@techreport{NBERw13944,
 title = "Do Funds-of-Funds Deserve Their Fees-on-Fees?",
 author = "Andrew Ang and Matthew Rhodes-Kropf and Rui Zhao",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "13944",
 year = "2008",
 month = "April",
 URL = "http://www.nber.org/papers/w13944",
 abstract = {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.},
}