THFJ CTA/Managed Futures Hedge Fund Index

0.48%

November 2017

1.49%

Past 3 months

0.52%

2017 return

7.69%

2016 return

-0.39%

2015 return

8.29%

Annualised

Statistics

Annualised return
8.29%
Past 3 months
1.49%
2017 return
0.52%
2016 return
7.69%
2015 return
-0.39%
Strongest month
Dec 2000
6.31%
Weakest month
Apr 2004
-3.22%
Constituents
519

Deviations

Annualised standard deviation
5.95%
Downside deviation
0.89%
Upside deviation
1.52%

Ratios

Sharpe ratio
1.35
Sortino ratio
1.56
Calmar ratio
1.39

Historical VaR

99%
-2.75%
95%
-1.88%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.64 1.09 -1.10 -0.14 -1.49 -0.48 -0.07 0.61 -0.66 1.67 0.48 0.52
2016 1.41 3.99 -0.01 -0.17 -0.67 3.33 0.44 0.29 -0.09 -1.25 0.87 -0.58 7.69
2015 2.80 0.40 0.68 -1.31 0.40 -0.38 0.85 -1.21 0.36 -0.23 -0.35 -2.31 -0.39
2014 -0.98 2.07 0.12 1.16 1.10 1.24 -0.69 2.89 1.34 -0.98 1.75 1.15 10.58
2013 0.29 0.83 -0.10 1.71 -1.94 0.10 -1.21 -1.19 -1.29 1.68 0.59 1.16 0.56
2012 2.15 1.42 -0.68 -0.65 1.93 -1.53 2.35 -1.36 -1.51 -0.08 1.44 0.71 4.15
2011 1.16 -0.03 -1.15 3.19 -2.70 -1.51 2.56 -0.59 -0.36 -0.57 -0.40 -0.60 -1.14
2010 0.26 0.18 0.53 0.35 -1.46 -0.31 0.23 1.69 2.75 2.73 -0.54 3.89 10.65
2009 1.81 0.78 -1.15 -0.56 2.13 -1.07 2.21 0.28 1.03 -1.39 2.38 -0.55 5.93
2008 0.79 4.58 -0.45 0.39 2.06 3.44 -2.20 0.31 -0.47 2.84 0.05 2.42 14.43
2007 1.07 -0.20 -0.85 0.85 1.30 2.11 -1.97 -0.26 3.94 1.33 1.67 0.95 10.28
2006 2.69 -0.90 1.89 1.61 0.17 -0.22 -1.43 -0.18 -1.26 0.54 3.07 0.02 6.04
2005 0.36 0.58 -0.21 -0.26 1.67 2.19 -1.40 2.19 1.01 -0.22 2.40 1.18 9.84
2004 0.17 2.46 0.97 -3.22 -0.43 -2.18 -0.05 0.82 3.20 1.38 2.87 0.84 6.85
2003 5.04 1.61 -2.00 -0.61 5.91 0.46 1.32 1.63 0.06 2.14 1.10 2.55 20.71
2002 -1.78 -0.55 0.23 -0.95 2.81 6.25 2.90 0.29 3.10 -1.87 -0.54 3.62 13.98
2001 1.14 -0.24 5.25 -2.71 2.91 -0.87 -0.56 1.11 2.71 3.01 -2.84 1.81 10.92
2000 2.33 1.11 -1.35 -1.45 3.35 0.43 0.50 1.88 0.39 2.14 3.12 6.31 20.15

Last updated: 23 Jan 2017