THFJ Equity Market Neutral Hedge Fund Index

0.66%

July 2017

0.37%

Past 3 months

1.43%

2017 return

0.55%

2016 return

6.06%

2015 return

4.61%

Annualised

Statistics

Annualised return
4.61%
Past 3 months
0.37%
2017 return
1.43%
2016 return
0.55%
2015 return
6.06%
Strongest month
Feb 2000
3.53%
Weakest month
Sep 2008
-2.11%
Constituents
171

Deviations

Annualised standard deviation
1.99%
Downside deviation
0.36%
Upside deviation
0.45%

Ratios

Sharpe ratio
2.19
Sortino ratio
0.88
Calmar ratio
1.22

Historical VaR

99%
-0.88%
95%
-0.59%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.21 0.13 0.19 0.52 -0.35 0.06 0.66 1.43
2016 -0.11 -0.37 0.19 -0.80 0.82 -0.39 0.46 -0.36 0.34 0.01 0.49 0.27 0.55
2015 0.67 0.13 1.07 0.56 1.06 0.15 0.03 0.18 0.63 0.31 0.55 0.57 6.06
2014 0.32 0.63 0.53 -0.49 0.26 0.22 0.03 0.58 0.09 0.84 -0.41 0.35 3.00
2013 0.66 0.32 0.68 0.39 0.54 0.51 0.90 -0.27 0.52 0.80 0.54 0.71 6.48
2012 0.58 0.66 0.30 -0.05 -0.90 0.40 0.75 0.14 0.21 -0.08 0.29 0.48 2.81
2011 0.47 0.83 0.20 0.24 0.07 0.27 0.16 -0.63 -0.90 1.18 0.36 -0.03 2.21
2010 0.06 -0.04 0.56 -0.15 -0.20 0.13 0.62 -0.46 1.13 0.92 0.03 0.61 3.25
2009 0.42 -0.78 0.40 0.46 1.23 0.45 0.41 0.52 0.81 0.37 0.11 0.73 5.25
2008 -0.61 1.26 -0.39 0.23 1.05 0.96 -0.58 -0.90 -2.11 0.57 0.35 -0.24 -0.46
2007 0.99 -0.21 1.08 1.02 0.95 0.93 0.82 -0.72 0.47 1.34 -0.16 0.74 7.48
2006 0.94 0.77 0.77 0.89 -0.44 0.25 0.59 0.09 -0.06 0.28 -0.01 0.82 5.01
2005 0.83 0.89 -0.06 0.38 0.44 0.77 0.64 0.20 0.92 0.26 0.46 0.55 6.46
2004 0.38 0.59 0.53 -0.37 0.54 0.23 0.20 -0.52 0.41 -0.12 0.86 0.26 3.04
2003 0.63 0.39 0.47 0.34 0.28 0.43 0.28 0.27 0.97 0.65 0.48 0.17 5.50
2002 1.14 -0.04 0.06 1.08 0.68 0.74 0.28 0.48 0.81 -0.19 -0.74 0.84 5.24
2001 -0.54 1.81 0.99 0.24 0.95 0.33 0.36 1.24 1.01 -0.10 -0.05 0.51 6.93
2000 0.02 3.53 0.83 1.99 -0.13 0.75 0.86 1.68 0.23 0.68 -0.53 1.01 11.41

Last updated: 23 Jan 2017