Newspapers detail the latest, hottest initial public stock offerings. Friends and colleagues boast about their big winners. "We're all attracted to get-rich-quick strategies," says William Reichenstein, an investments professor at Baylor University. "That explains the attraction of lottery tickets, initial public stock offerings and day trading."

But the reality is, most folks don't get rich buying IPOs, making big market bets, trading funds and hiring hot-shot investment advisers. "There aren't a select few in the know, who have access to great investment opportunities that aren't available to the rest of us," Mr Reichenstein says.

Lusting after the next big winner? In truth, investors are unlikely to beat the stock market by even a modest amount. As the market rises, it creates a certain amount of wealth, which is then divvied up. Wall Street gets first dibs, snagging a hefty chunk through money-management fees and brokerage commissions. What remains is then divided among investors, who - because of Wall Street's take - will collectively earn market-lagging returns.

The implication: If investors want decent gains, maybe their best bet is to forget about picking hot investments and instead focus on holding down investment costs.

"The thing investors don't understand is that the best way to win is not to try," says Terrance Odean, a finance professor at the University of California at Davis. "On average, over the long run, index funds beat actively managed funds," because actively managed funds charge far higher annual expenses and incur heftier trading costs.

As we hunt for the next big winner, we tend to fret about each investment we own, rather than tracking the performance of our entire portfolio. "If you focus on individual investments, it's going to make stocks look riskier than they really are, because you're bound to have a loss somewhere," says University of Chicago finance professor Nicholas Barberis. "It can also prevent you from selling bad investments that you should sell."Investors are often reluctant to sell their losers, because that means admitting they made mistakes and giving up all hope of making back the loss. Some folks will even double down, buying more shares of a losing stock, in an effort to break even. "That's probably a bad decision," Mr Barberis says. "Stocks that have gone down tend, on average, to go down even further."Investors love to find winning stocks and funds. But as we pick investments, we often make mental mistakes. "When people have an opinion, they are reluctant to change it in the face of new evidence," Mr Barberis says. "And if they don't have an opinion, they jump to conclusions based on too little data." For instance, after foreign stocks perform poorly, we assume they will always be rotten investments. After a fund generates a few years of spectacular returns, we decide the manager can do no wrong.

Once we make up our minds, we tend to embrace confirming evidence and ignore disproving information. If we are bullish on stocks, market dips become buying opportunities, not causes of doubt. If we are bearish, rallies become chances to sell, rather than reasons to revise our opinion. All this is made worse by investors' tendency to be excessively self-confident. We think we know more than we really do and we take credit for our successes, even as we blame our failures on others. This overconfidence can be dangerous, because it prompts folks to trade too much and make big investment bets. "The harder investors try to beat the market, the worse they do, primarily because of the trading costs ," Mr Odean says.

Like kids playing a video game, investors get a thrill out of trying to beat the market. "People have this sense that the market is a worthy opponent, but not an overwhelming opponent, and that they have the skills to master it," Mr Statman says.

Absorbed by this challenge, investors trade too much and lose sight of the financial stakes involved. They also forget that, with this particular game, not everybody can win.

"Investors don't understand that, whenever they sell a stock because they think it will go down, there is somebody on the other side of the trade who buys it because he thinks it will go up," Mr Statman says. "Only one of you will be a winner."

What to do? If investors are going to trade actively, they should limit the potential damage. "People who have a desire to trade should stick 90% of their money in index funds and then go to town with the other 10%," Mr Odean suggests. "They should tell themselves that this 10% is their entertainment fund."