In one of the Back to the Future movies the villain goes back in time to deliver a book of sports scores to his younger self, who makes a fortune betting on games. Every investor wishes he’d known then what he knows now.

But the conclusions investors may draw from recent events can produce long-term strategies that are worse, not better, according to a study by T. Rowe Price (Stock Quote: TROW), the mutual fund firm.

If you could return to the fall of 2007 and sell your stocks at an all-time high, then miss the collapse that followed by sitting on the sidelines with cash, you’d certainly come out ahead. But since no one has a crystal ball for spotting these drops ahead of time, some investors may conclude it’s best to avoid downturns by using a conservative long-term strategy all the time.

To test that approach, T. Rowe Price looked at how it would have worked out if investors had adopted a highly conservative asset allocation before the downturn of 1973-1974, the last big drop for which there is 30 years of subsequent history. The S&P 500 fell 15% in 1973 and 26% in 1974. That compares to a 57% drop from fall 2007 to March 9, 2009.

The study looked at outcomes of five investment strategies for two investors. The first retired at 65 in 1973 with a $250,000 nest egg and started withdrawals. The second was 45 at the time, had $75,000 put away, invested new sums for 20 more years and then took withdrawals until the end of 2008.

The five approaches start with a “Glide Path” strategy. For the 65-year-old, that begins with 55% of the portfolio in stocks, and gradually reduces it to 20% at age 95. The 45-year-old would start with 85% in stocks and gradually decline to 34% when she reaches 81 at the end of 2008.