Abstract

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.

• 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

"...a very intuitive and comprehensive introduction to hedge funds. I consider this to be an excellent book for students interested in alternative investments, practitioners dealing with hedge funds as clients, and investors seeking to investigate the past performance of hedge fund indices." --Financial Markets and Portfolio Management

"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