The phenomenon of adversarial examples in deep learning models has caused substantial concern over their reliability. While many deep neural networks have shown impressive performance in terms of predictive accuracy, it has been shown that in many instances an imperceptible perturbation can falsely flip the network's prediction. Most research has then focused on developing defenses against adversarial attacks or learning under a worst-case adversarial loss. In this work, we take a step back and aim to provide a framework for determining whether a model's label change under small perturbation is justified (and when it is not). We carefully argue that adversarial robustness should be defined as a locally adaptive measure complying with the underlying distribution. We then suggest a definition for an adaptive robust loss, derive an empirical version of it, and develop a resulting data-augmentation framework. We prove that our adaptive data-augmentation maintains consistency of 1-nearest neighbor classification under deterministic labels and provide illustrative empirical evaluations.