THFJ Distressed Debt Hedge Fund Index

0.12%

November 2017

0.81%

Past 3 months

8.28%

2017 return

10.33%

2016 return

-5.33%

2015 return

8.92%

Annualised

Statistics

Annualised return
8.92%
Past 3 months
0.81%
2017 return
8.28%
2016 return
10.33%
2015 return
-5.33%
Strongest month
May 2009
5.55%
Weakest month
Oct 2008
-7.36%
Constituents
24

Deviations

Annualised standard deviation
5.68%
Downside deviation
1.02%
Upside deviation
1.35%

Ratios

Sharpe ratio
1.53
Sortino ratio
1.54
Calmar ratio
0.35

Historical VaR

99%
-3.73%
95%
-1.97%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 2.38 1.18 0.41 0.74 0.65 -0.86 1.75 0.95 1.45 -0.75 0.12 8.28
2016 -1.71 -1.45 1.62 0.52 2.36 0.81 0.45 2.50 1.80 1.36 1.70 0.01 10.33
2015 -0.28 0.78 -0.52 1.51 -0.96 -1.25 -0.99 -2.07 -1.95 1.47 -1.04 -0.08 -5.33
2014 0.99 0.56 -0.94 -1.14 0.34 0.26 0.03 -0.39 -0.48 -0.92 -0.41 0.46 -1.66
2013 1.08 -0.71 1.49 1.61 2.52 -0.39 0.54 -0.08 0.60 0.54 1.34 -0.03 8.80
2012 2.10 1.04 0.50 0.51 -0.17 1.11 3.25 0.98 2.20 1.34 0.29 2.19 16.40
2011 2.54 2.61 0.17 -0.00 -0.49 -0.30 1.26 -2.42 -0.93 2.65 -0.94 0.45 4.53
2010 2.64 2.02 2.08 2.02 -2.78 -0.03 -0.11 -0.30 2.61 4.98 0.93 1.32 16.28
2009 -0.08 -1.06 -1.09 3.47 5.55 2.46 3.31 2.80 3.72 0.37 2.20 1.29 25.25
2008 -2.40 0.14 -1.04 -0.35 0.66 0.76 -1.21 0.00 -5.63 -7.36 -3.66 -3.16 -21.24
2007 0.28 2.05 -0.02 0.86 1.97 1.27 0.11 -0.43 0.49 1.44 -1.12 -0.80 6.23
2006 1.58 0.73 0.85 2.07 1.43 0.38 0.54 0.08 1.26 2.46 2.07 3.00 17.70
2005 -0.10 1.48 1.04 0.84 -0.20 -0.43 0.21 1.25 0.43 0.13 0.73 1.12 6.66
2004 1.86 0.89 0.09 1.21 -1.33 1.08 -0.73 1.94 1.10 1.73 2.02 2.19 12.66
2003 0.57 0.66 1.70 3.04 2.86 1.72 2.18 1.58 1.97 3.64 2.93 2.47 28.43
2002 1.60 -0.24 1.50 3.20 1.79 -1.29 -2.25 -0.20 -0.89 0.30 3.46 2.85 10.10
2001 3.36 0.14 0.90 1.69 1.73 5.54 0.65 1.72 0.92 0.35 0.26 0.67 19.33
2000 -0.10 3.87 -0.38 0.22 1.18 1.45 0.94 2.40 -0.37 0.54 -2.40 0.45 7.95

Last updated: 23 Jan 2017