A standard result in finance is that investment advisors and actively managed mutual funds tend to lose (risk-adjusted) money relative to simple "take the average" investment strategies.  The July 2 New Yorker tells that hedge funds are no exception:

Unlike banks and brokerage firms, hedge funds are largely unregulated … Typically, hedge-fund managers charge their clients a management fee equal to two per cent of the amount they invest, plus twenty per cent of any profits that the fund generates. … 

A [2003] study …compared the fee-adjusted returns of seventy-seven hedge funds between 1990 and 2000 with the returns generated by a market benchmark that had a similar risk profile.  Seventy-two of the funds – more than ninety per cent – failed to outperform their benchmarks. … A larger study … examined more than nineteen hundred funds. … Only eighteen per cent of the funds outperformed their benchmarks, …..

[Worse,] many published estimates of hedge-fund returns are misleading. … [since] funds tend to exaggerate how well they performed in the past, and that those which perform badly often close and disappear from databases, leaving a biased sample. …. between 1996 and 2003 hedge funds made an average return of 9.32 per cent, significantly less than the 13.74-per-cent average return of funds included in the published databases.

The article also discusses how simple computer programs can "generate returns with the same, and often better, risk-return properties as hedge funds … but without the massive fees."