This puzzles many people. The evidence is fairly incontrovertible that stock-picking and fund-picking are very, very expensive hobbies. So why do people do it? A fellow alum of the Chicago GSB once pointed out how many of our classmates, having spent $100K to learn that they can't beat the market, are now in the money management business. "I'm not sure," he said meditatively, "but I think maybe they should be in jail."

Why do people do this to themselves? My tenative answer is that you can't hit a home run with an index fund. You may get rich, eventually; but you will never get richer than everybody else. People investing in the stock market are buying the fantasy of the quick score. And like everyone else looking for a painless way to get rich, they're easy marks for the unscrupulous.

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