The eighth-ranked fund in the survey, the Heartland Value, underperformed 10 times and still returned 11.66 percent annually. Its long-term performance demonstrated how stellar years attract the attention, but the bad years, when the fund kept losses in check, were more significant. The RS Investments Small Cap Growth fund, for example, underperformed the S.& P. 500 more than it outperformed it, yet still beat it with an annual return of 9.85 percent.

The study also disputed the value of hitching your strategy to star managers. Mr. Miller was one example but so, too, were the various managers of Fidelity’s famous Magellan Fund. It underperformed the benchmark 14 times and ranked 222, with annual returns of 6.74 percent.

One reason star managers fail over the long term is that they become known for a particular style of investing that may go in and out of favor. DAL’s research found that no one style was dominant for the whole period. But funds focused on small- and midcap stocks did perform the best over this period. (Ms. Brown cautioned against reading anything into this for the future.)

“In my view, it has less to do with the brilliance of the portfolio manager as when their styles are in sync with the market,” she said.

EXPENSES One belief that investors take as gospel is that high expenses erode gains. On the one hand, this is obvious — the more that goes to the manager, the less that goes to you. But what the DAL study found was that there was only a slight correlation between lower expenses and higher performance. And the level of fees was not a determining factor in which funds beat the benchmark over the long term.

DAL divided the results into quintiles. Funds in the top performing group had fees that ranged from 0.45 to 2.01 percent. Funds in the middle had fees from 0.10 to 2.0 percent, while those in the worst-performing group had fees from 0.39 to 3.84 percent. (There were only three with fees higher than 2.5 percent.)

The expenses on the top-performing FPA Capital Fund were 0.87 percent. The average expense of the top 20 funds was 1.07 percent. The fund with the lowest expenses, the Fidelity Spartan 500 Index fund, was ranked 161st with an annual return of 7.58 percent.