THFJ Macro Hedge Fund Index

1.80%

October 2017

3.08%

Past 3 months

4.69%

2017 return

2.80%

2016 return

0.64%

2015 return

6.90%

Annualised

Statistics

Annualised return
6.90%
Past 3 months
3.08%
2017 return
4.69%
2016 return
2.80%
2015 return
0.64%
Strongest month
Feb 2000
4.18%
Weakest month
Apr 2004
-2.18%
Constituents
203

Deviations

Annualised standard deviation
3.47%
Downside deviation
0.53%
Upside deviation
0.89%

Ratios

Sharpe ratio
1.91
Sortino ratio
1.84
Calmar ratio
1.44

Historical VaR

99%
-1.71%
95%
-1.07%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -1.20 1.23 -0.15 0.67 0.80 -0.09 0.31 1.13 0.12 1.80 4.69
2016 -0.88 1.21 0.08 0.73 -0.10 0.55 0.44 0.50 0.51 -0.59 -0.67 1.00 2.80
2015 0.69 0.66 0.33 -0.78 -0.68 -0.65 1.10 -0.78 0.06 0.20 0.76 -0.23 0.64
2014 -1.11 -0.12 -0.50 -0.26 0.30 0.73 0.12 1.15 0.33 0.53 1.03 0.60 2.83
2013 0.64 0.26 0.51 1.74 1.18 -1.06 0.46 0.01 0.68 0.52 -0.52 0.23 4.73
2012 1.71 1.04 0.43 0.03 -0.12 1.02 1.40 0.00 0.98 0.18 1.14 0.47 8.57
2011 -0.67 1.54 0.36 0.11 -1.36 -0.64 0.21 -0.62 -1.03 0.87 0.55 0.03 -0.70
2010 0.36 -0.44 0.74 0.14 -0.32 1.46 0.48 1.36 2.02 1.27 -0.03 1.51 8.86
2009 0.49 0.16 0.88 1.36 3.15 -1.49 1.01 -0.06 1.31 1.13 0.83 -0.25 8.79
2008 0.73 2.86 -1.76 0.79 0.11 0.19 -0.99 -0.09 -1.25 -1.70 0.26 1.21 0.28
2007 0.44 0.02 1.46 1.03 2.22 1.15 1.26 -0.27 1.61 2.13 -0.06 0.11 11.64
2006 2.32 0.81 -0.09 1.66 -1.33 0.34 1.41 0.01 0.80 1.68 0.51 0.91 9.36
2005 -0.33 1.63 -1.03 0.23 0.56 1.03 0.93 -0.12 1.67 -0.86 1.30 1.82 7.01
2004 1.06 1.21 0.64 -2.18 0.25 -0.57 -0.37 -0.16 0.10 0.95 2.53 0.96 4.44
2003 1.24 1.26 -0.70 1.50 2.65 1.05 -0.76 1.03 2.86 1.30 0.57 2.65 15.58
2002 0.85 1.09 -0.24 -0.05 1.76 0.40 0.45 1.37 1.30 0.36 0.02 2.05 9.73
2001 3.13 0.39 0.76 -1.09 0.86 0.16 0.16 0.93 1.04 2.73 -0.11 1.25 10.63
2000 1.01 4.18 0.59 -0.50 -0.05 1.70 -0.12 2.17 -0.07 -0.44 2.45 3.23 14.94

Last updated: 23 Jan 2017