THFJ Fixed Income Hedge Fund Index

0.69%

July 2017

1.76%

Past 3 months

5.17%

2017 return

7.56%

2016 return

2.30%

2015 return

7.25%

Annualised

Statistics

Annualised return
7.25%
Past 3 months
1.76%
2017 return
5.17%
2016 return
7.56%
2015 return
2.30%
Strongest month
Jan 2001
2.76%
Weakest month
Oct 2008
-4.72%
Constituents
361

Deviations

Annualised standard deviation
3.08%
Downside deviation
0.56%
Upside deviation
0.75%

Ratios

Sharpe ratio
2.27
Sortino ratio
1.94
Calmar ratio
0.75

Historical VaR

99%
-1.56%
95%
-0.68%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.76 0.96 1.47 0.11 0.76 0.30 0.69 5.17
2016 -0.43 -0.67 2.04 1.73 0.50 0.98 1.06 0.83 0.53 0.62 0.33 -0.18 7.56
2015 -0.12 0.63 0.64 0.53 0.11 0.28 -0.37 -0.36 0.18 1.40 -0.08 -0.56 2.30
2014 -0.62 1.35 -0.13 -0.29 1.12 0.84 0.09 -0.28 -0.19 0.03 0.05 -0.44 1.53
2013 1.38 0.75 1.07 1.14 0.70 -1.17 0.30 0.12 1.56 1.23 2.14 1.33 11.04
2012 1.06 2.40 -0.32 1.40 -0.63 0.76 0.92 0.75 0.78 1.25 0.77 0.60 10.13
2011 1.27 0.97 0.79 0.40 0.06 0.39 0.42 -0.82 -0.72 1.50 -0.82 -0.11 3.33
2010 1.11 -0.04 1.30 0.53 -1.19 0.57 1.68 0.83 1.45 1.23 0.59 0.47 8.83
2009 0.40 -0.39 0.92 1.63 2.66 2.11 2.46 1.71 2.57 1.53 1.45 0.89 19.43
2008 -0.18 -0.09 -0.89 1.05 0.58 -0.52 -0.08 -0.19 -3.32 -4.72 -0.53 -0.26 -8.91
2007 0.72 1.05 1.23 0.63 0.48 -0.34 -0.06 -1.25 1.39 1.18 -0.52 0.39 4.96
2006 0.54 0.67 0.57 0.97 0.22 0.19 0.30 1.07 0.34 1.65 0.73 0.67 8.21
2005 0.73 1.47 0.09 0.24 0.45 -0.78 0.72 0.76 0.40 -0.24 1.13 1.12 6.25
2004 0.99 0.56 0.91 0.47 0.64 0.47 0.12 1.17 0.52 1.82 0.41 1.00 9.46
2003 1.18 0.77 0.29 2.37 1.95 1.51 0.20 0.57 0.54 1.11 0.88 1.59 13.74
2002 0.62 0.23 0.76 1.09 0.92 0.35 0.28 0.69 0.09 0.44 1.79 0.74 8.30
2001 2.76 0.47 0.56 1.05 1.53 0.37 0.88 1.61 -0.27 0.98 1.34 1.53 13.55
2000 0.29 1.60 0.91 -0.62 -0.62 1.33 0.29 1.20 -0.33 -0.13 -0.16 1.56 5.40

Last updated: 23 Jan 2017