THFJ Long Short Equities Hedge Fund Index

0.98%

October 2017

3.56%

Past 3 months

5.98%

2017 return

3.53%

2016 return

6.01%

2015 return

7.44%

Annualised

Statistics

Annualised return
7.44%
Past 3 months
3.56%
2017 return
5.98%
2016 return
3.53%
2015 return
6.01%
Strongest month
Feb 2000
6.43%
Weakest month
Oct 2008
-5.53%
Constituents
1,102

Deviations

Annualised standard deviation
6.16%
Downside deviation
1.14%
Upside deviation
1.40%

Ratios

Sharpe ratio
1.17
Sortino ratio
1.00
Calmar ratio
0.45

Historical VaR

99%
-3.89%
95%
-2.69%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.33 0.33 0.98 -0.44 0.12 0.47 0.54 1.38 1.15 0.98 5.98
2016 -3.01 -1.01 2.51 0.85 0.26 -0.63 1.81 1.69 0.19 -0.74 0.50 1.17 3.53
2015 0.53 2.26 1.55 3.00 0.88 -0.88 0.45 -1.39 -1.00 1.83 0.24 -1.49 6.01
2014 0.51 2.56 -0.05 0.43 0.50 0.55 0.18 -0.32 -2.29 -1.19 -0.60 -0.63 -0.42
2013 2.42 -0.57 1.21 -0.20 2.73 -1.02 2.54 -0.22 2.54 1.34 1.02 1.19 13.67
2012 1.71 2.77 -0.24 -1.10 -2.94 -0.05 0.93 -0.17 0.69 -0.69 -0.03 1.35 2.12
2011 1.37 0.94 1.70 1.74 -0.54 -0.50 0.89 -2.60 -3.52 4.26 -1.24 -0.94 1.32
2010 0.01 -0.31 2.28 1.78 -3.28 0.30 2.01 -1.40 1.25 0.86 0.74 2.97 7.30
2009 0.72 -0.74 1.72 3.86 5.06 0.29 3.35 2.88 1.62 -0.80 1.65 1.92 23.56
2008 -4.57 1.53 -3.10 2.18 3.12 -0.81 -2.65 0.19 -3.82 -5.53 -1.76 2.28 -12.63
2007 0.27 -0.09 1.74 1.45 3.18 0.36 2.39 -1.23 2.60 2.71 -2.45 1.00 12.41
2006 4.05 0.22 1.87 2.23 -1.93 -1.22 1.58 0.82 0.48 1.97 1.35 2.35 14.51
2005 0.63 3.02 -0.88 -1.65 1.52 2.38 2.21 0.67 1.67 -0.64 2.30 2.66 14.68
2004 1.86 2.02 -0.76 -0.65 -1.39 1.51 -2.23 -0.80 2.62 1.52 3.38 1.00 8.20
2003 -0.24 -0.26 0.72 1.86 3.41 0.93 1.26 0.87 0.70 2.36 -0.18 2.70 14.99
2002 1.31 -0.13 1.42 0.57 -0.28 -1.41 -3.33 0.15 -1.20 1.61 1.85 -0.98 -0.56
2001 3.09 -1.37 -0.31 3.26 1.54 0.92 -1.05 0.57 -1.45 2.48 1.58 1.20 10.81
2000 -0.24 6.43 1.90 -3.13 -0.44 3.79 0.75 3.73 -0.50 -0.18 -1.00 1.09 12.51

Last updated: 23 Jan 2017