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Do funds-of-funds deserve their fees-on-fees? / Andrew Ang, Matthew Rhodes-Kropf, Rui Zhao

Author:
Ang, Andrew
Published:
Cambridge, MA : National Bureau of Economic Research, [2008]
Copyright Date:
©2008
Physical Description:
32 pages : illustrations ; 22 cm.
Additional Creators:
Rhodes-Kropf, Matthew, 1971-, Zhao, Rui, 1979-, and National Bureau of Economic Research
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Summary:
Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases. Instead, the correct fund-of-funds benchmark is the set of direct hedge fund investments an investor could achieve on her own without recourse to funds-of-funds. We use asset allocation concepts to estimate characteristics of the fund-of-funds benchmark distribution. Since the benchmark characteristics are reasonable, we conclude that funds-of-funds, on average, deserve their fees-on-fees.
Subject(s):
Note:
"April 2008."
Bibliography Note:
Includes bibliographical references (pages 24-25).
Other Forms:
Also available in PDF from the NBER World Wide Web site (www.nber.org).
View MARC record | catkey: 4443020