THFJ Long Short Equities Hedge Fund Index

-0.21%

July 2017

2.37%

Past 3 months

7.96%

2017 return

9.38%

2016 return

2.91%

2015 return

7.48%

Annualised

Statistics

Annualised return
7.48%
Past 3 months
2.37%
2017 return
7.96%
2016 return
9.38%
2015 return
2.91%
Strongest month
Feb 2000
6.00%
Weakest month
Oct 2008
-5.54%
Constituents
1,102

Deviations

Annualised standard deviation
6.23%
Downside deviation
1.14%
Upside deviation
1.42%

Ratios

Sharpe ratio
1.16
Sortino ratio
1.01
Calmar ratio
0.35

Historical VaR

99%
-3.66%
95%
-2.43%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 2.15 1.63 0.35 1.25 1.43 1.14 -0.21 7.96
2016 -3.10 1.08 0.89 1.24 0.28 0.09 2.34 1.01 1.57 0.05 1.64 2.02 9.38
2015 -0.32 1.44 1.03 1.84 0.57 -1.11 -0.04 -1.88 -1.23 2.81 0.63 -0.77 2.91
2014 0.26 1.73 -0.15 -0.87 0.64 0.30 -0.64 0.71 0.60 0.31 0.81 0.90 4.67
2013 3.90 -0.16 0.83 1.51 1.28 -1.09 3.52 0.10 2.94 2.26 1.03 0.74 18.09
2012 4.01 2.84 0.26 -1.86 -3.60 1.49 -0.52 0.49 1.27 0.13 0.35 -0.30 4.43
2011 -0.21 0.85 0.74 1.59 -1.81 -2.40 -0.34 -2.94 -3.49 3.45 -0.43 -0.93 -5.98
2010 1.68 -0.15 2.75 1.55 -3.56 -2.35 3.58 -0.46 3.84 1.64 -0.18 3.01 11.64
2009 -0.88 -1.62 2.12 3.26 5.06 -0.47 2.95 1.90 2.06 -0.84 0.73 1.71 16.94
2008 -3.13 -0.01 -1.77 0.36 0.50 0.01 -1.02 -1.00 -5.31 -5.54 -1.88 0.36 -17.16
2007 0.14 0.73 0.77 2.79 2.17 0.80 1.04 -2.96 2.64 1.73 -2.22 0.41 8.17
2006 4.89 0.07 1.72 1.73 -1.40 -1.29 0.03 0.34 0.15 2.70 0.44 0.89 10.57
2005 -0.17 3.13 -0.91 -0.07 1.41 0.41 3.16 -0.18 1.72 -0.60 3.75 1.50 13.82
2004 1.69 1.23 1.23 0.28 0.48 -0.11 -1.59 -0.01 1.90 0.81 2.13 1.77 10.19
2003 0.62 1.25 1.02 2.45 2.58 0.26 2.80 2.33 0.33 3.01 0.86 1.45 20.62
2002 1.66 -0.40 2.08 0.49 1.35 -1.78 -2.70 -1.17 -1.72 1.06 1.51 -0.73 -0.49
2001 3.53 -0.27 -0.49 2.43 1.08 0.22 0.05 -0.63 -2.08 0.86 1.82 1.88 8.58
2000 0.46 6.00 3.28 -1.96 -1.07 2.56 -0.10 4.59 -0.48 -0.08 -2.00 2.41 14.10

Last updated: 23 Jan 2017