A sovereign wealth fund is not called a wealth fund for no reason. Andrew Ang explains this well. (see video)
Courtesy of Columbia Business School
The cost associated with the different alternative investment schemes does vary and may depend on funds under management or some other variable that determine the fees charged. I never like a managed account. Why? Because without proper control your account can be churned to drive up fees for the manager without consideration for the best return or yield for the investor.
There is also what is called a Family Office that is a little different from most alternative investment and generally more selective and holistic in its investment approach. There are single and multiple family offices. Hedge Funds sometimes start these operations when they no longer need public investors to fund their investment ideas. Hedge fund fees are expensive; the managers will generally take up to twenty percent (20%) of return on investment plus management fees minus operating expenses depending on the strategy used.
Private Equity is slightly different, but have some similarities to other collective investment schemes. You can start a private equity firm too; it is not hard if you know what you are doing. It is not a venture capital fund, but may provide venture capital at times. Then there is also the angel investor who operates a little different from the others.
Finally, we are down to the conglomerate and I just can't help myself but to talk about Berkshire Hathaway ran by Warren Buffett. There are other conglomerate ran by different people, Mr. Prem Watsa runs Fairfax out of Canada.
I hope you find value with my servings.