Although hedge fund returns have declined in the past 10 years, their annual fees have steadily climbed, Bloomberg reports. Today, the average hedge fund charges annual fees of 1.44% of assets, a 13% increase from 1.27% five years ago. And that doesn't include the 19.2% that hedge funds skim off performance returns.

Meanwhile, while hedge funds have continued to beat out the S&P 500 and the Lehman bond index, their returns have declined from the 1990s. During that decade, they averaged annual returns of 16%. Last year, they gained 9.2%.

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