In a sense, many of us have no choice but to delay putting money into the market. Investing gradually and steadily — through workplace payroll deduction plans — is the best we can do. We’re saving and investing precisely so we can accumulate that money. (A nice thing about investing gradually is that when the market falls, we buy at cheaper prices.)

Nonetheless, assuming that we have the luxury of making a choice, over the long run, the data suggests that we would be better off investing in a diversified stock portfolio all at once.

Bernstein Global Research recently conducted its own study of the subject, and was able to quantify some of the cost of investing gradually. Using the Standard & Poor’s 500-stock index and its predecessors, Bernstein examined the rolling one-year returns of the stock market through 12-month periods from the beginning of 1926 to the end of 2013 — a total of more than 1,000 such periods. It compared lump-sum investments made at the beginning of each period with stock purchases made through “dollar-cost averaging” — regular monthly investments in the S.&P. 500 for 12 months. Money on the sidelines stayed in three-month Treasury bills.

The firm found that the average one-year return was 12.2 percent for immediate investments into the stock index, 8.1 percent for the dollar-cost-averaging portfolios and 3.6 percent for the cash holdings. The penalty for investing gradually, in other words, was 4.1 percentage points. On the other hand, that gradual approach was 4.5 points better than just holding cash.

There is no doubt that if you had been able to time the market perfectly, deliberately avoiding big declines and investing only at market bottoms, you would have been even better off. “We’d all like to do that,” Mr. Bosse of Vanguard said. “But no one can. We don’t think it’s worth even attempting to go down that road.”

Bad timing happens by accident, though. If you had moved money into the stock market right before a major market peak, you would have been staring at big paper losses immediately.

How bad would those numbers have looked? For a concrete answer, I asked Mr. Masters to sift through his data and find the worst cases among the 12-month periods his firm analyzed.