Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Borsa Istanbul Review 13 (2013) 3, pp. 30-52
This paper investigates the performance of various strategy-specific and composite hedge fund indices. Given the flexible and nonlinear investment mandates of hedge funds, various risk metrics that take factors such as extreme events and losses with respect to previous peaks are considered. Our...