THFJ Multi-Strategy Hedge Fund Index

1.20%

July 2017

3.40%

Past 3 months

7.54%

2017 return

2.79%

2016 return

2.40%

2015 return

7.80%

Annualised

Statistics

Annualised return
7.80%
Past 3 months
3.40%
2017 return
7.54%
2016 return
2.79%
2015 return
2.40%
Strongest month
May 2009
4.07%
Weakest month
Oct 2008
-3.31%
Constituents
247

Deviations

Annualised standard deviation
3.96%
Downside deviation
0.65%
Upside deviation
1.00%

Ratios

Sharpe ratio
1.91
Sortino ratio
1.92
Calmar ratio
1.37

Historical VaR

99%
-2.14%
95%
-1.34%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.70 1.30 0.35 0.60 0.78 1.38 1.20 7.54
2016 -0.78 0.00 2.39 0.07 -0.46 -0.43 0.78 -0.48 1.54 -0.34 -0.19 0.69 2.79
2015 1.13 1.28 0.23 0.83 0.40 -1.42 -0.48 -1.52 0.22 1.97 0.90 -1.11 2.40
2014 -0.77 1.17 0.59 1.88 1.76 1.43 1.11 1.46 -0.67 0.24 -0.08 -0.62 7.71
2013 1.81 -0.09 0.78 1.02 0.70 -1.23 0.82 -0.02 1.77 1.45 -0.15 1.36 8.50
2012 1.97 1.40 -0.21 0.22 -1.47 -0.63 -0.06 0.74 0.85 -1.06 0.85 0.68 3.26
2011 0.13 0.38 0.27 -0.05 -0.88 -0.27 0.30 -1.21 -1.14 2.20 -1.79 -0.57 -2.63
2010 -1.43 0.35 1.37 1.00 -0.07 -0.36 0.78 -0.07 2.76 0.19 0.44 1.51 6.59
2009 0.23 -0.34 1.45 2.29 4.07 1.44 1.32 0.49 0.70 -0.53 0.64 -0.02 12.30
2008 -1.33 1.13 -1.11 1.51 0.89 -0.31 -0.66 0.81 -2.12 -3.31 0.11 0.90 -3.54
2007 1.42 0.85 1.43 2.17 1.50 2.25 1.19 -1.51 1.24 2.19 -1.53 0.83 12.63
2006 3.46 1.68 1.88 1.61 -0.15 1.61 0.68 0.67 1.01 2.29 1.70 2.90 21.07
2005 -0.20 0.96 -0.52 -0.50 1.82 1.20 0.61 0.88 3.31 0.53 2.76 2.04 13.58
2004 1.09 0.58 1.07 -0.26 -0.34 0.82 1.60 0.17 1.12 0.92 2.08 0.55 9.77
2003 1.90 0.22 -0.07 2.27 1.52 -0.23 0.55 1.68 2.20 2.47 0.30 1.62 15.38
2002 0.00 0.01 1.25 0.38 0.64 0.00 -1.16 0.36 -0.12 1.23 0.77 0.93 4.37
2001 2.67 -0.45 0.48 0.23 1.18 0.14 -1.28 1.22 -0.00 2.35 1.12 1.62 9.62
2000 1.63 3.07 0.99 -2.45 -0.03 1.29 -0.47 0.75 -0.07 1.17 0.05 2.50 8.65

Last updated: 23 Jan 2017