THFJ Equity Market Neutral Hedge Fund Index

0.95%

October 2017

2.34%

Past 3 months

4.19%

2017 return

0.53%

2016 return

6.54%

2015 return

4.72%

Annualised

Statistics

Annualised return
4.72%
Past 3 months
2.34%
2017 return
4.19%
2016 return
0.53%
2015 return
6.54%
Strongest month
Feb 2000
2.97%
Weakest month
Sep 2008
-1.90%
Constituents
171

Deviations

Annualised standard deviation
1.99%
Downside deviation
0.37%
Upside deviation
0.45%

Ratios

Sharpe ratio
2.25
Sortino ratio
0.95
Calmar ratio
1.33

Historical VaR

99%
-0.90%
95%
-0.57%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.16 0.54 0.33 0.12 -0.36 0.05 0.98 0.89 0.48 0.95 4.19
2016 0.01 -0.67 -0.13 -0.80 0.86 -0.47 0.68 0.12 0.32 0.24 0.25 0.12 0.53
2015 0.66 0.50 1.00 0.05 0.91 0.26 0.31 0.22 0.64 0.33 0.48 0.99 6.54
2014 0.32 0.86 0.26 -0.23 0.14 0.18 -0.35 0.82 -0.10 0.64 -0.22 -0.04 2.31
2013 1.15 0.39 0.48 0.42 0.76 0.14 0.89 -0.30 0.68 0.80 0.59 0.43 6.63
2012 0.67 0.67 0.39 0.24 -0.67 -0.30 0.77 0.52 -0.03 0.51 0.41 0.06 3.29
2011 0.40 0.43 0.91 0.83 0.33 0.26 -0.02 -1.21 -1.14 0.85 -0.24 0.05 1.41
2010 0.41 0.20 0.71 0.43 -0.20 -0.25 0.83 -0.33 0.87 0.79 0.22 0.56 4.32
2009 0.87 -0.34 0.52 0.20 1.28 1.23 0.32 0.58 0.74 0.42 0.22 0.94 7.20
2008 -0.76 1.57 -0.40 0.35 1.27 0.96 -0.52 -0.98 -1.90 1.04 0.36 0.43 1.36
2007 0.95 0.31 0.37 0.66 0.92 0.54 0.43 -0.32 0.56 0.95 0.05 0.78 6.36
2006 1.18 0.63 0.64 0.87 -0.14 0.45 0.67 0.12 0.61 0.55 0.17 1.13 7.08
2005 0.67 0.79 0.39 -0.12 0.09 0.60 0.60 0.26 1.18 0.10 0.97 0.64 6.34
2004 0.74 0.36 0.30 -0.28 0.75 0.90 0.09 -0.42 0.35 -0.16 0.40 0.21 3.27
2003 0.53 0.52 0.30 0.14 0.57 0.21 -0.13 -0.15 0.90 0.50 0.35 0.08 3.87
2002 0.93 -0.06 0.17 1.19 0.56 0.81 0.77 0.69 0.43 -0.31 -1.02 0.74 4.99
2001 -0.55 1.72 1.02 0.19 0.66 0.39 0.43 1.04 1.09 -0.57 -0.40 0.20 5.31
2000 -0.35 2.97 1.08 1.86 -0.18 0.94 0.87 1.60 0.26 0.35 -0.77 0.70 9.68

Last updated: 23 Jan 2017