THFJ Fixed Income Hedge Fund Index

0.06%

October 2017

1.06%

Past 3 months

4.89%

2017 return

9.60%

2016 return

1.74%

2015 return

7.06%

Annualised

Statistics

Annualised return
7.06%
Past 3 months
1.06%
2017 return
4.89%
2016 return
9.60%
2015 return
1.74%
Strongest month
Jan 2001
3.02%
Weakest month
Oct 2008
-4.36%
Constituents
361

Deviations

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

Ratios

Sharpe ratio
2.22
Sortino ratio
1.85
Calmar ratio
0.74

Historical VaR

99%
-1.80%
95%
-0.74%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.94 1.13 0.42 -0.02 0.30 0.22 0.74 0.72 0.28 0.06 4.89
2016 0.08 -0.03 1.73 1.15 1.01 0.41 1.42 0.77 0.47 0.71 0.74 0.76 9.60
2015 0.90 1.39 0.62 0.48 0.44 -0.55 -0.16 -0.56 -0.95 1.36 -0.66 -0.54 1.74
2014 0.58 -0.08 0.71 -0.42 1.22 -0.00 0.11 -0.14 -0.35 -0.32 0.16 -0.15 1.33
2013 0.96 0.06 -0.01 0.56 -0.07 -0.22 0.22 -0.06 0.37 1.13 1.44 0.41 4.87
2012 1.93 1.24 1.03 -0.35 -0.96 1.50 0.45 0.68 1.68 -0.05 0.85 1.14 9.49
2011 0.52 1.43 0.49 1.47 0.54 -0.14 0.25 -1.78 -1.19 2.05 -0.28 0.21 3.57
2010 1.26 0.17 1.45 0.89 -1.14 0.10 1.37 0.98 1.80 0.88 0.39 1.20 9.73
2009 1.19 -0.70 0.85 1.98 2.76 1.13 1.84 2.31 2.49 1.05 0.80 0.67 17.60
2008 0.02 0.02 -0.69 0.53 0.62 -0.74 -0.38 0.21 -3.03 -4.36 -1.21 1.72 -7.18
2007 1.00 1.32 1.21 1.40 0.37 0.63 -0.20 0.02 1.65 1.21 -1.46 0.94 8.36
2006 0.55 0.70 0.02 0.89 -0.21 0.60 1.05 0.32 0.53 0.69 1.04 0.21 6.58
2005 0.24 0.89 0.26 0.44 -0.02 0.95 0.46 0.73 0.62 -0.42 0.02 0.60 4.89
2004 0.54 0.34 0.60 -0.02 -0.43 0.36 1.18 1.62 0.30 0.31 0.84 1.47 7.33
2003 1.30 0.94 0.30 1.61 1.73 0.91 0.23 1.17 0.86 0.60 1.04 1.54 12.91
2002 0.53 0.95 1.68 1.22 1.66 -0.32 -0.42 1.25 0.51 0.62 0.90 1.19 10.19
2001 3.02 0.44 0.68 1.04 0.88 0.50 1.17 0.77 -0.29 2.00 2.23 1.03 14.29
2000 1.33 2.23 1.21 0.30 -0.57 1.25 0.40 1.32 -0.09 -0.17 -0.98 1.72 8.19

Last updated: 23 Jan 2017