THFJ Fixed Income Hedge Fund Index

-0.41%

November 2017

-0.04%

Past 3 months

4.62%

2017 return

6.03%

2016 return

1.03%

2015 return

6.98%

Annualised

Statistics

Annualised return
6.98%
Past 3 months
-0.04%
2017 return
4.62%
2016 return
6.03%
2015 return
1.03%
Strongest month
Sep 2009
3.31%
Weakest month
Oct 2008
-4.66%
Constituents
361

Deviations

Annualised standard deviation
3.15%
Downside deviation
0.57%
Upside deviation
0.76%

Ratios

Sharpe ratio
2.14
Sortino ratio
1.76
Calmar ratio
0.72

Historical VaR

99%
-1.39%
95%
-0.90%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.43 0.95 0.37 0.98 0.32 0.50 0.75 0.28 0.43 -0.06 -0.41 4.62
2016 -0.23 0.21 0.48 1.25 0.37 0.64 1.01 0.78 -0.39 0.68 -0.36 1.47 6.03
2015 0.29 0.89 0.13 0.17 0.23 -0.35 -0.32 -0.78 0.07 0.83 0.66 -0.77 1.03
2014 0.67 0.89 0.07 0.56 1.36 0.41 0.05 0.04 -0.27 0.32 0.44 -0.11 4.51
2013 1.39 0.29 0.82 1.43 1.04 -0.92 0.19 -0.07 0.80 1.39 1.91 0.87 9.48
2012 2.39 1.93 1.28 0.24 -0.90 1.42 1.71 1.03 1.97 -0.54 0.55 1.35 13.09
2011 0.77 0.70 0.89 0.69 0.38 -0.20 1.11 -0.98 -1.22 2.46 -0.55 0.69 4.79
2010 1.36 0.87 1.41 1.55 -1.36 1.10 1.45 0.90 1.65 1.12 0.48 0.81 11.91
2009 0.46 0.07 1.02 1.78 2.44 1.05 1.94 1.68 3.31 2.17 0.22 0.92 18.39
2008 -0.50 0.34 -0.95 0.92 0.62 -0.13 -1.38 0.86 -3.13 -4.66 -1.25 0.32 -8.72
2007 1.23 0.49 0.29 0.73 1.22 -0.43 0.39 -0.54 1.05 1.13 -0.59 0.58 5.66
2006 1.54 1.02 0.58 1.12 0.05 0.33 0.57 -0.13 0.86 0.07 0.76 0.17 7.14
2005 0.92 0.99 0.57 -0.64 0.12 0.79 0.15 0.55 1.19 -1.06 0.48 1.52 5.71
2004 1.19 0.28 0.97 0.25 -0.56 0.82 -0.13 -0.59 0.26 0.88 0.74 1.23 5.43
2003 1.00 0.79 0.93 1.63 2.19 1.09 -0.03 -0.20 0.92 0.69 0.72 1.29 11.57
2002 0.99 0.10 1.17 0.55 -0.07 0.08 0.14 1.38 -0.56 0.22 0.73 1.49 6.37
2001 2.74 0.54 1.06 1.23 0.20 0.55 0.16 1.71 -0.07 0.71 1.15 1.90 12.51
2000 0.68 1.38 1.70 -0.20 -0.77 2.28 0.62 0.55 -0.07 0.08 -0.02 1.79 8.25

Last updated: 23 Jan 2017