So you've had your "harvest." As a successful entrepreneur, you have sold your business and now you have substantial wealth. Or maybe you are simply saving for your retirement.

Should you try your hand at beating the market? Surely someone with your experience, wisdom and insight can beat all of those buffoons who drive the wild swings in the market. You look back at the enormous run-ups and collapses of the market, and in retrospect it was clear to you that stocks were overvalued or undervalued.

You can beat these guys at their own game. Can't you?

My advice is: Don't fall victim to hubris. Trying to beat the market is a fool's game.

I am talking about buying and selling publicly traded securities issued by companies required to give full disclosure under SEC rules. If you are talking about investing in privately held companies or new startups, that is a whole different subject.

During the 25 years from 1980 through 2005, the stock market (as measured by Standard & Poor's 500) returned an average of 12.3 percent per year. During that same period of time, the average equity mutual fund only earned about 10 percent.

Wait a minute. If all of those mutual funds represent the vast majority of the market, how is it possible that they performed less than average? Shouldn't they BE the market? The answer is fees and expenses. The management fee on many mutual funds is often in the 1.5 percent to 2 percent range. And then there are the front-end loads, trading costs, 12b-1 fees, back end fees, and a host of other costs that bring them below the average.

My recommendation is to put your money into broadly diversified index funds. An index fund simply tries to mimic a particular index. So, for example, if IBM represents .5 percent of the S&P 500, an index fund manager will put .5 percent of the money in the fund in IBM.

money into IBM simply because it is .5 percent of the index, you don't have to study IBM's products, its patents, its management, the economic cycle or anything. You don't even have to know how to read!

But an index fund will have fees of .1 percent to .2 percent &mdash only about one-tenth the fees of an actively managed fund. That difference adds up. A dollar invested and earning 10 percent for 40 years will produce $45. If you pay a 2 percent management fee and the dollar only earns 8 percent, you will wind up with less than $22.

Yes, that's right. That 2 percent fee means that you are giving up half your retirement money to the mutual fund manager. Of course, if you put money in evenly during the entire 40 years rather than just up front, you give up less, but the 2 percent fee still means you are giving up more than a third of your retirement to the money manager.

As bad as that is, the same study discussed above shows that individual investors only earned an average of 7.3 percent during the same 25 years. Why did individual investors do so much worse? Primarily because they kept trying to beat the market. They bought and sold, paid commissions, paid loads to get into the hot funds of the moment along with other fees, and ultimately earned dramatically less.

Would you want to go into a business against thousands of experienced competitors who have dramatically more resources than you, have much better information sources, and have armies of trained employees to gather and process that information that you don't have?

Well that's what you're doing if you are trying to beat the market. There are literally millions of professional investors managing trillions of dollars, but there are only a few thousand different publicly traded securities for them to buy &mdash the same ones you are looking at. That's what you are up against.

I would suggest you simply put your hard-earned money into well-diversified index funds, pay less than .2 percent management fees and enjoy life. Studies show that you will do better than 85 percent of all equity mutual fund managers in the long run.