Here's one analysis, which while not all bad, is not particularly positive either: http://www.cfapubs.org/loi/doi/abs/10.2469/faj.v61.n6.2775

Thanks for pointing this one out. I'm looking forward to a year or two from now when someone can do a study of hedge fund performance net of fees vs. a benchmark such as S&P500 over the last 10-20 years including 2008 and 2009. I would expect hedge funds to outperform, and the last 2 years have been a once-in-a-generation event to check that hypothesis against.