[R-SIG-Finance] hedge funds data

[Brian G. Peterson]

Liu Zhigang wrote:
> Hello,
> anyone can tell me where I can find and download  hedge funds data, such as
> return rate and performance ratios.
> Thanks.

There are no free sources for individual fund returns.  All of the Fund 
databases are paid subscription services.  Research is hampered by the 
fact that none of the data providers are complete, and all the databases 
have different biases.  There are many academic papers on selection and 
sample bias in hedge fund databases that you may wish to review.

In general, the various hedge fund databases do publish their index data 
for free, but not the individual fund data. Since it looks like you are 
at a university, you *may* be able to get access to their data for a 
reduced rate (or maybe free if you inquire and are persistent) to use it 
in publications.

Here are some of the major hedge fund database/index providers:

Guillaume has mentioned HFR:
https://www.hedgefundresearch.com/
Their indexes are widely quoted.  Academic use of their database is 
available at reduced subscription rates.

There is also EDHEC:
http://www.edhec-risk.com/
I believe that EDHEC has the most authoritative Hedge Fund Indices 
because they publish a factor-based (PCA) meta-index of all/most of the 
published hedge fund data sources.  The EDHEC indices have the best 
correlations to actual fund data that I have reviewed.  EDHEC, as a 
semi-academic institution, is also very friendly about using their 
information in publication (they readily granted permission to 
distribute some of their data with PerformanceAnalytics for R, for example).

Morningstar/Altvest:
http://www.investorforce.com/av/index/index_rets.asp
Morningstar purchased Altvest a while back.  Their database used to be 
one of the least expensive.

CSFB/Tremont:
http://www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
This database is one of the most complete.

MSCI/Barra:
http://www.mscibarra.com/products/indices/hf/
A relatively small database.

EurekaHedge:
http://www.eurekahedge.com/indices/hedgefundindices.asp

Barclays:
http://www.barclaygrp.com/indices/ghs/Hedge_Fund_Index.html
These are the Barclays index data.  I have seen academic papers 
utilizing fund return data from their database, so it may be worthwhile 
to inquire about academic use.

http://www.hedgefund-index.com/
Publishes some individual fund data (although not historical returns) 
licensed from Barclays as I recall.

There are a number of smaller players, but I think I've accurately 
covered the majority of the major databases and their published indexes.

Regards,

    - Brian