Fees, taxes, and even inflation just kill your investment returns.

A Thornburg Investment Management study of "real, real returns," which was alerted to us by Cullen Roche at Pragmatic Capitalism, shows how various costs eat into your stock market returns. 

Real, real returns take into account expenses (the man), taxes (Uncle Sam), and inflation (the invisible hand).

Thornburg's study notes that "nominal returns are a misleading driver of an investor's investment and asset-allocation planning ... because they are significantly eroded by taxes, expenses and inflation." The risk then, as Thornburg sees it, is that a failure to understand real, real returns could lead to investment decisions that miss potential diversification opportunities.