I remember when Harry Kat was getting a lot of play in 2006/7 for his idea you can replicate various hedge funds via futures. I was skeptical because while any fund with 5 years of monthly returns will generate a nice in-sample fit with something, such data are not really 60 independent observations because their will be a handful of big bets that were correlated with some sector. In my experience working at hedge funds you could point to a few key strategic moves that explained most of the returns, and as people changed, or the strategy died, it was hardly an internal factor loading, just a coincidence. I got a couple calls from industry magazines doing pieces on Kat, and both declined to incorporate any of my criticisms.
I haven't heard much about it since. Some algorithms seemed to do very poorly in 2008 with most strategies, but presumably Kat says not his. This highlight a major problem in finance, that so many fund managers are encouraged to keep their records private, because then they can use the fawning press to imply huge returns while never actually saying so, and so everyone else seems to be beating the market (just as most people who go to Las Vegas say they were either 'flat' or 'up big'). So how have they done? In Antti Ilmanen's Expected Returns, he has a couple cryptic pages (238-9), where he states 'the in-sample fit to HF index and HF sector index returns can often be surprisingly good, but out-of-sample results less so.'