THFJ Equity Market Neutral Hedge Fund Index

0.02%

November 2017

0.24%

Past 3 months

1.72%

2017 return

0.20%

2016 return

6.06%

2015 return

4.64%

Annualised

Statistics

Annualised return
4.64%
Past 3 months
0.24%
2017 return
1.72%
2016 return
0.20%
2015 return
6.06%
Strongest month
Feb 2000
3.26%
Weakest month
Sep 2008
-2.14%
Constituents
171

Deviations

Annualised standard deviation
1.98%
Downside deviation
0.36%
Upside deviation
0.45%

Ratios

Sharpe ratio
2.21
Sortino ratio
0.90
Calmar ratio
1.21

Historical VaR

99%
-1.10%
95%
-0.59%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.31 -0.27 0.23 0.31 -0.25 0.35 0.16 0.63 -0.08 0.29 0.02 1.72
2016 -0.14 -0.36 0.31 -0.68 0.39 -0.20 0.47 -0.16 0.17 0.12 0.10 0.17 0.20
2015 0.64 0.68 0.59 -0.05 0.61 0.43 0.53 0.29 0.41 0.62 0.57 0.58 6.06
2014 0.63 0.78 0.36 -0.31 0.01 0.31 -0.17 0.51 0.04 0.66 -0.52 0.55 2.88
2013 0.79 0.25 0.67 0.53 0.39 0.50 1.43 -0.26 0.22 0.55 0.67 0.35 6.28
2012 1.08 0.37 0.57 0.18 -0.48 0.11 0.76 0.17 0.20 0.02 0.44 0.22 3.69
2011 0.78 0.57 0.35 0.28 0.59 -0.26 0.33 -0.88 -0.70 1.01 0.35 0.11 2.54
2010 0.52 0.35 0.76 0.30 -0.15 -0.16 0.41 -0.07 1.36 0.64 -0.02 0.36 4.39
2009 0.24 -0.26 0.20 0.16 1.17 0.69 0.62 0.44 0.95 0.27 -0.18 0.40 4.80
2008 -0.75 1.07 -0.06 0.34 1.08 1.26 -0.43 -1.10 -2.14 0.59 0.03 0.41 0.24
2007 0.98 -0.04 0.71 0.59 1.03 0.77 0.67 -0.72 0.64 1.13 -0.29 0.34 5.93
2006 1.10 0.74 1.13 1.25 0.20 0.70 0.41 0.33 0.37 0.30 -0.24 1.11 7.62
2005 0.71 0.67 0.52 0.03 0.83 0.62 0.72 0.27 0.87 0.04 0.46 0.41 6.32
2004 0.73 0.50 0.18 -0.52 0.54 0.59 0.22 -0.22 0.83 0.03 0.74 0.28 3.96
2003 0.86 0.13 0.44 0.63 0.56 0.13 -0.29 0.03 0.57 0.63 0.56 0.07 4.40
2002 1.28 0.06 0.14 0.97 0.61 1.16 0.55 0.93 0.53 0.13 -0.88 0.91 6.56
2001 -1.11 1.48 1.39 0.04 0.87 0.52 0.56 1.11 0.92 -0.59 0.08 -0.11 5.26
2000 -0.45 3.26 1.07 1.90 -0.17 0.70 0.85 1.84 0.38 0.45 -0.78 1.27 10.76

Last updated: 23 Jan 2017