I totally agree, Jeremy. Another big problem is that investment managers love to report gross returns, not returns net of fees and expenses. That's not a big problem if the fees and expenses are relatively low, such as for index funds and even actively managed funds of many listed assets--but for hedge funds, private equity, and private equity real estate, it feels a lot like outright fraud. (I should note that the HFRI is an index of net returns.)

In CEM Benchmarking's study of actual investment results for more than 300 U.S. pension funds over the 14-year period 1988-2011 (available at https://www.reit.com/investing/industry-data-research/research/cem-benc…), the highest investment costs were for private equity (238.3 basis points per year), hedge funds (125.1), and private real estate (112.6). In fact, for hedge funds investment costs burned up more than one-fifth of gross total return. No wonder they want to focus on gross returns, rather than what the investors actually receive.