THFJ Fund of Funds Index

1.84%

October 2017

2.81%

Past 3 months

5.52%

2017 return

0.91%

2016 return

1.03%

2015 return

3.60%

Annualised

Statistics

Annualised return
3.60%
Past 3 months
2.81%
2017 return
5.52%
2016 return
0.91%
2015 return
1.03%
Strongest month
Feb 2000
3.65%
Weakest month
Sep 2008
-4.59%
Constituents
981

Deviations

Annualised standard deviation
3.90%
Downside deviation
0.85%
Upside deviation
0.74%

Ratios

Sharpe ratio
0.86
Sortino ratio
0.03
Calmar ratio
0.19

Historical VaR

99%
-2.29%
95%
-1.85%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.57 0.87 1.10 -0.02 -0.50 -0.58 1.18 0.68 0.27 1.84 5.52
2016 -2.02 -1.01 0.59 0.13 0.62 -0.15 1.10 0.84 0.26 0.03 0.18 0.36 0.91
2015 0.86 1.86 0.26 -0.30 0.15 -1.04 0.23 -1.17 -0.79 0.53 0.47 -0.02 1.03
2014 0.38 0.83 0.32 -0.11 0.69 0.16 -0.32 0.18 0.09 -0.42 0.70 -0.07 2.45
2013 1.36 0.47 0.36 0.18 0.97 0.37 0.52 -0.22 0.68 1.43 0.75 0.69 7.82
2012 1.96 0.42 0.83 -0.63 -1.84 -0.19 0.38 0.34 0.52 -0.56 0.34 1.07 2.61
2011 -0.12 0.91 0.12 1.09 -0.35 -1.63 0.05 -2.20 -1.71 1.47 0.46 -0.15 -2.10
2010 -0.91 0.24 1.44 0.39 -2.04 -0.51 0.46 0.21 1.37 1.69 0.34 2.18 4.90
2009 0.25 -0.35 -0.43 0.87 2.95 -0.19 1.13 0.66 1.37 -0.67 -0.29 1.57 7.04
2008 -2.26 1.33 -2.17 0.96 0.46 -0.93 -1.71 -1.90 -4.59 -3.94 -1.73 -0.86 -16.19
2007 1.38 0.55 0.49 2.02 1.78 0.32 0.71 -1.83 2.60 2.74 -1.18 -0.41 9.45
2006 2.46 0.38 1.05 2.20 -1.91 -0.32 -0.16 0.68 -0.98 0.95 1.94 1.57 8.04
2005 -0.04 1.09 -0.18 -0.83 0.74 1.03 1.60 0.72 1.74 -1.38 1.16 1.90 7.75
2004 1.29 1.23 0.51 -0.41 -1.07 -0.17 -0.50 0.33 0.63 0.46 1.52 1.01 4.91
2003 0.40 0.40 0.59 1.74 1.96 0.88 -0.68 0.81 1.07 0.92 0.35 1.11 9.95
2002 1.63 0.01 1.28 0.34 0.96 -0.75 -0.74 0.25 -0.55 0.12 0.23 0.35 3.13
2001 0.76 0.23 -0.32 0.18 0.99 0.39 -0.99 0.24 -0.38 0.19 0.45 0.53 2.26
2000 1.31 3.65 0.19 -1.51 -0.37 1.80 1.56 1.95 -0.25 -0.07 -1.86 1.32 7.86

Last updated: 23 Jan 2017