Hedge fund performance is subpar again this year, just as it has been for much of the past six years. Most hedge fund investors are the wealthy — those with annual income of $200,000 and net worth of at least $1 million — along with pension funds, endowment funds and other large institutions. These so-called sophisticated investors pay a heavy price for the privilege of handing over their money to the hedgies for which they receive squat. The typical hedge fund charges a yearly management fee of 2 percent to 4 percent of the assets and 20 percent of any...