The authors charge that investment managers overwhelm potential clients with theories and statistical tests that strongly suggest their good past performance was no accident and will continue.  They contend that experience suggests otherwise and that both statistics and theory can seem quite convincing-even when wrong.  In this paper, they illustrate the problem by presenting "five foolproof" ways of winning the performance game.  If you can't identify which ones work, which ones don't work, and why, then you had better watch out.