LONDON - Hedge fund managers pocketed 28.1 per cent of profits generated by their funds over the past 18 years, new research from London's Imperial College found.

The research, commissioned by KPMG and hedge fund industry body the Alternative Investment Management Association, found investors' share of annual profits delivered by hedge funds from 1994-2011 was 71.9 per cent.

It also found funds delivered an average annual return of 9.07 per cent from 1994-2011, compared with 7.27 per cent from global commodities, 7.18 per cent from stocks, and 6.25 per cent from global bonds.

"This research ... disproves common public misconceptions that hedge funds are expensive and do not deliver," said Rob Mirsky, head of hedge funds at KPMG in Britain.

The study, which assumed average hedge fund fees of 1.75 per cent and performance fees of 17.5 per cent, followed the publication in January of 'The Hedge Fund Mirage' by fund manager Simon Lack.

The book, which prompted a swift rebuttal from the hedge fund industry, said hedge fund managers themselves had earned 84 per cent of returns delivered by their funds from 1998-2010.

The study found a relatively high level of correlation between hedge funds and global stocks, particularly during recessions.

The findings come after a 2011 in which funds lost money as markets fell on worries over the euro zone debt crisis and a first quarter of 2012 in which a market rebound has fuelled a resurgence in fund performance.

Correlations between hedge funds and global stocks were 0.87 during recessions and 0.77 outside recessions. A score of 1 indicates a perfect correlation.

The highest correlation was between equity hedge funds - one of the most popular strategies - and global stocks during recessions at 0.91.