In a fiction film, we know at some level we've suspended disbelief. In a documentary, we know that we're watching a drama unfold in the world because of the movie we're watching that is real. That has enormous stakes for the whole society, and we, by the act of watching, complete the story.
Second, they [those who disagree with market efficiency] always claim they know a man, a bank, or a fund that does do better. Alas, anecdotes are not science. And once Wharton School dissertations seek to quantify the performers, these have a tendency to evaporate into the air - or, at least, into statistically insignificant t-statistics.
People who hate what I make hate me, too. They must think I am a demon or some kind of evil sorcerer. Those who understand what I do appreciate the determination, love, and courage it takes to find wonder and beauty in people who are considered by society to be damaged, unclean, dysfunctional, or wretched.