When people buy a stock or mutual fund, they are usually full of optimism - about a company's prospects or a manager's stock-picking abilities.

But as it becomes more difficult to find stocks generating sizable gains, "we'll begin to uncover who truly has the stock-picking ability out there," he said.

But their apparent good fortune has less to do with their stock-picking abilities than with how the index is calculated.

So an adviser with average stock-picking ability might have looked incompetent just a few years ago but might seem a genius today.

The prediction stems from the belief that stock-picking ability is rare - that few people can beat the market over the long term.

"To the extent managers have stock-picking ability," Professor Metrick said, "the place we are most likely to find it would be small-cap growth stocks."

His stock-picking ability became legendary and a small battalion of investors sought to emulate his moves in the market.

I suspect that some advisers play an icy cold hand, either because of poor stock-picking ability or high transaction costs.

After considering these factors, the professors found that about one-fifth of these frequent traders had genuine stock-picking ability.

The professors saw little evidence of stock-picking ability among most of the other investors.