NEW YORK – Welcome to where nearly everyone is below average.

It’s the world where investors try to pick which mutual funds will beat the market. It sounds great in theory, but the odds of doing it successfully over the long term can be slimmer than winning a lotto prize.

Twice each year, S&P Dow Jones Indices checks how fund managers are performing against indexes in various categories. For the first time, it has a full 15 years of data to compare. That stretch of time captures not only two big rallies for the stock market (2002-07 and 2009 to today) but also the worst downturn since the Great Depression (2007-09), which means it should offer a look at the full breadth of a manager’s skills.

Most funds did poorly relative to their index, and not just ones that focus on U.S. stocks, whose performance has been getting the heaviest scrutiny. The majority of bond funds and foreign stock funds also failed to keep pace with their indexes for the 15 years through 2016.

The natural reaction after seeing such numbers is to give up on funds that try to beat the index, and investors are doing just that, by the billions of dollars. But that may be confusing cause and effect a bit. More on that later. First, the numbing numbers:

For the kind of investment that forms the backbone of most 401(k) plans, less than 8% of funds that invest in stocks of big U.S. companies matched or beat the Standard & Poor’s 500 index.

Success was even more elusive in other categories. The S&P 600 Growth index did better than all but one of the 175 small-cap growth stock funds available 15 years ago. That’s a success rate of just 0.6%. Chances are better for winning one of the prizes in the Powerball game, where the odds are 1 in 25, or roughly 4%.

One big reason is that many funds simply disappear over time. More than half of all U.S. stock funds either merged with another one or shut down due to poor performance, lack of interest or other reasons over the 15 years of the study.

Another big reason is fees. Funds that charge high expenses must perform that much better just to match the index’s return, let alone beat it. And while the cost of investing has been trending lower, hiring a team of managers and analysts to scrutinize corporate balance sheets still carries a price tag.

Of course, measuring the performance of mutual funds against indexes isn’t entirely fair because indexes have zero costs, and no one can invest directly in them. But index funds and exchange-traded funds do exist, and they try to mimic the performance of indexes at costs that are getting closer to free.

Schwab has a fund that tracks the S&P 500 with an expense ratio of 0.03%, for example. That means $3 of every $10,000 invested goes to paying expenses annually. Many funds that try to beat the index…