THFJ Event Driven Hedge Fund Index

1.10%

July 2017

4.30%

Past 3 months

8.75%

2017 return

6.89%

2016 return

-0.04%

2015 return

7.79%

Annualised

Statistics

Annualised return
7.79%
Past 3 months
4.30%
2017 return
8.75%
2016 return
6.89%
2015 return
-0.04%
Strongest month
May 2009
6.34%
Weakest month
Oct 2008
-6.02%
Constituents
114

Deviations

Annualised standard deviation
5.87%
Downside deviation
1.08%
Upside deviation
1.35%

Ratios

Sharpe ratio
1.28
Sortino ratio
1.15
Calmar ratio
0.49

Historical VaR

99%
-4.31%
95%
-2.35%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 2.98 0.37 -0.13 1.01 1.12 2.02 1.10 8.75
2016 -2.41 0.23 3.96 0.22 0.19 -0.93 1.16 0.28 2.26 -1.47 1.73 1.61 6.89
2015 0.40 2.17 0.01 0.62 0.75 -1.80 -1.75 -1.37 -1.36 3.33 0.60 -1.49 -0.04
2014 -0.02 1.73 0.45 2.14 2.08 2.09 0.55 1.34 -1.45 -0.51 -0.85 -0.73 6.93
2013 2.41 -0.09 2.05 0.85 1.66 -0.90 1.34 0.48 2.36 1.57 0.33 1.58 14.45
2012 2.35 1.80 0.22 0.10 -1.86 -1.01 -0.44 1.47 1.31 -1.41 0.80 0.79 4.12
2011 0.48 0.68 -0.50 -0.49 -0.91 -0.60 0.19 -3.06 -2.19 3.62 -2.32 -1.04 -6.13
2010 -0.97 0.97 2.40 2.03 -0.36 -1.27 1.15 -1.06 3.78 0.15 0.77 2.85 10.82
2009 0.34 -1.05 2.62 4.98 6.34 2.32 2.39 1.81 1.60 -0.97 1.03 1.21 24.83
2008 -2.34 0.49 -0.91 1.87 1.40 -1.43 -0.85 2.06 -5.05 -6.02 -2.13 0.71 -11.87
2007 2.15 1.26 1.94 2.44 0.95 1.95 -0.01 -2.73 -0.01 2.15 -3.18 0.73 7.70
2006 3.88 1.84 2.71 1.57 0.29 1.80 -0.14 1.15 0.88 2.95 1.86 3.41 24.51
2005 -0.01 0.23 -0.01 -1.55 2.95 1.72 0.84 0.90 3.38 0.59 2.95 1.69 14.47
2004 2.17 0.35 0.36 0.61 -0.56 1.40 1.20 0.01 1.02 0.98 2.39 0.88 11.32
2003 1.92 -0.72 0.08 3.44 1.71 0.68 0.39 1.23 2.38 2.41 0.16 1.17 15.81
2002 0.31 -0.85 1.85 0.11 -0.10 -2.36 -2.95 -1.20 -1.18 0.48 1.86 0.09 -3.98
2001 2.99 -0.54 -0.22 1.01 1.74 1.80 -1.21 1.13 -1.43 2.34 1.43 1.99 11.48
2000 1.93 3.03 2.10 -3.31 -0.15 0.84 -0.70 0.01 0.57 0.39 -1.46 1.02 4.19

Last updated: 23 Jan 2017