THFJ Arbitrage Hedge Fund Index

0.84%

July 2017

0.84%

Past 3 months

2.52%

2017 return

4.46%

2016 return

7.55%

2015 return

6.33%

Annualised

Statistics

Annualised return
6.33%
Past 3 months
0.84%
2017 return
2.52%
2016 return
4.46%
2015 return
7.55%
Strongest month
Feb 2000
2.60%
Weakest month
Oct 2008
-4.90%
Constituents
84

Deviations

Annualised standard deviation
2.86%
Downside deviation
0.56%
Upside deviation
0.64%

Ratios

Sharpe ratio
2.12
Sortino ratio
1.45
Calmar ratio
0.62

Historical VaR

99%
-1.64%
95%
-0.49%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.62 0.75 0.02 0.26 -0.13 0.12 0.84 2.52
2016 -0.50 -0.27 1.71 0.27 0.58 0.06 0.53 0.45 0.43 -0.06 0.12 1.06 4.46
2015 0.64 1.59 0.42 1.07 0.17 -0.24 0.80 -0.08 0.25 1.48 0.80 0.42 7.55
2014 -0.06 0.59 0.56 0.20 0.03 0.08 -0.13 0.47 -0.33 0.29 1.04 -0.42 2.33
2013 1.22 0.80 1.07 0.22 0.77 0.17 0.36 0.40 0.69 1.29 0.84 0.32 8.46
2012 1.07 1.30 0.17 -0.11 -0.02 0.21 0.11 0.54 -0.49 0.49 -0.04 0.97 4.26
2011 0.72 -0.15 0.48 0.05 -0.32 -0.91 -0.33 -0.91 -1.13 0.07 0.27 -0.42 -2.58
2010 0.60 -0.02 1.18 1.08 -1.56 0.02 1.35 0.33 1.15 0.89 0.32 1.03 6.53
2009 1.70 0.57 1.65 2.19 2.33 1.05 2.07 1.24 2.49 0.61 0.80 0.89 19.06
2008 -0.20 -0.10 -0.46 1.29 0.68 0.46 -0.41 0.91 -3.77 -4.90 -1.50 1.29 -6.71
2007 1.32 0.86 0.81 0.85 0.87 0.45 0.05 -0.53 1.38 0.57 0.11 0.37 7.35
2006 0.96 0.39 0.81 0.41 1.11 0.64 0.64 0.96 1.01 1.13 1.36 1.33 11.30
2005 0.71 0.23 -0.37 -0.76 0.37 0.33 1.39 0.94 0.55 -0.40 0.39 1.19 4.64
2004 1.12 0.88 0.25 -0.21 0.65 0.22 0.54 0.23 0.04 0.73 0.80 0.47 5.84
2003 1.26 0.99 1.28 0.99 2.24 0.16 0.23 -0.09 1.45 1.44 0.51 0.47 11.48
2002 0.43 0.19 0.02 0.91 1.31 0.08 -0.06 -0.06 0.80 0.65 1.49 0.71 6.64
2001 1.78 0.74 0.39 1.03 1.23 -0.12 1.00 0.27 -0.47 1.14 1.10 0.66 9.09
2000 1.09 2.60 1.70 1.13 0.35 1.43 0.53 1.42 0.74 -0.37 0.13 0.41 11.69

Last updated: 23 Jan 2017