THFJ CTA/Managed Futures Hedge Fund Index

1.99%

July 2017

1.24%

Past 3 months

-1.50%

2017 return

0.17%

2016 return

2.63%

2015 return

8.12%

Annualised

Statistics

Annualised return
8.12%
Past 3 months
1.24%
2017 return
-1.50%
2016 return
0.17%
2015 return
2.63%
Strongest month
Dec 2000
7.54%
Weakest month
Nov 2001
-3.88%
Constituents
519

Deviations

Annualised standard deviation
6.06%
Downside deviation
0.90%
Upside deviation
1.54%

Ratios

Sharpe ratio
1.30
Sortino ratio
1.48
Calmar ratio
1.10

Historical VaR

99%
-3.15%
95%
-1.85%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -0.00 -0.69 -0.92 -1.13 -0.15 -0.58 1.99 -1.50
2016 1.70 2.32 -1.49 -1.38 -1.13 1.06 1.14 -0.97 -0.42 0.16 0.14 -0.89 0.17
2015 3.05 0.50 0.75 -1.53 0.82 -1.51 -0.41 0.04 2.69 0.05 0.52 -2.24 2.63
2014 -0.08 2.13 -1.41 0.39 -0.05 2.56 -1.73 -0.04 2.48 0.71 2.53 1.35 9.07
2013 0.65 0.46 0.12 1.50 0.42 -0.37 -1.85 -0.37 0.03 -0.04 0.15 0.51 1.19
2012 0.90 -0.24 -1.00 0.46 1.59 -0.73 3.81 0.79 -0.42 -1.37 0.43 -0.24 3.94
2011 -1.18 -0.13 -1.92 1.92 -0.57 -0.76 1.07 0.19 -1.37 -0.28 1.09 1.79 -0.23
2010 -0.06 1.67 0.75 0.46 -0.66 0.21 -0.13 1.59 2.32 2.39 0.35 2.90 12.37
2009 1.77 1.11 -1.47 -0.28 2.29 -0.70 0.42 1.58 0.24 1.06 2.85 -0.40 8.73
2008 3.19 4.99 -0.47 0.29 1.18 1.31 -1.29 0.23 -1.57 3.47 1.39 2.68 16.28
2007 1.55 -1.13 -1.84 -0.13 2.61 -0.10 -0.03 -1.47 4.39 1.87 2.02 2.85 10.91
2006 1.60 0.89 1.95 2.67 0.53 -0.38 -0.34 0.92 0.76 -0.10 2.53 0.49 12.10
2005 -0.74 1.87 0.47 -1.46 2.24 3.32 -0.73 2.00 2.69 -0.22 1.19 -0.23 10.76
2004 -0.45 3.67 0.21 -1.93 -2.56 -1.55 -1.33 0.68 2.65 2.77 3.13 1.00 6.19
2003 4.83 1.83 -2.35 1.81 3.98 -1.82 -0.54 1.50 2.40 4.31 -0.37 0.14 16.55
2002 -0.20 -0.34 0.51 0.36 5.10 5.64 2.59 1.61 3.81 -1.87 -1.52 3.68 20.76
2001 -0.48 0.29 4.45 -2.30 0.88 -0.45 -0.65 0.92 1.02 2.28 -3.88 0.29 2.14
2000 1.69 0.50 -0.52 -0.62 1.51 0.61 -2.70 2.77 -1.32 0.28 3.82 7.54 14.00

Last updated: 23 Jan 2017