It's pretty obvious that Gross is referring to Fortress Investment Group in that tweet.

On Tuesday, Fortress said that it's closing its macro hedge fund after a challenging two years. The fund's chief investment officer, Mike Novogratz, will also retire with a $255 million payout based on his equity in the company.

Fortress' macro fund fell 4.67% in September and was down about 17.5% through the end of September. A lot of hedge funds have struggled to produce returns this year. On average, hedge funds are down about 2.14% year-to-date, according to Hedge Fund Research.

The recent poor performance has caused some to call into question the fees that funds charge.

Hedge fund managers are typically paid through a compensation structure commonly known as the "2 and 20," which stands for a 2% management fee and a 20% performance fee. That means a hedge fund manager would charge investors 2% of total assets under management and 20% of any profits.