Risk is defined as various things.

To some it's loss of principal.
To some it's "change" in principal (volatility)
to some it's variance of returns
to some it's variance of expected return.
to some it's the cost of investing (cost of mutual funds).
to some the time something is invested is a risk (time)

inflation is a risk as well meaning if someone avoided the risks above, their risk just changed to inflation eating away their returns from bonds/cash.

In the lengthy discussions on indexing yesterday, many people cited cost as a risk (meaning my funds were more expensive and posed a risk to making money).

My view of risk is volatility of returns (especially negative returns).

If someone takes on more risk, they should be rewarded with more gains (given enough time).

Indexing by definition is risky. There is inherent volatility within indexes. Returns vary significantly (10% average with a range of -25% to +33% for last 10 years). Highly volatile. The issue with volatility/risk is it takes more time (adds another factor into risk) to recover the losses.

I will list an example later.

Costs do not indicate risk or performance. Costs are part of equation (all things being equal, lower cost has better return). What smart fund managers do is manage risk as much as they pick stocks. This risk could be managed by going to cash, could be timing buys at low points of market, could be avoiding bad investments all together. The reduction of risk "has a cost", and if the reduction of risk yields positive returns when an index is going down, then the additional expense (to me) is well worth the cost.

indexing works GREAT in up markets, and performance will be better than strategy I am suggesting (defensive equity funds). These gains reward the indexer which took the ride down.