Analysis from Citywire shows that the sector has declined by 1.8 per cent in net asset values (NAVs) so far in 2008, with funds losing much of the growth they enjoyed last year prior to the onset of the financial crisis.
The news gets still worse in terms of share prices in funds of hedge funds - which are seven per cent down on the year.
Increased market volatility is thought to have cancelled out the advantages invested in listed hedge funds enjoy, such as having a permanent base of capital.
Speaking to the news source, Simon Elliott, head of research at Wins, commented: "Performance across the board has been disappointing this year and the difference between NAV and share price performance gives you an idea of how premiums have evaporated and discounts widened.
"They have held up pretty well in NAV terms, but investors are exposed to the share price and it makes a big difference to returns."