Tess' conversation with Jason Zweig of the Wall Street Journal about Sheepish Bulls is a timely reminder just how poorly most of us are at investing. How bad? Consider this calculation by Steven Leuthold, a long time money manager and market historian.

Leuthold looked back at the bull market of 1984 through 2000. The stock market sported an average annual return of 16.3%. (Ah, those were the days.)

Now, guess what the average equity mutual fund investor realized during the greatest bull market in U.S. history? Maybe 15% after subtracting fees? How about 14%? 10%?

A yearly gain of 5.3%. Mutual fund equity investors pocketed a return less than Treasury bills, he figured. Now, that hurts.

What accounts for the miserly performance? Part of the problem is the high cost of actively managed mutual funds. We aren't the rational thinking machines calculating the odds described in finance textbooks, either. Emotions, fads, and mental biases affect our investing decisions.

We can't seem to resist the urge to chase past performance, piling into the latest hot mutual fund or speculative sector just as the game is ending. We buy when stocks are rising and the economy strong and sell when stocks are falling and the economy weak. Buy high and sell low is a recipe for mediocre long-term returns.

What about the last decade? It was a terrible decade with an average annual total return for U.S. equity mutual funds of 1.59%, according to Morningstar. That's nothing. But Morningstar says mutual fund investors did even worse, managing to eke out a 0.22% gain. That's a rounding error off of zero.

Here's one takeaway from data like this: Stocks are risky, really risky. Since the 1870s the U.S. stock market has gone through 17 bear markets with declines greater than 20 percent.

Two of the three biggest declines in the stock market over this time period were in the past decade. That's why I like to look at a chart like this one created at dshort.com. Whenever the bulls run... the bears eventually show up.

Follow Chris Farrell at @cfarrellecon