Here's an interesting article from BusinessWeek.

The last paragraph states: Recently, Duke University's David A. Hsieh, a leading hedge fund scholar, theorized that only $30 billion in alpha is realizable annually from the $30 trillion market value of all stock and bond markets worldwide. It was intended as a very rough estimate, but if BGI is extracting $4 billion to $5 billion a year, what chance do the rest of us have to top the averages?

Good question!