There have been some real horror stories in the market this year. Embattled digital video recording specialist TiVo (NASDAQ:TIVO) has tumbled about 19%. And like any good cinematic stalker, CMGI (NASDAQ:CMGI) has returned from the grave to inflict more pain on tech investors, shedding another 38% of its value.

Then there's the APEX Mid-Cap Growth Fund (FUND:BMCGX), which has invested heavily in both of those stocks. In fact, they're the top two picks in the entire portfolio, followed closely by two more that have played dead this year -- Palm (NASDAQ:PALM) and SINA (NASDAQ:SINA). Together, those four companies alone soak up more than one-fourth of the fund's total assets. Unfortunately, the list of stocks composing the remaining 75% is also filled with blood-red returns. Only five of the top 25 holdings have managed to avoid a loss, and the fund overall has plummeted 23% on the year.

The slow ones always get caught
Often, such dismal performance is simply the end result of a fund's asset class falling out of favor -- an occasionally unavoidable fate. That's not the case here, though. The small- and micro-cap growth categories that represent the bulk of the portfolio's assets (contrary to its name) have generally outperformed the broader markets. As a result, the fund's year-to-date return scrapes the bottom of the barrel, landing squarely in the bottom 1% of the small-cap category. Nor is this a statistical aberration; its ranking over the past ten years also trails 99% of all rivals, with a hair-raising average annual loss of 12.4% over the past decade. In other words, a $10,000 investment made 10 years ago would be worth less than $3,000 today.

What price must investors pay for the privilege of investing in a fund that sucks the lifeblood from their finances? How about a bone-chilling annual expense ratio of 4.7%? That prohibitively high handicap virtually ensures that the fund will be outrun by rivals over the long haul.

The manager -- a man with an impressive dossier, including a stint in the 1980s as the chief investment strategist at First Boston (now CSFB) -- has been at the helm for an unlucky 13 years. Usually, such tenure is a good thing, but shareholders have been forced to watch A Nightmare on Wall Street in most of those years, including sharp losses in five of the past six. The lone exception was an impressive triple-digit return in 2003, but only the unwary are lured by yesterday's spellbinding gains.

Don't go in there
Aside from the usual suspects -- including steep expenses and excessive turnover -- that typically hack away at returns over time, this fund has a few others lurking in the woods, waiting to ambush unsuspecting shareholders. Market-timing calls are not out of the question, nor are selective short sales. Such an approach might give the fund a chance to shine in a down market, but instead it suffered a 76% mauling at the hands of the 2000 bear market, while the average small-cap growth fund only slipped about 5%.

Investors are also subjected to concentrated sector bets, such as the current overweighting in business services stocks, which tie up nearly one-third of the portfolio's assets -- double the small-cap growth average. While that sector has fared relatively well lately, employing such risky tactics inevitably leads to wide price swings and above-average volatility. On that front, the fund has a whopping standard deviation of almost 45, versus about 15 for the small-cap growth index. Of more than 7,000 funds tracked by Morningstar, this fund earns the dubious distinction of being the third most volatile fund on the market today.

APEX Mid-Cap may occasionally deliver adrenaline-pumping returns, but more often than not it's fighting just to stay above water. And with that heavy expense ratio tied around its neck, it will probably only sink deeper, and deeper, and deeper.

Each month, resident mutual fund guru Shannon Zimmerman scares up some of the industry's biggest duds. Is your fund masking a dangerous side? Take a free trial of Motley Fool Champion Funds and find out.

Fool contributor Nathan Slaughter is planning a horror movie marathon. He owns none of the companies mentioned. TiVo, Palm, and Sina are Motley Fool Stock Advisor picks. The Fool has a disclosure policy.