Abstract Depredation by cetaceans is a growing problem that may have serious economic implications for fisheries and for dolphin conservation. We investigated depredation by Risso's dolphin (Grampus griseus) in the hand-jig squid fishery around the Azores to determine the factors that may influence depredation behaviour and impacts on the fishery, and conducted experiments to evaluate the effectiveness of acoustic deterrent devices. Monitoring of the interaction between dolphins and the fishery was carried out through interviews with fishers and observations made from fishing vessels. Depredation was reported in 50% of the 506 interviews conducted from 2009 to 2011 and Risso's dolphins were reportedly responsible for 92% of the depredation events. Risso's dolphin depredation was recorded in 33% of the observed fishing trips (n = 96). Generalized additive models revealed that depth, sea surface temperature, and fishing time were important factors affecting depredation probability. Generalized linear models showed that fishing time also influenced the number of squids depredated, with greater catch losses predicted as duration of the fishing events increased. Depredation rate was calculated at 3% yielding an estimate of 8–12 t of squid lost to dolphins per year and an annual economic loss of €50 000 for the squid fishery of S. Miguel. The use of pingers had no significant effect on the catch per unit effort of squids. Depredation rates were similar for the control (0.20), inactive (0.19), and active (0.19) pinger conditions. Models indicated no significant effect of pinger brand and condition on cetacean depredation. This study is the first attempt to monitor depredation by Risso's dolphins on a hand-jig squid fishery providing a scientific basis for future management of interactions between cetaceans and fisheries.