I disagree, your conclusion might be flawed because you are looking at a specific period of time, 1998 - 2011. I believe you can always draw the conclusion that the asset class X or Z is the worst based on the period of time you are taking. I believe there are fantastic hedge funds that can deliver superior risk adjusted return, over a long period of time. All hedge funds are not that bad are you are suggesting. Please take a look at Warren Buffett, his performance has not been so great lately but since inception, his performance has been very good.