The researchers used software to measure the facial width-to-height ratio — proven to be a proxy for testosterone levels — of more than 3,000 hedge-fund managers. After controlling for variables such as risk and market environment, the researchers found that not only do funds of higher-testosterone managers produce lower returns, but those managers also have a greater propensity to be terminated.

Hedge-fund managers with high testosterone underperform those with low testosterone by 5.8 percent each year, according to a study conducted by University of Central Florida and Singapore Management University.

After years of underperformance, researchers may have discovered what's plaguing the hedge-fund industry: too much testosterone.

High-testosterone managers "trade more frequently, have a stronger preference for lottery-like stocks and are more likely to succumb to the disposition effect," the report said, referring to the tendency of investors to sell assets at higher prices and holding onto those that have dropped in value.

The researchers also found that hedge-fund investors — specifically, hedge fund-of-funds — select managers based on their own testosterone levels. In other words, higher testosterone fund-of-hedge funds are more likely to invest in higher-testosterone managers, while the reverse is true for lower testosterone.

The results of the study may have implications for hedge-fund performance as well as hedge-fund culture, which tends to prize aggression, competitiveness and drive.

If this study is true, perhaps the prevalence of alpha males is what's eroding alpha.

Hedge funds have largely underperformed the S&P 500 during the current bull market. And they've continued to underperform even as the market has gotten more volatile. In aggregate, hedge funds have returned 0.14 percent this year, according to Hedge Fund Research. That compares with a 1.3 percent gain for the S&P 500.