He did another in a similar style to F for Fake called Filming Othello that's brilliant too.
I thought The Other Side of the Wind, the unfinished film Netflix eventually released, was great as well. There's a film within the film where he takes the piss out of Antonioni.
The only one I've seen which I thought was properly shit was Mr. Arkadin. It has its moments, but it got a real butchering, even by Welles' standards; The Lady from Shanghai's a mess too, but better overall. The Irish brogue was a misstep though.