Investors who held on to their stock holdings during the dark days of the financial crisis have been well-rewarded. With the broad U.S. stock market up 18% on an annualized basis since October 2008, a buy-and-hold investor in a total stock market index fund would have more than doubled his money during the past five years.

Alas, we know that not every investor buys an investment and lets it ride. The market's often-volatile performance pattern tends to prompt investors to get busy buying and selling, and such activity is often exacerbated during searing psychological trials like the financial crisis. In so doing, they may undermine their own investment results. Indeed, Morningstar research has demonstrated that investor behavior--in the form of ill-timed trades--may exact a bigger toll on some investors than fund expenses, trading costs, or advisor fees.

With that in mind, I took a look at Morningstar's investor-return statistics during the past five years--a period of tremendous downs and ups that would seem to be a perfect laboratory for capturing trends in investor behavior. Funds' published total returns assume that an investor bought a fund at the beginning of a time period and held it until the end. By contrast, our investor-return statistics aim to depict the return earned by the typical investor in a fund by factoring in the timing of all purchases and sales. If a fund generated strong investment returns at the beginning of a five-year period but serious inflows didn't occur until years 4 and 5, the investor return would be lower than the fund’s published total return. I looked at both average investor returns for each category as well as asset-weighted investor returns, meaning that the bigger funds got more weight in the calculation than the smaller ones. The themes were similar.