From David Merkel:
But here’s the result for the S&P 500 Spider, January 1993- September 2011. Time-weighted return: 7.09%/year. Dollar-weighted: 0.01%/yr. Gap: 7%/yr+
Put another way, most of the money comes in at the peaks and then leaves in the troughs. Put yet another way, everyone buys high and sells low.