Why? Because investors bought when stocks were on a tear and sold when they fell in value.

"It's not because they owned the wrong investment," said Scott Thoma, a member of the investment policy committee at investment company Edward Jones. "It's because they bought high and they sold low."

Focus on what you can control

Plenty of investors fear the system is rigged against them -- that big-money investors with sophisticated trading software are stacking the deck against the little guy. But even the sophisticates fell hard "during the tech crash, during the last crash and probably during this one," Evensky said.

Instead of worrying about them, Evensky said, focus on what you can control. For one, mutual-fund expenses.

David Swensen, the chief investment officer at Yale University, said in a recent opinion piece in The New York Times that "even Morningstar concludes . . . that low costs do a better job of predicting superior performance than do the firm's own five-star ratings."

While 401k's and other defined-contribution plans are far from perfect, most offer access to cheap index funds.

You also can diversify your holdings. In addition to U.S. stocks and bonds, consider emerging-market stocks and bonds, commodities, Treasury inflation-protected securities and real-estate investment trusts, among other options.

If you don't have access to much variety in your 401k, consider investing in that plan up to the full employer match, and then investing some money through an individual retirement account to get access to more investment options.

You're also in control of rebalancing. Once you've decided what percentage of your portfolio to invest in each asset class, revisit your portfolio quarterly. If necessary, sell investments that have grown beyond your target allocation and buy more of those that have dropped below your target.

Investors tend to focus on market swoons, but that's not the only risk you face. "In our definition, risk is not reaching your long-term goal," Thoma said.

And don't confuse certainty with safety. "Putting your money in CDs may feel very certain -- you know you'll get every penny back -- but it's very unlikely to be safe for most investors because there's not going to be enough money to pay the bills after you factor in inflation," Evensky said.

Another risk: taxes. You'll owe income tax on that 401k nest egg when you start pulling the money out.

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And keep in mind, that "lost decade" wasn't so for everyone. If you put $10,000 into the S&P 500 in 2000, you'd have about the same amount in 2010, Thoma said. But investors who put in $10,000 over time in regular monthly installments? "Their money would have grown to over $14,000 during that time frame, if you were in a 65/35 portfolio," Thoma said.

"It's because you invested over time," he said. "A lot of your money was invested lower and benefited from that recovery. That's where people have to focus more often than not."

This article was reported by Andrea Coombes for MarketWatch.