THFJ Fund of Funds Index

0.08%

November 2017

0.25%

Past 3 months

5.45%

2017 return

2.25%

2016 return

-0.86%

2015 return

3.67%

Annualised

Statistics

Annualised return
3.67%
Past 3 months
0.25%
2017 return
5.45%
2016 return
2.25%
2015 return
-0.86%
Strongest month
Feb 2000
3.88%
Weakest month
Oct 2008
-4.94%
Constituents
981

Deviations

Annualised standard deviation
3.91%
Downside deviation
0.85%
Upside deviation
0.74%

Ratios

Sharpe ratio
0.87
Sortino ratio
0.06
Calmar ratio
0.23

Historical VaR

99%
-2.20%
95%
-1.79%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.00 0.58 0.53 0.96 -0.03 -0.08 1.14 0.98 0.05 0.12 0.08 5.45
2016 -2.09 -0.31 1.10 0.28 -0.23 -0.38 1.59 0.01 0.84 -0.78 0.75 1.50 2.25
2015 0.35 1.08 0.02 0.70 0.59 -1.19 0.02 -1.44 -0.89 0.14 -0.09 -0.12 -0.86
2014 -0.10 1.06 -0.58 -0.28 0.66 0.76 0.15 0.71 -0.13 -0.08 0.44 0.42 3.05
2013 1.72 -0.70 0.65 0.76 0.34 -0.75 0.88 -1.02 1.49 1.53 0.86 1.36 7.31
2012 1.56 0.57 0.82 0.46 -1.80 0.50 1.70 0.50 1.12 -0.36 -0.32 1.28 6.14
2011 -0.41 0.97 -0.09 1.35 -0.39 -0.69 -0.13 -1.77 -2.18 0.68 -0.95 -0.50 -4.09
2010 -0.27 -0.08 2.04 1.05 -2.02 -0.69 0.42 0.55 1.57 1.10 -0.69 2.36 5.37
2009 0.67 -0.44 0.17 1.67 2.49 0.03 1.50 0.66 1.50 0.14 0.92 0.17 9.86
2008 -2.02 1.75 -1.75 1.24 1.60 -1.09 -1.32 -1.31 -4.35 -4.94 -1.94 -0.57 -13.97
2007 0.36 -0.26 1.02 1.50 1.31 1.14 0.05 -2.14 1.72 3.43 -0.93 0.63 8.01
2006 2.36 0.11 1.84 1.81 -2.00 -0.71 -1.13 0.43 -0.10 1.39 1.21 1.15 6.44
2005 0.09 0.30 -0.58 -1.77 0.23 0.62 0.88 0.51 1.92 -0.70 1.33 2.09 4.98
2004 1.30 0.67 0.35 -0.88 -0.65 -0.37 -1.17 0.12 0.33 -0.02 1.93 1.49 3.08
2003 0.88 0.13 -0.04 0.98 1.74 -0.20 -0.35 0.93 0.10 1.29 0.98 1.72 8.45
2002 0.70 0.89 0.51 1.00 0.83 -1.08 -0.95 0.90 0.30 0.06 0.29 0.50 4.00
2001 1.77 0.28 0.97 0.83 0.85 0.15 -0.36 0.94 -0.85 0.86 -0.02 1.07 6.65
2000 0.12 3.88 -0.22 -1.33 0.46 0.67 0.46 1.32 -0.12 0.19 0.03 0.72 6.27

Last updated: 23 Jan 2017