This book will present a comprehensive view of the risk characteristics, risk-adjusted performances, and risk exposures of various hedge fund indices. It will distinguish itself from other books and journal articles by focusing solely on hedge fund indices and emphasizing tail risk as a predictor of hedge fund index returns. The three chapters in this short book have not been previously published.

Key Features

  • Presents new insights about the investability and performance measurement of an investor’s final portfolio
  • Uses most recently developed investable hedge fund indexes to revise previous analyses of indexes
  • Focuses on 14 distinct types of hedge fund indices with daily data from January 1994 to December 2011


Upper-division undergraduates, graduate students, researchers, and professionals worldwide working on financial investments, and on hedge funds in particular.

Table of Contents


Chapter 1. Introduction

1.1 What Are Hedge Funds?

1.2 The History and the Future

1.3 Academic Perspective

1.4 The Aim of the Book

Chapter 2. Hedge Fund Strategies

2.1 Event-Driven Strategies

2.2 Equity Hedge Strategies

2.3 Relative Value Strategies

2.4 Global Macro Strategies

2.5 Other Strategies

2.6 Funds of Hedge Funds

Chapter 3. Hedge Fund Databases, Biases, and Indices

3.1 Hedge Fund Data Biases

3.2 Hedge Fund Databases and Indices

3.3 Hedge Fund Index Return Distributions

Chapter 4. Risk-Adjusted Performances of Hedge Fund Indices

4.1 Sharpe Ratio

4.2 Sortino Ratio

4.3 Return to VaR Ratio

4.4 Calmar Ratio

Chapter 5. Determinants of Hedge Fund Index Returns

5.1 Predictability of Hedge Fund Index Returns by Moments of the Return Distribution

5.2 Predictability of Hedge Fund Index Returns by Exposures to Macroeconomic Risk Factors



No. of pages:
© 2013
Academic Press
Electronic ISBN:
Print ISBN:

About the authors


"Bali,…Atilgan,…and  Demirtas…present an overview of how hedge funds have performed over the past 20 years. They discuss present risk and return characteristics for a wide range of hedge fund indices; fund databases and their biases; changes in performance in the recent global financial crisis; and linkages between index returns and macroeconomic factors."--Reference & Research Book News, December 2013