I heard an interesting interview on the BBC Business Daily about the performance of Hedge Funds.
You can find and listen to it here;
http://www.bbc.co.uk/programmes/p00pdhm2
Essentially, the author of some new book crunched some numbers and determined that 84% of all Hedge Fund profits stay with the mangers and investment companies, but when you factor in fees and other intricacies, it is much worse. The author estimates that the Hedge Fund industry has returned about 2% for investors.
This section is followed up by a rebuttal from a Hedge Fund manager claiming that 2% is better than most other equity investments out there. He further claimed that many mutual funds would be negative return on investment after fees and such.
Obviously, this was a brief interview, so I'm pretty sure the issue is more complex, but this was a very disheartening set of interviews anyway.