THFJ Hedge Fund Index

1.58%

October 2017

2.77%

Past 3 months

5.72%

2017 return

1.28%

2016 return

0.70%

2015 return

7.50%

Annualised

Statistics

Annualised return
7.50%
Past 3 months
2.77%
2017 return
5.72%
2016 return
1.28%
2015 return
0.70%
Strongest month
Feb 2000
4.68%
Weakest month
Sep 2008
-3.40%
Constituents
2,894

Deviations

Annualised standard deviation
4.13%
Downside deviation
0.71%
Upside deviation
1.01%

Ratios

Sharpe ratio
1.76
Sortino ratio
1.64
Calmar ratio
0.72

Historical VaR

99%
-2.49%
95%
-1.38%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.77 0.04 0.71 -0.56 0.90 -0.27 1.26 0.77 0.40 1.58 5.72
2016 -1.99 0.44 0.26 0.30 -0.25 0.66 1.26 -0.13 0.83 0.03 -0.85 0.75 1.28
2015 0.01 1.33 0.02 0.95 0.06 -0.94 0.85 -1.70 -0.81 1.21 0.47 -0.69 0.70
2014 0.36 1.06 0.59 0.69 1.29 0.92 -0.33 0.10 0.94 -0.58 0.54 0.27 6.00
2013 2.22 0.13 -0.45 1.10 0.94 -0.60 0.97 0.15 1.12 0.85 0.61 1.54 8.89
2012 1.50 1.13 -0.21 0.70 -1.32 0.49 1.20 0.69 -0.06 0.25 0.61 0.91 6.02
2011 0.35 0.48 1.08 0.99 -0.48 -1.32 0.25 -0.99 -1.97 1.49 -0.20 -1.02 -1.38
2010 0.69 0.73 2.00 1.59 -1.80 -0.93 0.95 0.25 2.97 1.71 0.11 1.83 10.48
2009 -0.85 0.11 1.71 3.81 2.95 0.15 2.72 1.62 2.16 0.04 1.75 1.54 19.11
2008 -2.35 2.75 -2.46 1.16 1.27 0.12 -1.50 -0.74 -3.40 -3.16 -1.37 0.58 -8.92
2007 0.73 1.82 0.56 1.73 1.61 1.46 0.39 -0.67 3.07 2.11 -1.22 0.90 13.14
2006 2.69 0.42 1.43 1.50 -0.88 0.48 -0.04 1.22 -0.33 0.50 2.08 1.36 10.88
2005 -0.03 0.72 -0.32 -0.01 0.97 1.32 1.70 0.85 1.88 -1.16 2.01 1.59 9.88
2004 1.18 0.67 0.15 -0.99 0.36 0.57 -0.19 0.10 1.65 0.96 2.21 1.25 8.17
2003 1.51 0.86 -0.91 1.88 2.94 0.27 1.10 1.74 1.03 2.36 0.99 2.17 17.10
2002 0.67 0.66 1.11 1.30 0.17 -0.07 0.53 0.45 0.83 0.68 1.11 0.49 8.22
2001 2.17 0.03 0.37 0.57 1.35 0.11 -1.09 0.22 -1.02 2.38 0.88 2.00 8.20
2000 0.25 4.68 1.66 -1.38 -0.03 1.65 0.50 3.81 -0.16 0.39 -0.70 2.62 13.93

Last updated: 23 Jan 2017