Interesting read, but the data seems extremely skewed.

Quote from the same article: "Eighty-eight of the 123 funds were go-go tech/Internet darlings that soared in 1999 but crashed after, losing 24.1% per year from Jan. 1, 2000, to Dec. 31, 2002."

So, it seems like the data comprising the "after-years" is highly skewed towards years when the overall market crashed, which explains the negative returns.

If your claim is true, shouldn't there be a fund that simply indexes the broad market minus top performing hedge fund holdings? If not, why not?