| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13944 |
| 来源ID | Working Paper 13944 |
| Do Funds-of-Funds Deserve Their Fees-on-Fees? | |
| Andrew Ang; Matthew Rhodes-Kropf; Rui Zhao | |
| 发表日期 | 2008-04-16 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w13944 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571616 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Matthew Rhodes-Kropf,Rui Zhao. Do Funds-of-Funds Deserve Their Fees-on-Fees?. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13944.pdf（227KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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