Investors who held onto stocks through the bottoms of the 12 bear markets since World War II gained an average 32.5% in the first 12 months of the market's recovery, while those who bought just a week after the beginning of each rebound earned 24.3%, SEI Investments reported last week.

"When a down market turns up, it can do so swiftly and unpredictably," said Nancy Kimelman, SEI chief economist, in explaining why getting back into the market even as swiftly as a week after a rebound can dampen returns. "You can't time when it will happen. Many investors sell in a panic near the bottom and then jump on the back of a galloping market trying to ride it up. The data proves [it's] better to just sit tight."

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