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The rise of megafunds reflects the growing demand for private equity from large investors such as sovereign-wealth funds with hundreds of millions of dollars to put to work. With interest rates still persistently low, the industry’s historical reputation for 20%-plus returns, is appealing—even if it means paying higher fees and having money locked up for long periods.

The problem is that the largest funds haven’t always lived up to the hype. Taken together, private-equity funds of $10 billion or more posted 14.4% five-year annualized returns net of fees as of the end of last September, barely edging past the 14.1% return for the S&P 500, according to data from investment firm Cambridge Associates.

Buyout funds’ relative performance doesn’t improve much over a longer time frame. Over a span of 12.75 years—the longest period for which Cambridge has sufficient data on megafunds—returns for these large funds was 10.2%, the same as the broader index, its data show.

This is why I stick to things like index funds.

Over any significant time frame, the geniuses on Wall Street do not out-perform the market.