Antonio Diez de los Rios and Rene Garcia, "Assessing and Valuing the
Non-Linear Structure of Hedge Fund Returns", Journal of Applied
Econometrics, Vol. 26, No. 2, 2011, pp. 193-212.

The individual hedge fund data set used in this paper is the Lipper Tass
Hedge Fund Database, which is not open access. However, researchers can send
enquiries concerning data access to Lipper. More information on the data and
how to access it can be found on the following webpage: 

http://www.lipperweb.com/products/LipperTASS.aspx

The returns on the equally-weighted hedge fund indexes, computed from the
individual data as described in the paper, are available here in the
file hf_data.csv (in comma-separated ASCII format). This file is zipped in
rg-data.zip. Unix/Linux users should use "unzip -a".

Global refers to the overall hedge fund industry; Cat1 refers to convertible
arbitrage, cat2 refers to fixed-income arbitrage; cat3 refers to event
driven; cat4 refers to equity market neutral; cat5 refers to long-short
equity; cat6 refers to global macro; cat7 refers emerging markets; cat8
refers to dedicated short bias; cat9 refers to managed futures; cat10 refers
to funds of funds; and cat11 refers to other.