Interestingly, even when a fund does beat the market, their investors usually don't. When a fund is really hot people jump in, and when that performance turns o

Interestingly, even when a fund does beat the market, their investors usually don't. When a fund is really hot people jump in, and when that performance turns out not to be reproducible, they jump out. This leads to buying high and selling low. And sometimes all that money coming in makes the fund really lever up, and make a big, big loss. See for example the collapse of hedge fund Amaranth Advisors.