THFJ Distressed Debt Hedge Fund Index

1.14%

July 2017

2.91%

Past 3 months

6.69%

2017 return

9.21%

2016 return

-2.83%

2015 return

8.80%

Annualised

Statistics

Annualised return
8.80%
Past 3 months
2.91%
2017 return
6.69%
2016 return
9.21%
2015 return
-2.83%
Strongest month
May 2009
5.89%
Weakest month
Oct 2008
-6.65%
Constituents
24

Deviations

Annualised standard deviation
5.43%
Downside deviation
0.98%
Upside deviation
1.29%

Ratios

Sharpe ratio
1.57
Sortino ratio
1.55
Calmar ratio
0.40

Historical VaR

99%
-3.33%
95%
-2.11%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 2.58 0.52 0.28 0.26 0.31 1.44 1.14 6.69
2016 -0.93 -0.89 2.93 0.64 1.18 -0.36 0.55 0.32 2.34 0.37 1.52 1.24 9.21
2015 0.38 1.11 -0.22 0.52 0.25 -2.08 -1.18 -1.25 0.01 1.45 -0.23 -1.56 -2.83
2014 0.01 1.22 1.03 2.32 1.48 1.46 1.24 0.92 -1.15 -0.05 -1.55 -1.54 5.42
2013 2.13 0.33 2.01 1.94 2.25 -0.64 0.74 0.41 1.84 1.51 0.22 1.36 14.99
2012 1.93 1.26 0.72 0.27 -0.65 -1.20 -0.04 1.59 1.61 -0.49 1.23 0.83 7.22
2011 1.47 0.96 -0.28 -0.07 -0.20 0.19 0.83 -2.30 -1.47 2.26 -2.31 0.20 -0.82
2010 0.79 0.62 1.97 2.60 0.29 -0.52 0.67 -0.30 2.40 3.98 1.00 2.41 17.00
2009 -0.59 -1.51 -0.31 3.25 5.89 3.65 3.11 2.22 2.46 0.49 1.18 0.75 22.35
2008 -1.82 -1.07 -0.51 1.19 0.41 -0.65 -0.58 1.82 -3.33 -6.65 -3.04 -3.81 -16.88
2007 1.87 2.10 1.29 1.89 0.58 2.48 0.50 -1.58 -0.34 1.13 -2.54 0.31 7.83
2006 2.49 1.72 2.31 1.92 1.77 1.68 0.33 0.46 1.13 2.64 1.39 2.93 22.83
2005 0.30 0.00 0.42 -0.29 2.19 1.36 0.68 0.95 2.50 1.53 2.27 1.58 14.30
2004 3.07 0.27 0.33 1.59 -0.52 2.17 1.42 0.36 0.98 1.48 2.38 1.32 15.84
2003 3.20 0.36 0.89 4.49 2.05 1.27 0.33 1.24 3.30 3.11 0.38 1.27 24.10
2002 0.73 -0.78 0.77 0.84 0.79 -1.28 -3.03 -1.39 -1.05 -0.38 2.75 1.90 -0.27
2001 2.38 0.80 -0.40 0.48 1.85 3.23 -1.04 1.16 -0.08 1.66 1.14 0.53 12.30
2000 1.85 3.74 0.68 -2.69 0.49 1.02 0.40 0.24 0.73 0.15 -2.77 0.35 4.10

Last updated: 23 Jan 2017