THFJ Long Short Equities Hedge Fund Index

-0.57%

November 2017

3.00%

Past 3 months

8.14%

2017 return

4.52%

2016 return

-0.57%

2015 return

7.68%

Annualised

Statistics

Annualised return
7.68%
Past 3 months
3.00%
2017 return
8.14%
2016 return
4.52%
2015 return
-0.57%
Strongest month
Feb 2000
7.59%
Weakest month
Sep 2008
-5.41%
Constituents
1,102

Deviations

Annualised standard deviation
6.22%
Downside deviation
1.15%
Upside deviation
1.41%

Ratios

Sharpe ratio
1.20
Sortino ratio
1.05
Calmar ratio
0.40

Historical VaR

99%
-4.32%
95%
-2.63%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.00 -0.11 1.64 -0.20 0.58 -0.07 1.45 0.62 2.45 1.11 -0.57 8.14
2016 -3.17 0.59 2.49 0.94 -0.02 -0.67 0.35 1.18 0.57 0.58 0.88 0.81 4.52
2015 -0.97 2.93 0.89 2.40 1.40 -1.30 0.47 -2.45 -1.61 0.90 -1.04 -2.03 -0.57
2014 -0.03 3.57 0.61 -0.85 0.32 1.70 -0.46 0.33 -0.20 -1.20 0.20 -0.97 2.98
2013 1.54 1.16 0.23 0.51 2.12 -0.85 2.51 -0.32 1.88 2.94 0.15 1.04 13.63
2012 2.80 2.24 0.43 0.15 -3.43 0.96 0.04 -0.49 2.01 -0.75 0.71 2.47 7.20
2011 -0.07 0.43 1.09 1.10 -0.11 0.46 0.29 -2.36 -3.71 2.99 -1.95 -1.82 -3.79
2010 0.11 1.33 2.35 1.00 -3.68 -1.88 2.01 0.45 3.39 1.67 0.40 2.35 9.71
2009 0.39 0.29 3.47 5.61 4.08 1.08 1.71 1.47 2.27 -0.65 0.75 2.21 24.97
2008 -4.23 1.75 -2.77 2.22 1.78 -2.02 -2.54 -0.71 -5.41 -4.34 -2.68 1.61 -16.37
2007 3.11 -0.49 1.61 2.99 1.47 1.36 0.65 -1.42 3.12 2.99 -2.00 0.96 15.14
2006 2.98 0.21 0.36 1.83 -1.53 -1.02 0.27 3.42 0.38 2.33 3.00 1.82 14.81
2005 0.66 1.09 -1.33 -2.16 2.09 1.65 0.68 1.05 1.77 -1.45 1.17 1.93 7.27
2004 1.22 1.08 0.81 -2.59 1.34 2.79 -0.30 -0.15 1.96 0.46 1.20 1.23 9.34
2003 0.46 -1.76 -0.04 2.10 2.90 1.14 0.81 2.76 1.05 2.54 1.91 1.25 16.08
2002 0.56 0.10 2.11 0.26 0.18 -1.56 -2.71 0.26 -1.06 1.09 2.09 0.36 1.59
2001 4.39 -0.81 0.39 0.46 1.49 -0.16 -0.32 0.78 -1.31 1.38 2.55 1.95 11.19
2000 1.49 7.59 3.46 -1.62 0.06 2.67 1.16 3.15 -0.77 0.48 -1.68 2.05 19.17

Last updated: 23 Jan 2017