In investing, risk is often measured against a benchmark or by day-to-day market volatility. But is that really what matters most? In this episode of Connected Investor, Brunner Investment Trust's Julian Bishop and James Ashworth challenge conventional thinking about risk, arguing that the greatest danger isn't underperforming an index… it's the permanent loss of capital. They explore the difference between relative and absolute risk, why increasingly concentrated markets can leave investors more exposed than they realise, and how independent thinking, diversification and focusing on different businesses can help build more resilient portfolios. Along the way, they discuss AI-driven market concentration, lessons from the dot-com boom, and why resisting the herd can be one of the hardest and most valuable decisions an investor can make. Whether you're a seasoned investor or looking to better understand today's markets, this episode offers a fresh perspective on what risk really means in long-term investing.