THFJ Multi-Strategy Hedge Fund Index

-0.31%

November 2017

-0.98%

Past 3 months

4.90%

2017 return

7.86%

2016 return

2.30%

2015 return

7.78%

Annualised

Statistics

Annualised return
7.78%
Past 3 months
-0.98%
2017 return
4.90%
2016 return
7.86%
2015 return
2.30%
Strongest month
Dec 2004
3.25%
Weakest month
Oct 2008
-4.00%
Constituents
247

Deviations

Annualised standard deviation
3.88%
Downside deviation
0.68%
Upside deviation
0.96%

Ratios

Sharpe ratio
1.94
Sortino ratio
1.83
Calmar ratio
0.77

Historical VaR

99%
-2.41%
95%
-1.28%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.74 1.93 0.92 -0.13 0.22 0.21 0.83 1.09 -0.19 -0.48 -0.31 4.90
2016 -0.66 1.59 1.43 0.17 -0.24 0.19 1.55 -1.27 1.29 0.93 0.44 2.24 7.86
2015 0.02 0.92 0.71 1.24 0.37 -0.77 0.37 -1.40 -0.46 0.91 0.16 0.23 2.30
2014 -0.40 1.28 -0.72 0.59 0.29 1.59 1.03 1.29 -0.48 -0.71 0.79 1.05 5.70
2013 2.32 0.55 -0.11 1.36 -0.23 -1.02 0.68 -0.38 2.47 0.80 -0.71 0.66 6.51
2012 1.94 1.90 0.60 0.17 -2.02 -0.30 0.35 0.30 -0.17 0.33 0.68 1.34 5.18
2011 1.01 0.06 0.83 0.22 0.03 0.28 -0.57 -1.77 -3.32 2.01 -1.80 -0.87 -3.94
2010 -0.09 1.22 1.33 1.03 -1.93 0.22 1.93 1.80 2.37 1.23 0.69 1.92 12.30
2009 -0.49 -0.20 2.20 2.43 2.92 0.37 2.08 -0.03 1.58 -0.33 1.09 0.21 12.41
2008 -0.80 1.73 -0.89 1.70 0.76 -0.02 -1.45 -1.14 -2.38 -4.00 -0.73 0.26 -6.87
2007 1.49 0.28 1.31 1.20 1.88 1.00 1.69 -0.07 1.30 0.97 0.17 0.51 12.36
2006 1.95 1.58 1.72 1.49 -0.61 0.36 1.53 -0.50 0.26 1.91 2.30 1.21 13.96
2005 0.42 1.66 -0.25 0.05 0.41 1.52 0.65 0.66 1.42 0.46 0.99 2.19 10.62
2004 0.85 0.56 0.60 -1.55 -0.75 0.60 0.35 0.52 2.08 1.23 2.74 3.25 10.90
2003 1.23 1.16 0.83 1.13 1.32 0.58 0.64 1.94 0.61 0.84 0.14 2.59 13.79
2002 1.62 0.31 1.37 0.72 2.13 0.95 -0.75 1.91 -0.76 0.44 0.65 1.63 10.65
2001 2.48 0.49 0.53 0.01 2.38 1.06 0.35 0.42 0.82 2.23 0.73 0.57 12.70
2000 0.67 2.39 0.80 0.02 -0.91 2.07 -0.62 2.79 0.32 -0.51 0.96 2.61 11.03

Last updated: 23 Jan 2017