THFJ Arbitrage Hedge Fund Index

0.61%

October 2017

0.69%

Past 3 months

3.66%

2017 return

4.39%

2016 return

6.82%

2015 return

6.12%

Annualised

Statistics

Annualised return
6.12%
Past 3 months
0.69%
2017 return
3.66%
2016 return
4.39%
2015 return
6.82%
Strongest month
Aug 2009
2.48%
Weakest month
Oct 2008
-5.08%
Constituents
84

Deviations

Annualised standard deviation
2.88%
Downside deviation
0.56%
Upside deviation
0.65%

Ratios

Sharpe ratio
2.04
Sortino ratio
1.36
Calmar ratio
0.62

Historical VaR

99%
-1.57%
95%
-0.61%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.47 0.32 0.34 1.00 -0.29 0.64 0.44 -0.14 0.22 0.61 3.66
2016 -0.81 -0.45 1.96 -0.15 1.67 -0.18 0.88 0.31 1.03 -0.13 0.33 -0.13 4.39
2015 -0.14 1.34 0.72 1.44 1.49 -0.35 0.52 -0.58 0.28 1.49 0.54 -0.09 6.82
2014 0.05 0.46 0.51 0.29 -0.18 0.87 -0.68 0.03 -0.55 -0.24 0.74 -0.23 1.06
2013 1.19 0.61 1.52 -0.02 0.67 -0.37 0.10 -0.29 1.23 0.87 0.65 0.93 7.30
2012 0.91 1.27 -0.28 0.29 -0.25 0.26 0.37 0.14 0.30 -0.01 1.21 0.42 4.72
2011 0.44 0.68 0.59 0.67 0.62 -0.43 -0.46 -1.17 -0.80 0.98 -0.13 0.59 1.57
2010 0.05 0.29 1.25 1.12 -1.12 0.17 1.19 -0.08 1.91 0.72 -0.91 0.45 5.12
2009 2.22 0.28 1.67 1.37 2.39 1.10 1.97 2.48 1.82 0.62 0.98 0.82 19.21
2008 -0.16 0.11 -0.55 0.88 0.88 -0.07 0.52 -0.19 -3.16 -5.08 -1.38 1.01 -7.13
2007 0.78 1.06 0.91 1.07 0.75 0.18 0.48 -0.25 0.51 1.95 -0.26 0.19 7.60
2006 2.06 1.54 0.85 0.73 0.02 0.65 0.55 0.31 0.69 0.20 1.34 0.73 10.06
2005 -0.38 0.97 -0.11 -0.19 0.14 0.31 1.27 1.09 0.65 -0.61 -0.26 0.96 3.89
2004 0.89 0.09 0.72 -0.07 0.81 -0.00 0.16 -0.14 -0.23 1.05 0.62 0.93 4.92
2003 0.86 0.90 0.61 0.69 1.71 0.94 -0.05 -0.18 0.82 0.65 0.76 1.07 9.15
2002 1.63 0.11 0.94 0.60 0.42 0.71 0.17 0.24 0.05 0.30 1.06 0.98 7.44
2001 2.03 0.69 1.14 1.11 0.81 -0.02 0.29 0.67 -0.74 1.30 1.26 0.85 9.77
2000 1.41 1.85 1.22 1.37 0.77 1.12 0.64 1.01 1.45 0.40 -0.13 0.24 11.93

Last updated: 23 Jan 2017