THFJ Hedge Fund Index

-0.19%

November 2017

0.72%

Past 3 months

3.65%

2017 return

3.11%

2016 return

5.56%

2015 return

7.44%

Annualised

Statistics

Annualised return
7.44%
Past 3 months
0.72%
2017 return
3.65%
2016 return
3.11%
2015 return
5.56%
Strongest month
Feb 2000
4.30%
Weakest month
Sep 2008
-3.73%
Constituents
2,894

Deviations

Annualised standard deviation
4.11%
Downside deviation
0.69%
Upside deviation
1.01%

Ratios

Sharpe ratio
1.75
Sortino ratio
1.64
Calmar ratio
0.67

Historical VaR

99%
-2.20%
95%
-1.21%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.37 0.01 1.91 0.38 -0.27 0.25 0.02 0.21 0.13 0.78 -0.19 3.65
2016 -1.69 -0.08 0.94 0.53 -0.35 0.56 1.30 1.26 0.33 -0.85 0.13 1.01 3.11
2015 1.40 1.78 1.31 0.83 0.39 -0.59 0.20 -0.81 -1.01 1.42 0.60 -0.04 5.56
2014 -0.42 1.21 0.42 -0.56 1.07 0.19 -0.55 0.98 -0.22 -0.42 1.13 -0.03 2.82
2013 1.42 0.11 0.24 0.15 -0.09 -0.97 1.32 0.16 2.08 1.31 0.87 1.43 8.28
2012 1.89 1.59 -0.78 -0.53 -1.17 0.48 0.92 1.08 0.65 -0.55 0.41 0.75 4.78
2011 -0.16 -0.01 0.38 1.73 -0.29 -1.39 1.51 -2.17 -1.78 1.24 -1.05 0.84 -1.25
2010 -1.09 0.27 1.04 0.74 -1.89 -0.53 0.63 0.02 2.54 2.45 0.49 2.35 7.15
2009 0.35 -0.15 0.51 3.30 3.92 0.60 2.00 2.00 1.97 0.06 0.67 0.63 16.97
2008 -1.64 2.57 -1.02 1.07 1.15 -0.53 -1.92 -0.87 -3.73 -3.25 -0.85 0.64 -8.22
2007 1.32 -0.11 1.72 1.89 1.70 1.43 1.83 -1.20 1.54 2.34 -1.11 0.88 12.83
2006 2.26 1.18 1.59 1.62 -0.29 0.65 -0.08 1.53 0.51 1.05 1.78 1.09 13.64
2005 0.43 1.26 -0.26 -0.38 1.19 1.11 1.91 0.06 1.54 -1.76 2.30 1.48 9.20
2004 1.63 1.52 0.27 -1.12 0.29 0.28 -0.10 -0.33 1.03 1.54 2.87 0.97 9.14
2003 0.69 1.07 -0.56 2.68 2.78 0.17 0.73 1.29 1.28 1.42 0.65 2.46 15.62
2002 1.20 -0.14 2.25 0.02 1.28 -0.31 -0.71 1.33 -0.37 0.09 1.26 0.36 6.41
2001 1.87 -0.76 0.82 1.08 1.72 1.49 0.18 -0.11 -0.09 1.55 1.40 2.06 11.76
2000 2.19 4.30 1.05 -0.11 0.22 1.76 0.57 3.44 -0.90 -0.28 0.10 2.03 15.19

Last updated: 23 Jan 2017