It's a really good question and one which, evidentally, most people get wrong most of the time.
The good news (sort of) is that the people that get it wrong are a lot more of the people than you think.
We've been pursuing passive investment strategies now for more than a few years, knowing that we do in fact know.
I love it when an article concludes with the comment: "Finally, it's my experience that the vast majority of investors don't even know what their returns have been relative to appropriate benchmarks. One reason is that Wall Street doesn't want you to know- if you did, you might stop making it rich. Another might be that the truth would be too painful, so investors themselves don't want to know. But you should know. Without such information, there is no way to know if your strategy is working."
In this great article, "On Magical Thinking and Investing" Larry Swedroe hits all the high notes.