workplace pension scheme

Well you seem to have some idea of how you'd do it, knock yourself out. As I said, the system isn't mandatory (for you, it's mandatory for your employer to offer it) so you can opt out and do things your way, go buy those arbitrary shares picked from FTSE and spend your evenings scouring the listings for changes, you can probably even write a bit of Perl to make the buy/ sell decisions and just perform the execution manually.