THFJ Macro Hedge Fund Index

1.00%

July 2017

0.62%

Past 3 months

1.68%

2017 return

6.34%

2016 return

9.31%

2015 return

7.10%

Annualised

Statistics

Annualised return
7.10%
Past 3 months
0.62%
2017 return
1.68%
2016 return
6.34%
2015 return
9.31%
Strongest month
Feb 2000
3.80%
Weakest month
Mar 2008
-2.61%
Constituents
203

Deviations

Annualised standard deviation
3.48%
Downside deviation
0.53%
Upside deviation
0.90%

Ratios

Sharpe ratio
1.97
Sortino ratio
1.97
Calmar ratio
1.79

Historical VaR

99%
-1.47%
95%
-0.91%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -0.65 0.35 1.12 0.24 0.02 -0.40 1.00 1.68
2016 1.18 1.46 0.52 1.24 0.18 1.22 1.07 -0.90 -0.05 0.09 -0.50 0.70 6.34
2015 1.71 1.49 1.56 0.05 1.34 -0.50 1.05 -0.05 -0.50 2.21 0.59 0.05 9.31
2014 -0.41 -0.27 -0.47 0.88 1.03 0.94 -0.15 0.65 0.20 0.13 0.94 0.20 3.73
2013 1.43 -0.01 -0.21 0.23 0.10 -1.23 0.61 -0.03 0.51 1.15 1.04 1.95 5.64
2012 0.98 1.70 -0.37 -0.14 0.99 0.57 1.39 0.59 -0.72 0.03 0.13 0.76 6.06
2011 -0.50 0.56 0.78 1.56 -0.38 -0.30 0.45 0.02 -0.82 0.36 0.08 -0.01 1.80
2010 -0.18 0.20 0.82 1.07 -0.64 -0.13 0.48 0.28 2.06 1.21 -0.73 1.02 5.57
2009 1.04 0.18 0.93 1.77 3.23 -0.98 0.73 0.24 1.79 -0.53 1.44 0.66 10.96
2008 0.19 2.27 -2.61 0.72 1.19 1.10 -0.90 -0.08 -1.20 -0.45 -0.04 1.93 2.01
2007 0.57 0.33 0.91 1.85 1.08 1.63 1.50 -0.14 1.92 1.74 0.29 1.92 14.44
2006 1.79 0.86 0.98 1.63 -1.46 0.46 0.00 0.14 -0.48 1.35 1.72 1.44 8.71
2005 0.07 1.73 -1.42 -0.51 0.53 0.84 1.44 0.56 2.64 -1.19 1.67 1.44 8.01
2004 1.29 0.57 0.72 -1.72 -0.31 -0.43 -0.41 -1.02 0.84 0.98 1.50 -0.70 1.26
2003 1.81 0.29 -0.56 1.27 3.64 0.65 -0.13 0.36 2.73 1.29 0.18 3.35 15.83
2002 0.99 1.11 -0.43 0.06 1.78 1.26 -0.07 0.66 -0.07 -0.07 0.90 1.18 7.53
2001 2.41 -0.18 1.37 -0.91 0.24 1.11 -0.07 0.60 1.03 1.81 -0.73 1.78 8.74
2000 0.18 3.80 0.40 -1.41 -0.25 0.95 -0.88 1.68 -0.36 -0.19 1.43 2.96 8.49

Last updated: 23 Jan 2017