Investing in Hedge Funds, 1st Edition

A Guide to Measuring Risk and Return Characteristics

Investing in Hedge Funds, 1st Edition,Turan Bali,Yigit Atilgan,Ozgur Demirtas,ISBN9780124047310

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Academic Press




229 X 152

Investigates the risk and return characteristics of 14 hedge fund indices, emphasizing tail risk as a predictor of returns

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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


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.


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

Turan Bali

Turan G. Bali is Dean's Research Professor of Finance at Georgetown University. He is widely published and ranked 15th among 4,987 academics based on publications in 18 finance journals during the period 2000-2005. He serves as an associate editor for 5 leading finance journals and is a founding member of the Society for Financial Econometrics.

Affiliations and Expertise

Georgetown University, Washington DC, USA

Yigit Atilgan

Yigit Atilgan holds a Ph.D. from Baruch College, CUNY and an MA from the Simon School, University of Rochester. He writes regularly about investments, options, and international finance.

Affiliations and Expertise

Sabanci University, Turkey

Ozgur Demirtas

Holding a Ph.D. from Boston College, Ozgur Demirtas has published in the Journal of Monetary Economics, the Journal of Banking and Finance, and the Journal of Financial and Quantitative Analysis, among others. He has won numerous awards for his scholarship and his teaching.

Affiliations and Expertise

Baruch College CUNY, New York, NY, USA

Investing in Hedge Funds, 1st Edition


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


Quotes and reviews

"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

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