Even the superstars swing and miss. Much of the time, in fact. That is as true in investing as it is in baseball.

Last year, 79% of actively managed U.S.-stock mutual funds failed to top their benchmarks, according to research firm Morningstar Inc., the worst year for relative performance in modern history. At the same time, more individuals gave up trying to beat the market at all, as investors pulled nearly $99 billion from actively managed U.S.-stock funds last year and moved $71 billion into index funds.

Can’t anybody play this game?

We figured it was a good time to ask four acclaimed investors with records of top performance what they learned about markets and investing from some of their hits and—maybe more so—from their misses.

Rob Arnott

Founder and chairman of Research Affiliates, known for a quantitative investment strategy that has beaten the market over the long term.