Investor behavior seems to have more of an effect on the investor’s results than fund performance does.

Researchers at DALBAR Inc., Boston, have come to that conclusion in an analysis based on 21 years of actual investment data and a scenario involving a hypothetical “systematic equity investor” who put $10,000 in stock funds each month for 20 years.

The researchers compared the results of the hypothetical systematic equity investor with the actual results of the average bond fund investor: the average stock fund investor and the average asset allocation investor over one period stretching from 1986 to 2005 and over a second period stretching from 1987 to 2006.

None of the actual or hypothetical investors studied matched the average annualized return turned in by the S&P 500 Index, which was 11.9% for the period from 1986 to 2005 and 11.8% for the period from 1987 to 2006.

But the hypothetical systematic equity investor would have achieved an average annualized return of about 6% during either period, compared with an average annualized return of about 1.8% for actual bond fund investors.

Stock fund investors achieved an average return of 3.9% during the 1986-2005 period and 4.3% during the 1987-2006 period.

Asset allocation investors averaged returns of 3.3% during the 1986-2005 period and 3.7% during the 1987-2006 period, the Dalbar researchers report.

The new results are similar to those Dalbar researchers came up with when they conducted a similar study in 1994, the researchers report.

Behaviors that affect real-world performance include how well investors retain assets, in down markets as well as up markets, and how systematic investors are about continuing to invest money when the market is down, the researchers report.

The researchers also cover topics such as “loss aversion,” “narrow framing,” “anchoring,” “mental accounting,” and “herding.”

A “quantitative analysis of investor behavior” shows that, “investment returns increase when [these] natural characteristics are replaced by disciplined investment behavior,” the Dalbar researchers write in their report.

“The most important role of the financial advisor is to protect clients from the behaviors that erode their investments and savings,” the researchers write.

Stock fund retention held steady at 4.3 years in 2006, and bond fund retention increased to 3.7 years, from 3.6 years in 2005.

Increasing retention rates are helping investors earn higher returns, the Dalbar researchers write.

In 2003, for example, some investors coped with fears of a bond market crash by getting out of bond funds.

“Investors who moved from bonds to cash did not avoid a crash but paid a price for safety,” the Dalbar researchers write.

The researchers note that the average retention rate for asset allocation funds is 5.2 years and helps asset allocation investors compensate for the relatively poor performance of asset allocation funds.