THFJ CTA/Managed Futures Hedge Fund Index

1.47%

October 2017

-1.35%

Past 3 months

-1.46%

2017 return

-0.47%

2016 return

7.26%

2015 return

8.31%

Annualised

Statistics

Annualised return
8.31%
Past 3 months
-1.35%
2017 return
-1.46%
2016 return
-0.47%
2015 return
7.26%
Strongest month
Dec 2000
5.49%
Weakest month
Mar 2003
-4.30%
Constituents
519

Deviations

Annualised standard deviation
5.81%
Downside deviation
0.88%
Upside deviation
1.47%

Ratios

Sharpe ratio
1.39
Sortino ratio
1.57
Calmar ratio
1.06

Historical VaR

99%
-2.42%
95%
-1.76%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.12 1.24 0.71 0.19 -0.54 -1.19 -0.62 -0.40 -2.39 1.47 -1.46
2016 1.02 2.74 -0.09 0.85 -1.47 0.61 -0.01 -0.45 -1.08 -1.20 -0.77 -0.53 -0.47
2015 3.01 1.73 1.99 -0.24 -1.10 -0.37 1.12 -1.63 1.29 -0.43 2.44 -0.67 7.26
2014 -0.59 0.32 -1.14 1.78 0.04 0.37 0.29 0.13 1.63 0.20 0.66 1.92 5.72
2013 1.75 -0.28 0.97 1.56 -2.32 1.61 0.00 0.28 0.01 1.02 0.52 -0.47 4.68
2012 1.33 1.58 -0.19 -0.83 1.78 -0.01 2.34 -0.08 -2.10 -1.73 0.26 -0.10 2.18
2011 0.21 1.97 -0.00 3.16 -1.50 -1.02 1.87 1.22 -0.09 -1.37 0.89 0.63 6.03
2010 -2.07 0.97 0.79 0.86 -0.85 2.44 0.69 2.44 2.93 3.72 0.95 3.13 17.04
2009 0.25 -0.42 -1.27 -0.03 3.10 -0.11 -1.05 -0.79 1.45 -0.47 3.28 0.40 4.31
2008 0.86 5.31 -0.21 0.02 2.26 3.57 -1.41 -2.25 0.10 4.88 2.10 1.03 17.19
2007 -1.04 0.07 -0.27 2.10 1.75 1.93 -0.33 -1.67 4.13 0.93 0.88 1.83 10.64
2006 1.12 -0.66 2.13 2.75 -0.91 -0.19 -1.45 1.14 0.27 0.68 2.09 -0.38 6.68
2005 0.19 0.59 -1.39 -1.49 1.47 0.79 1.28 2.35 1.59 -0.77 1.73 1.33 7.85
2004 -0.74 4.62 0.13 -2.06 -0.41 -1.90 -0.61 -0.88 1.98 0.80 3.09 1.27 5.19
2003 1.70 1.93 -4.30 1.38 4.03 -1.75 -0.44 0.21 1.68 2.46 -0.96 3.02 9.02
2002 -1.16 -0.32 0.25 -2.20 4.27 4.18 3.73 1.85 2.55 -0.24 -1.11 5.21 18.00
2001 0.40 1.50 3.97 -0.60 -0.49 0.63 -0.77 0.75 3.64 2.15 -2.71 2.87 11.69
2000 1.10 1.56 0.33 0.18 1.65 1.26 0.29 4.00 -0.83 1.10 2.00 5.49 19.51

Last updated: 23 Jan 2017