I'm not talking about sector / small cap, etc based indexes, I'm talking about overall general indexes. The S&P 500 is probably the most general one overall. (Though they were getting FANG heavy) The Dow and Nasdaq are more sector based.
As for losing money, you always can. Using an overall index spreads your risk over many sectors rather than just getting killed when a single sector gets burned. Even in downturns, there are sectors that keep rising. They don't all fall. Hence, overall market index is your best bet to limit how much damage is done in a drop.