Hedge fund investing is a little like VIP clubbing; it’s hard to resist the art of the game, the aura of exclusivity — not to mention the possibility of smoking hot returns in a down market. The lure is understandable. After all, hedge fund investors cashed in big in that nasty little bear market at the beginning of the decade. Besides, hedge funds are the play that make you feel like a player.

But hedge funds also have a lot of significant drawbacks. Unless your returns are high, asset and profit participation fees can eat your lunch. Transparency and liquidity also are problems, although the Dodd-Frank Act and Europe’s new alternative investment fund managers’ rule are aimed at increasing both.

For most investors, a direct hedge fund stake probably is not the best strategy. In the past couple of years, exchange-traded funds that seek to replicate hedge fund performance have cropped up. All hedge fund ETFs offer greater liquidity because they trade over a major exchange, just like stocks. They also offer investors lower fees and have a smaller initial buy-in.

Hedge fund ETFs are not all alike. They use different trading ideas to try to replicate the performance of hedge funds. Some might follow emerging-market stocks, others will invest in futures contracts or other ETFs, some will short stocks or play with derivative instruments like credit default swaps. Simply put, these funds hedge their bets — and so should you.

As with all investments, it’s wise to weigh risk against the potential rewards. Even the oldest hedge fund ETFs have been around for only about three years and don’t have a proven track record. New regulations could have a dampening impact on these ETFs down the road, and returns have been underwhelming this year, so set your expectations accordingly.

Still, if you’ve got a yen for the investor’s version of being ushered past the velvet rope at New York’s exclusive Provocateur club, check out these four hedge fund ETFs:

1. IQ Real Return ETF (NYSE:CPI). This ETF aims to replicate the price and yield performance of the IQ Real Return Index, which focuses on investments that provide a hedge against inflation. With a market cap of nearly $34 million, CPI has a current dividend yield of a scant 0.02% and a year-to-date return of 2%. The ETF has been trading around $26 all year.
2. Wisdom Tree Global Real Return ETF (NYSE:RRF). This is a new actively managed ETF (launched in July 2011) that aims to be a hedge against inflation over long-term investment horizons. RRF invests in fixed-income securities. With a market cap of about $4.8 million, RRF has a current dividend yield of just 0.05%; its return since inception is about -9%. At $47.66, RRF is trading about 6% above its low of about $45 last month.
3. IQ Hedge Fund Multi-Strategy Tracker ETF (NYSE:QAI). This ETF seeks to replicate the price and yield performance of the IQ Hedge Multi-Strategy Index, which tracks the return characteristics of the hedge fund universe. With a market cap of $173 million, QAI has a modest current dividend yield of 1.5% and has been trading around $27 all year.
4. IQ Merger Arbitrage ETF (NYSE:MNA). This ETF seeks to match the price and yield performance of the IQ Merger Arbitrage Index developed by IndexIQ, which seeks to identify global investment opportunities in acquisitions and mergers. With a market cap of $23.4 million, MNA has a current dividend yield of 0.5% and a year-to-date return of -1.3%. At $24.33, the ETF is trading about 5% above its low in August.

As of this writing, Susan J. Aluise did not hold a position in any of the aforementioned securities.