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Jeremy Grantham was featured in the Australian Financial Review, a month or so back, as part of their 'Money Masters' series.
Obviously he understands the game. Here are some quotes from that article :


"Grantham, noting that the best risk-adjusted return actually came from the S&P, jokingly wondered why the pension funds wouldn't give their money to the gentlemen from Standard & Poor's"


"Grantham says, because he saw that the stockmarket was clearly, unarguably a zero-sum game and, for big pension funds, there were advantages in matching the index return without the extra costs"


"Hedge funds? They are merely piling an extra layer of much higher costs to a zero-sum game. So whenever you pile on a new cost, you've got to find another sucker to lose even more money than he lost before"