THFJ Hedge Fund Index

-0.06%

July 2017

1.51%

Past 3 months

5.17%

2017 return

7.80%

2016 return

1.80%

2015 return

7.61%

Annualised

Statistics

Annualised return
7.61%
Past 3 months
1.51%
2017 return
5.17%
2016 return
7.80%
2015 return
1.80%
Strongest month
May 2009
4.20%
Weakest month
Oct 2008
-3.70%
Constituents
2,894

Deviations

Annualised standard deviation
4.17%
Downside deviation
0.70%
Upside deviation
1.03%

Ratios

Sharpe ratio
1.76
Sortino ratio
1.69
Calmar ratio
0.73

Historical VaR

99%
-2.24%
95%
-1.33%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.28 1.33 0.08 0.88 1.06 0.51 -0.06 5.17
2016 -1.38 1.12 0.50 1.05 0.15 0.71 1.58 0.42 0.91 -0.01 0.94 1.58 7.80
2015 0.44 0.97 0.77 0.73 0.23 -1.12 0.35 -1.38 -0.61 1.60 0.67 -0.82 1.80
2014 0.14 1.25 0.03 -0.21 0.64 0.36 -0.33 0.71 0.82 0.05 1.01 0.66 5.24
2013 2.56 -0.19 0.61 1.23 0.34 -1.01 1.99 -0.00 1.67 1.56 0.87 0.53 10.61
2012 2.71 2.02 0.04 -1.06 -1.68 0.86 0.42 0.42 0.70 -0.16 0.28 -0.03 4.53
2011 -0.05 0.94 0.43 1.59 -1.32 -1.84 0.20 -1.55 -1.83 1.81 -0.08 -0.31 -2.09
2010 1.17 0.17 2.09 1.34 -2.22 -1.16 2.43 0.40 2.89 1.64 -0.30 2.56 11.43
2009 -0.05 -0.86 1.18 2.36 4.20 -0.13 2.16 1.60 1.81 -0.21 1.14 1.00 15.04
2008 -1.31 1.11 -1.27 0.29 0.69 0.54 -0.90 -0.50 -3.57 -3.70 -0.96 0.57 -8.78
2007 0.42 0.59 0.42 2.24 1.83 0.84 0.55 -2.13 2.64 1.71 -1.13 0.67 8.88
2006 3.61 0.19 1.43 1.84 -0.72 -0.73 0.01 0.43 0.13 2.04 0.80 0.87 10.28
2005 -0.38 2.25 -0.54 -0.19 1.20 0.66 2.09 0.13 1.45 -0.25 2.96 1.11 10.92
2004 1.42 1.46 1.05 -0.13 0.20 -0.31 -0.76 0.13 1.41 0.94 2.12 1.36 9.21
2003 1.39 1.55 0.26 2.08 2.63 0.12 1.67 1.71 0.76 2.43 0.69 1.72 18.36
2002 1.17 -0.32 1.49 0.52 1.66 -0.04 -1.00 -0.18 -0.40 0.42 1.04 0.97 5.42
2001 2.90 0.23 0.81 0.96 1.00 0.28 0.24 0.32 -0.69 1.29 0.45 1.43 9.58
2000 0.77 3.45 1.88 -1.08 -0.16 1.63 -0.05 3.37 -0.31 0.29 -0.03 3.17 13.58

Last updated: 23 Jan 2017