THFJ Arbitrage Hedge Fund Index

-0.07%

November 2017

0.57%

Past 3 months

2.48%

2017 return

5.19%

2016 return

7.70%

2015 return

6.28%

Annualised

Statistics

Annualised return
6.28%
Past 3 months
0.57%
2017 return
2.48%
2016 return
5.19%
2015 return
7.70%
Strongest month
May 2009
3.44%
Weakest month
Oct 2008
-5.63%
Constituents
84

Deviations

Annualised standard deviation
2.87%
Downside deviation
0.57%
Upside deviation
0.64%

Ratios

Sharpe ratio
2.10
Sortino ratio
1.40
Calmar ratio
0.60

Historical VaR

99%
-1.28%
95%
-0.55%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.33 0.53 -0.02 0.26 -0.09 0.15 0.15 0.57 0.08 0.56 -0.07 2.48
2016 -0.33 0.20 1.61 0.23 0.60 0.55 0.89 0.60 -0.33 0.28 0.58 0.21 5.19
2015 0.17 1.68 0.83 1.51 0.64 0.49 0.56 -0.54 0.47 0.87 0.61 0.16 7.70
2014 -0.55 0.50 0.04 0.63 0.42 0.16 -0.40 -0.10 -0.26 -0.96 1.11 -0.17 0.39
2013 0.64 0.45 0.45 1.00 0.75 -0.33 0.94 -0.03 1.09 0.91 0.66 0.45 7.20
2012 0.84 1.42 0.37 -0.12 -0.66 0.79 0.44 1.02 0.67 -0.08 0.73 0.97 6.56
2011 1.22 0.17 0.79 0.92 0.08 -0.51 0.09 -0.03 -0.75 1.27 0.28 -0.05 3.50
2010 0.49 0.31 0.92 0.98 -1.27 -0.01 1.19 0.39 1.66 0.73 0.05 0.48 6.06
2009 1.24 0.10 1.64 1.75 3.44 0.94 1.78 2.02 1.30 1.23 -0.07 1.10 17.70
2008 -0.28 0.55 -1.00 0.37 0.89 0.01 0.29 0.59 -3.69 -5.63 -1.08 0.99 -7.93
2007 1.61 0.89 -0.08 0.55 0.81 -0.10 0.47 -0.38 1.15 1.51 0.31 0.53 7.50
2006 1.58 0.24 0.47 0.33 0.45 0.31 0.51 0.75 0.19 0.88 1.19 1.23 8.43
2005 0.69 0.25 -0.16 -0.56 0.14 1.04 1.08 0.92 0.27 -0.06 0.63 0.51 4.84
2004 0.94 0.53 0.41 0.14 -0.08 -0.33 0.51 0.47 0.10 0.53 1.03 1.09 5.45
2003 0.97 1.11 -0.05 1.10 1.29 0.30 0.19 0.20 0.91 0.81 1.14 1.06 9.39
2002 1.67 0.48 0.49 0.96 0.38 -0.74 0.01 0.97 0.65 0.30 1.42 0.85 7.65
2001 2.76 0.78 -0.20 1.51 0.76 0.36 0.89 0.91 0.28 0.94 0.12 0.26 9.74
2000 1.42 2.26 1.95 0.78 0.66 2.07 0.62 0.85 0.74 0.40 0.19 0.24 12.86

Last updated: 23 Jan 2017