THFJ Distressed Debt Hedge Fund Index

0.15%

October 2017

0.83%

Past 3 months

4.79%

2017 return

19.18%

2016 return

-1.95%

2015 return

9.32%

Annualised

Statistics

Annualised return
9.32%
Past 3 months
0.83%
2017 return
4.79%
2016 return
19.18%
2015 return
-1.95%
Strongest month
May 2009
5.10%
Weakest month
Oct 2008
-6.50%
Constituents
24

Deviations

Annualised standard deviation
5.62%
Downside deviation
1.03%
Upside deviation
1.34%

Ratios

Sharpe ratio
1.62
Sortino ratio
1.64
Calmar ratio
0.42

Historical VaR

99%
-3.77%
95%
-2.16%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.63 1.75 0.65 -0.84 -0.55 0.15 1.09 0.55 0.13 0.15 4.79
2016 0.29 -0.20 2.51 2.05 2.88 0.44 1.76 1.12 1.18 1.78 2.80 1.12 19.18
2015 1.05 2.06 1.02 0.50 0.81 -1.33 -1.13 -1.42 -1.38 0.91 -2.63 -0.32 -1.95
2014 1.00 -0.40 1.06 -1.40 0.86 -0.02 0.09 -0.68 -1.19 -1.62 -0.12 -0.06 -2.50
2013 1.44 -0.20 0.45 0.55 1.42 1.24 0.32 0.25 -0.01 0.79 0.51 0.68 7.68
2012 2.40 1.39 1.86 -1.07 -1.67 1.09 -0.20 1.20 2.73 -0.45 1.28 2.23 11.20
2011 0.73 1.97 0.30 2.44 0.95 0.13 0.38 -3.70 -3.04 1.07 -0.04 0.04 1.07
2010 2.67 -0.22 1.76 1.48 -2.02 -1.32 0.93 0.45 2.19 5.10 1.52 2.95 16.41
2009 0.65 -2.76 -0.37 2.55 5.10 2.39 2.79 3.72 3.80 0.72 1.61 1.00 23.07
2008 -1.46 -0.59 -0.63 -0.32 1.07 -1.53 -1.75 -0.25 -3.44 -6.50 -3.55 -0.88 -18.31
2007 1.85 3.31 1.86 2.81 0.53 2.57 -0.03 0.66 1.97 1.54 -3.34 1.60 16.24
2006 0.93 1.24 1.12 2.35 0.29 1.00 1.00 -0.13 0.50 1.64 2.06 0.45 13.15
2005 0.19 1.34 1.11 0.45 -0.41 1.60 1.11 1.71 0.59 -0.91 0.31 1.35 8.72
2004 2.29 0.75 0.19 0.91 -0.58 1.65 1.14 2.40 0.39 0.49 2.20 3.36 16.21
2003 2.18 1.11 0.36 3.40 3.27 2.22 0.91 2.44 1.94 2.08 1.92 2.36 27.00
2002 1.14 0.06 2.30 1.37 3.11 -2.14 -2.65 1.08 0.12 -0.11 2.01 2.15 8.60
2001 2.88 1.35 0.18 1.62 1.92 3.16 1.28 0.02 -0.46 2.23 2.22 -0.13 17.46
2000 3.23 4.16 0.48 1.11 0.26 1.15 0.56 1.87 -0.03 -0.73 -4.14 -0.22 7.70

Last updated: 23 Jan 2017