I'm exploring the possibility of starting my own hedge fund and am wondering if anyone here has gone through that process? At this point I have an idea and have compared it to the averages and think its worth pursueing. I was suprised to see some "average" numbers for 2006: Hedge fund aggregate average = 11.99% Fund of funds average = 9.6% Aggressive Equity ave. = 10.81% Equity average = 12.76% Relative value ave. = 11.58% After subtracting out fees you're left with an average return of around 7.5%. I can't see how anyone could market an expected return of that amount, with a straight face anyway. So if anyone here has any input, comments, war-stories, etc about running their own fund I'd appreciate reading it. Thanks.