard and Poor’s 500-stock index, according to Mr. Bundy. But he cited an observation by Roger G. Kennedy, Ford’s vice president for finance, that “you can’t eat relative performance.”
   
Google News Archive
28 October 1995, Victoria (TX) Advocate, “Investments in 1995 have been nothing but up” by Chet Currier (AP Business Writer), pg. 10A, col. 4:
As a time-honored Wall Street aphorism notes, you can’t eat relative performance. Professional investors focus on it to try to demonstrate the value of their efforts. But people who manage only their own nest eggs need not concern themselves with it very much.
   
3 October 1999, Chicago (IL) Sun-Times:
As the Wall Street proverb says, “you can’t eat relative performance.”
 
Forbes.com
Good-bye to All That
Robert S. Salomon Jr., 02.19.01
There is an old saying in the investment business: “You can’t eat relative performance.” If you followed all my buy recommendations in these columns last year and equal-weighted them, you would have won the relative-performance battle and lost the absolute-return war. In other words, my picks beat the S&P 500 by a modest 5%, but that benchmark declined. This victory was not as nice as making real money. Overall I was down 5% for 2000.
   
Google Books
The Motley Fool Investment Workbook
By David and Tom Gardner
New York, NY: Simon and Schuster
2003
Pg. 165:
Yeah, you can’t eat relative performance, but keep beating the indices in good times and bad, and we flat guarantee that your performance in the stock market will be satisfactory to you, to say the least.
 
Google Books
Straight Talk on Investing:
What You Need to Know
By Jack Brennan with Marta McCave
Hoboken, NJ: John Wiley and Sons
2004
Pg. 149:
Sensible investors don’t put too much store in a fund’s relative performance. As the saying goes. “You can’t eat relative performance.”