THFJ Event Driven Hedge Fund Index

-0.46%

November 2017

-2.08%

Past 3 months

3.20%

2017 return

13.92%

2016 return

-0.47%

2015 return

7.66%

Annualised

Statistics

Annualised return
7.66%
Past 3 months
-2.08%
2017 return
3.20%
2016 return
13.92%
2015 return
-0.47%
Strongest month
Apr 2009
5.20%
Weakest month
Oct 2008
-7.02%
Constituents
114

Deviations

Annualised standard deviation
5.84%
Downside deviation
1.12%
Upside deviation
1.31%

Ratios

Sharpe ratio
1.27
Sortino ratio
1.08
Calmar ratio
0.38

Historical VaR

99%
-5.30%
95%
-2.24%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.65 1.29 0.66 -0.06 0.26 0.34 0.43 0.72 0.05 -1.69 -0.46 3.20
2016 -2.21 2.43 2.59 0.30 0.40 -0.06 2.23 -0.86 1.97 0.28 2.49 3.72 13.92
2015 -1.23 1.68 0.61 1.13 0.66 -0.88 -0.57 -1.19 -2.31 1.80 -0.44 0.36 -0.47
2014 0.49 1.85 -1.32 0.34 -0.00 2.29 0.47 1.13 -1.20 -1.90 0.25 1.53 3.91
2013 3.13 0.78 0.76 1.31 0.32 -0.60 1.20 -0.03 3.38 0.69 -0.45 0.58 11.56
2012 2.38 2.51 1.40 0.03 -2.67 -0.51 0.13 0.83 -0.09 0.51 0.52 1.71 6.84
2011 1.73 0.19 0.24 -0.15 0.32 0.15 -1.08 -3.83 -5.16 3.34 -2.39 -1.41 -8.06
2010 0.92 2.21 2.36 2.04 -2.96 -0.42 2.80 1.57 3.26 1.62 1.14 3.37 19.25
2009 -0.63 -0.85 3.68 5.20 4.74 0.83 3.48 1.11 2.85 -0.68 1.64 1.51 25.14
2008 -1.60 1.32 -0.64 2.15 1.23 -1.05 -1.96 -0.66 -5.51 -7.02 -3.32 -0.12 -16.25
2007 2.24 0.45 1.80 1.06 1.48 0.18 0.68 -0.72 0.09 0.44 -0.81 0.28 7.36
2006 1.74 1.70 2.51 1.40 -0.35 0.05 1.06 -0.47 -0.16 2.43 2.69 1.05 14.47
2005 0.88 1.21 0.36 -0.80 0.98 2.16 0.90 0.60 0.72 0.52 0.50 1.91 10.37
2004 1.82 0.32 -0.31 -1.19 -1.12 1.09 -0.54 0.51 2.38 1.40 3.30 4.65 12.84
2003 0.98 0.59 1.35 1.84 1.43 1.82 0.51 1.59 0.14 0.12 -0.07 2.53 13.57
2002 2.58 -0.43 2.01 0.59 1.99 -1.03 -2.37 0.98 -2.09 -0.62 1.68 1.07 4.27
2001 2.73 0.77 -0.15 0.69 3.43 3.08 1.06 0.00 -0.28 2.17 0.87 0.51 15.86
2000 0.58 2.06 1.84 0.15 -1.37 1.94 -0.91 2.86 1.11 -1.96 -0.19 1.17 7.40

Last updated: 23 Jan 2017