Private equity fund-of-funds (FoF) investments are now contributing more than 10% of the capital to private equity, i.e. venture capital and buyout. However, their risk profile is not well understood due to the opaque and illiquid market, and the limited access to performance figures. FoFs need to understand their own risk profile, if they are to convince potential investors of their lower risk. Research on direct and fund investments exist. Directs show significant variability of returns with a significant probability of a total loss and extreme profits. Funds are less risky, because they invest in up to twenty direct investments. We show that FoFs even further significantly reduce the risk due to diversification. To this aim, we present a framework to construct the risk profile of FoFs using fund performance data. We also discuss the chosen data source, and the results of the simulations.