Sorry, Jean-Charles, but the argument that "this would be great if everybody simply chose the best fund" is extremely weak. If you knew which one stock would perform best, then why would you need two stocks? Why would you receive any risk premium if you were facing no risk?
If the whole think were as simple as that--just put all your money in the best hedge fund, and don't bother with any of the others--then wouldn't everybody be doing that? (Unless, of course, the returns of the best hedge fund weren't as good as the returns of the best stock--in which case no hedge funds would get any money, and no stocks other than the best one.)
I continue to advocate thinking about the real world, not Fantasyland.