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Reconsidering Funds of Hedge Funds by Greg N. Gregoriou

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Chapter 27

Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles

Empirical Evidence from Growth and Financial Crisis Periods

Wolfgang Bessler and Philipp Kurmann, Justus-Liebig-University, Giessen, Germany

Chapter Outline

27.1 Introduction

27.2 Literature Review

27.2.1 FoHFs Performance

27.2.2 FoHFs and Asset Allocation

27.3 Data

27.3.1 FoHFs and Benchmark Assets

27.3.2 Definition of Individual Subperiods

27.3.3 Descriptive Statistics

27.4 Methodology

27.4.1 Mean-Variance Optimization

27.4.2 Mean-Variance Spanning Tests

27.4.3 Return Smoothing

27.5 Empirical Results

27.5.1 Full Period (2002–2011)

27.5.2 Growth Period (2002–2007)

27.5.3 Crisis Period (2007–2011)

27.5.4 Return Smoothing

Conclusion

References

27.1 Introduction

It has ...

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