THFJ Macro Hedge Fund Index

0.29%

November 2017

2.02%

Past 3 months

3.51%

2017 return

0.26%

2016 return

3.15%

2015 return

6.66%

Annualised

Statistics

Annualised return
6.66%
Past 3 months
2.02%
2017 return
3.51%
2016 return
0.26%
2015 return
3.15%
Strongest month
Feb 2000
3.85%
Weakest month
Apr 2004
-2.51%
Constituents
203

Deviations

Annualised standard deviation
3.38%
Downside deviation
0.52%
Upside deviation
0.86%

Ratios

Sharpe ratio
1.90
Sortino ratio
1.76
Calmar ratio
2.11

Historical VaR

99%
-1.52%
95%
-0.91%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -0.34 0.41 0.30 0.28 0.05 -0.85 0.60 1.00 0.16 1.55 0.29 3.51
2016 -0.61 0.60 -0.61 0.55 -0.04 -0.02 0.22 0.26 -0.90 -0.25 0.85 0.24 0.26
2015 2.27 0.19 1.07 -0.60 0.51 -1.70 0.76 -0.74 0.24 1.00 0.30 -0.14 3.15
2014 -0.40 1.45 0.31 -0.60 0.80 0.58 0.02 -0.08 -0.00 0.36 2.53 0.18 5.22
2013 1.88 0.70 -0.18 0.34 -0.01 -1.36 0.70 -0.91 0.04 0.64 1.19 0.49 3.53
2012 0.79 1.42 -0.35 -0.82 -0.43 1.39 1.28 -0.34 -0.42 0.38 0.16 0.74 3.83
2011 -0.26 0.59 0.04 0.87 -0.20 -1.21 0.21 -0.06 -0.66 1.70 -0.60 0.30 0.68
2010 -0.19 -0.14 0.92 0.70 0.43 -0.02 -0.10 1.12 0.94 0.00 0.51 1.02 5.30
2009 -0.07 -0.65 0.24 1.51 2.86 -0.82 1.46 0.08 1.10 0.47 0.46 0.58 7.42
2008 0.79 1.96 0.09 0.62 1.77 1.57 -0.54 -1.07 -0.59 -0.89 0.47 1.95 6.25
2007 0.61 0.61 1.06 1.48 1.22 1.41 0.44 -1.51 1.96 2.56 0.17 0.87 11.38
2006 1.90 1.10 0.15 1.69 -1.49 0.97 1.09 0.75 0.38 1.09 1.37 1.50 10.97
2005 -0.41 0.44 -0.18 -0.60 1.23 1.20 1.42 -0.10 1.47 -0.19 0.88 1.51 6.85
2004 -0.12 1.12 0.47 -2.51 -0.12 0.18 -0.31 0.33 1.11 0.68 2.34 0.39 3.54
2003 1.77 0.95 -0.38 2.16 2.97 0.56 0.39 2.57 1.75 1.06 1.28 1.55 17.91
2002 1.39 0.29 -0.31 1.78 1.78 0.51 -0.41 1.50 1.20 -0.14 1.17 1.94 11.18
2001 1.87 0.23 0.69 -1.36 0.34 0.51 0.18 -0.45 1.02 1.94 0.80 1.29 7.24
2000 0.23 3.85 0.41 -0.65 -0.66 1.84 -0.93 2.29 -0.02 -0.02 2.09 3.84 12.80

Last updated: 23 Jan 2017