You've got only yourself to blame -- and maybe your broker, too.

Researchers are trying to get a better handle on how much money investors really make. The results? They aren't pretty.

It turns out we often fare far worse than the stock-market averages and published mutual-fund returns suggest, because we buy the wrong investments at the wrong time. For proof, consider three recent studies.

Weighing results. Highflying mutual funds are forever touting their stellar performance. But these "total returns" are a little unrealistic. The reason: They assume folks invested a chunk of money at the beginning of the performance period and thereafter didn't make any trades, except to reinvest their fund distributions.

What if you figured in investors' actual purchases and sales? Would the results still look so stellar? To find out, Chicago investment researcher Morningstar Inc. has started calculating dollar-weighted returns.

What's a dollar-weighted return? You find out a fund's total assets at the beginning and end of, say, a 10-year stretch, as well as how much money was invested or withdrawn each month. Using this information, you then calculate what rate of return best explains the fund's asset growth. This is a more accurate gauge of how investors are faring, because you are taking into account when they bought and sold.

For a real eye-opener, however, you need to compare a fund's dollar-weighted result with its total return calculated the traditional way. For instance, Morningstar took every stock- and bond-fund category and plucked out the most-volatile 25 percent of funds and the least-volatile 25 percent.

There was a modest difference in the 10-year total return, with the low-volatility funds clocking 8.9 percent a year, versus 8.1 percent for the high-volatility funds. But the difference in dollar-weighted performance was huge. Investors in low-volatility funds earned 8.9 percent a year, the same as their funds' published total return, while investors in high-volatility funds collected just 5.3 percent.

"You don't see a lot of money going into bad funds," says Morningstar Managing Director Don Phillips. "But you often see investors ending up in funds that they aren't well suited for."

There's a lesson here for investors. Want to improve your results? Try sticking with funds that generate consistent performance.

Take balanced funds, which typically hold 60 percent stocks and 40 percent bonds. These might seem like an unexciting choice. But that lack of excitement leads to better investor behavior. Over the past 10 years, balanced-fund investors have enjoyed a dollar-weighted return of 8.8 percent a year, not much below their funds' 9 percent average total return.

Meanwhile, sector funds have been one of the worst categories. The funds generated healthy 10-year total returns, notching 10.4 percent a year. But their volatility appears to have unnerved investors, who garnered just 7.6 percent.

Going for broker. While investors clearly struggle to make smart decisions, hiring a broker may not help.

Consider a study by Daniel Bergstresser and Peter Tufano, both at Harvard Business School, and the University of Oregon's John Chalmers. The three finance professors analyzed the asset-weighted returns for mutual funds over the seven years through 2002.

Their conclusion: Broker-sold stock and bond funds underperformed directly sold funds, even if you ignore the impact of fund sales commissions and "12b-1" marketing fees. The results were even worse once you adjust for differences in fund risk.

It isn't clear why brokerage-firm clients are ending up in the wrong funds. But you may want to keep the study in mind next time you shop for a financial adviser.

"If a broker says, 'I'm going to pick better funds for you,' that's probably not going to happen," Prof. Chalmers says. "But if the broker says, 'I'm picking funds that suit your particular financial situation and personality,' those are things that a good financial adviser can provide."

Stock answers. Ilia Dichev, an accounting professor at the University of Michigan, has taken the analysis of investor returns even further, applying it to the entire stock market.

He found that, over the 77 years through 2002, the annual dollar-weighted return for the New York Stock Exchange and American Stock Exchange was 1.3 percentage points lower than the return calculated the traditional way. Results for the Nasdaq market were even worse, with a shortfall of 5.3 percentage points a year over the three decades through 2002.

This gap isn't driven by the trading of existing shares. Rather, at issue here is the movement of capital into the market through new share issues, as well as the outflow of capital, thanks to stock repurchases and dividends. The big capital inflows tend to occur during exuberant periods like the 1990s. Those who pony up this capital often buy just before a big market downturn.

"It says something about human nature," Prof. Dichev says. "When things are going up, people get excited. That's when the money pours in."

Coming Up Short

Mutual-fund investors' real results are often surprisingly poor.

Over the past 10 years, owners of diversified U.S. stock funds collected 7.3 percent a year, less than their funds' 8.8 percent published return.

In 19 stock markets, investors underperformed a buy-and-hold strategy by 1.5 percentage points a year since 1973.

Over seven years, broker-sold stock funds lagged behind directly sold funds by half a percentage point a year after expenses.

Sources: Morningstar Inc.; academic studies