currently I work on hedge funds. Therefore, I need some single hedge fund data (single time series of a hedge fund). Does someone know how I can get (purchase) these data?
I mean a dataset consisting of n single hedge fund return series, yes.
The problem of hedge fund style indices, provided by e.g. HFR or Credit Suisse/Tremont, is the aggregation of data. Each platform has its own criteria and definition of investment styles and methods of aggregation. For an in-depth and unbiased investigation of hedge funds you have to analyse each hedge fund separately and then aggregate your data depending on your research question.
Collecting the data is a lot of effort. Therefore, these type of datasets will cost. The question I'm asking now is: Has someone experiences with a data provider that offers reliable data at cheap cost?
I'm not sure if they provide the data you ask for but you can buy quite a wide variety of financial data from them. Their support is very friendly and responsive, that maybe you could ask it yourself directly to them.
You could look into the following databases: BarclayHedge, Eurekahedge, HFR, Lipper TASS, Preqin, Hedge Fund Intelligence, and Morningstar. Their data is generally reliable, but not cheap.