THFJ Fund of Funds Index

0.19%

July 2017

1.05%

Past 3 months

2.29%

2017 return

-0.81%

2016 return

1.95%

2015 return

3.56%

Annualised

Statistics

Annualised return
3.56%
Past 3 months
1.05%
2017 return
2.29%
2016 return
-0.81%
2015 return
1.95%
Strongest month
Feb 2000
3.36%
Weakest month
Oct 2008
-4.93%
Constituents
981

Deviations

Annualised standard deviation
3.94%
Downside deviation
0.88%
Upside deviation
0.71%

Ratios

Sharpe ratio
0.84
Sortino ratio
0.02
Calmar ratio
0.21

Historical VaR

99%
-2.74%
95%
-1.85%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -0.25 1.29 -0.01 0.21 0.83 0.03 0.19 2.29
2016 -2.47 -0.27 0.37 0.19 0.74 0.50 0.76 -0.38 0.18 -1.26 0.29 0.59 -0.81
2015 0.01 1.47 0.23 0.02 0.86 -0.18 0.63 -2.07 -1.12 1.70 1.14 -0.69 1.95
2014 -0.61 1.47 0.09 0.15 0.49 0.24 0.14 1.08 -0.42 0.09 0.85 0.96 4.59
2013 1.93 0.19 0.27 0.12 0.26 -1.97 0.54 -1.00 1.38 0.93 1.44 0.67 4.80
2012 1.20 0.20 0.93 0.08 -0.70 -0.23 1.66 0.79 0.40 -0.64 1.10 1.34 6.27
2011 0.89 0.58 -0.19 0.27 -1.14 -0.27 0.59 -2.72 -1.69 1.14 -0.65 -0.90 -4.09
2010 -0.55 0.11 1.25 0.43 -1.56 0.25 0.10 -0.13 2.10 0.59 -0.43 1.42 3.58
2009 1.00 -0.54 0.72 0.56 2.52 0.37 0.99 0.70 1.51 0.22 0.97 1.17 10.63
2008 -2.35 1.46 -2.07 0.94 1.27 -0.62 -1.15 -0.78 -4.29 -4.93 -2.78 -1.20 -15.51
2007 0.86 0.33 0.65 2.16 1.94 0.69 0.83 -1.84 1.31 3.24 -0.62 0.40 10.32
2006 1.78 0.62 1.57 1.11 -1.32 0.57 -0.09 -0.04 -0.23 0.77 2.18 1.93 9.17
2005 0.50 1.13 -0.50 -1.78 0.33 1.07 1.33 0.65 1.06 -1.47 1.05 1.90 5.33
2004 0.92 1.03 0.15 -0.87 -1.03 -0.29 -0.60 -0.18 1.32 0.42 2.36 0.42 3.68
2003 0.24 0.44 -0.37 1.73 1.71 0.60 0.64 1.48 1.18 0.84 0.30 1.30 10.55
2002 0.42 -0.64 0.34 0.45 1.16 -1.08 -1.12 0.92 -0.24 0.28 0.78 0.43 1.67
2001 2.00 0.46 0.27 0.39 0.67 -0.01 0.12 0.60 -1.21 0.81 0.20 0.21 4.57
2000 1.45 3.36 -0.02 -1.83 0.11 1.08 0.06 0.91 0.22 -0.03 -0.39 1.86 6.91

Last updated: 23 Jan 2017