This is absolutely certain to be true, also goes for mutual funds, and it happens in the plain sight of almost every investor.
Hedge funds typically get two and twenty: two percent of your investment per year. Twenty percent of all gains. Apply this incentive structure to any sufficiently large pot of money and you make out like a bandit. Investors, not so much. Thankfully, if you have enough money to invest in a hedge fund you have enough money to pay someone who knows this to explain it to you.
Actively managed mutual funds charge a management fee, typically in the neighborhood of 1.5 ~ 2% a year. (These are, thankfully, coming down.) This compares to 0.2% a year for index funds. Since actively managed mutual funds do not add value -- another secret in plain sight -- this will, over time, result in approximately half of the investors' gains accruing to the money manager. Most investors just pick whatever their broker recommends (brokers shudder) or pick the default choice for their retirement plan, which is generally set via splitting that huge fee with whomever is tasked to do the recommendation.
Buy cheap index funds (or, if that strikes you as complicated, open an account with Vanguard and get one of their targeted retirement date options -- they'll work out the math for you).