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Do Funds-of-Funds Deserve Their Fees-on-Fees? / Andrew Ang, Matthew Rhodes-Kropf, Rui Zhao.
- Format:
- Book
- Author/Creator:
- Ang, Andrew.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w13944.
- NBER working paper series no. w13944
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2008.
- 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.
- Notes:
- Print version record
- April 2008.
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