THFJ Event Driven Hedge Fund Index

-0.25%

October 2017

-0.76%

Past 3 months

7.24%

2017 return

9.72%

2016 return

0.25%

2015 return

8.43%

Annualised

Statistics

Annualised return
8.43%
Past 3 months
-0.76%
2017 return
7.24%
2016 return
9.72%
2015 return
0.25%
Strongest month
Apr 2009
5.87%
Weakest month
Oct 2008
-5.36%
Constituents
114

Deviations

Annualised standard deviation
5.96%
Downside deviation
1.09%
Upside deviation
1.38%

Ratios

Sharpe ratio
1.37
Sortino ratio
1.31
Calmar ratio
0.54

Historical VaR

99%
-3.37%
95%
-2.31%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.84 2.08 0.60 2.28 0.51 -0.26 1.77 1.05 -1.55 -0.25 7.24
2016 -4.69 0.77 0.81 2.92 0.28 0.31 2.99 1.18 1.17 0.90 1.33 1.54 9.72
2015 -0.92 3.24 1.90 0.93 1.32 -0.03 -1.47 -2.29 -1.81 0.95 -0.91 -0.52 0.25
2014 1.10 1.79 0.83 -0.39 1.30 0.88 1.03 -1.69 -1.26 -0.46 0.00 -0.27 2.86
2013 1.61 1.77 2.74 1.17 1.71 -1.09 1.49 0.81 1.15 1.68 0.98 0.31 15.23
2012 3.53 1.65 0.08 -0.75 -2.68 -1.68 0.79 1.66 1.80 0.28 1.19 3.36 9.45
2011 -1.14 0.87 -0.33 0.55 -1.18 -1.46 -0.33 -3.01 -3.47 1.31 -1.69 -0.64 -10.12
2010 0.77 0.91 3.50 2.69 -2.89 -0.39 2.03 -0.59 2.14 2.85 -0.23 2.41 13.82
2009 1.61 -0.29 2.83 5.87 5.61 0.01 1.60 3.41 3.53 0.32 2.46 3.80 35.20
2008 -2.11 1.20 0.05 2.43 2.32 -2.55 -0.21 -1.17 -5.33 -5.36 -1.41 1.94 -10.09
2007 1.50 1.41 0.74 1.51 2.07 -0.35 -1.22 -0.09 1.02 0.88 -3.27 2.11 6.34
2006 2.79 0.67 0.85 1.34 0.44 0.13 -0.02 1.19 0.89 1.90 1.82 1.80 14.67
2005 -0.03 1.48 -0.82 -0.85 0.58 2.44 1.68 1.02 1.16 -2.24 2.53 1.53 8.71
2004 3.34 0.99 -1.16 -0.70 1.98 0.32 0.55 0.31 1.81 -0.38 2.60 1.32 11.44
2003 2.22 0.04 1.03 2.04 2.03 1.05 -0.47 3.07 1.52 3.10 3.05 1.13 21.60
2002 -0.35 0.17 1.89 0.01 -0.32 -1.80 0.08 -0.52 -1.41 0.05 1.18 0.33 -0.72
2001 4.23 1.40 -0.11 1.89 2.31 1.27 0.04 -0.35 -2.71 2.30 0.95 0.21 11.86
2000 2.96 3.65 0.31 -0.94 -0.28 1.72 1.42 1.05 0.72 -0.96 -1.13 2.62 11.60

Last updated: 23 Jan 2017