THFJ Multi-Strategy Hedge Fund Index

0.65%

October 2017

2.23%

Past 3 months

7.34%

2017 return

5.27%

2016 return

5.45%

2015 return

8.77%

Annualised

Statistics

Annualised return
8.77%
Past 3 months
2.23%
2017 return
7.34%
2016 return
5.27%
2015 return
5.45%
Strongest month
May 2009
4.05%
Weakest month
Oct 2008
-5.04%
Constituents
247

Deviations

Annualised standard deviation
3.99%
Downside deviation
0.67%
Upside deviation
1.02%

Ratios

Sharpe ratio
2.14
Sortino ratio
2.26
Calmar ratio
0.85

Historical VaR

99%
-2.10%
95%
-1.22%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.03 3.18 -0.60 0.28 0.07 0.13 0.84 1.26 0.31 0.65 7.34
2016 -1.35 1.19 1.46 0.93 0.74 -0.47 2.02 0.31 -0.28 -0.17 0.16 0.65 5.27
2015 0.88 1.64 1.15 0.70 1.79 -0.55 0.12 -0.78 -1.05 1.30 0.58 -0.42 5.45
2014 -0.53 1.20 -0.48 0.71 1.38 0.84 0.53 0.52 -0.09 0.49 -0.20 0.49 4.94
2013 1.65 0.84 0.76 1.19 0.88 -0.79 0.69 -0.20 0.80 1.26 0.93 0.33 8.64
2012 1.70 0.75 0.12 -0.20 -1.58 1.19 0.57 0.86 0.26 0.38 0.72 1.54 6.45
2011 0.60 0.29 1.22 0.93 -0.72 -0.15 -0.55 -1.40 -2.01 1.83 -0.49 -0.01 -0.53
2010 0.52 1.95 1.90 1.17 -2.08 -0.04 2.19 1.14 2.19 1.28 -0.52 0.05 10.10
2009 1.53 -0.80 1.36 3.06 4.05 0.29 1.78 1.03 1.17 0.93 1.60 0.49 17.71
2008 -1.00 2.29 -0.24 0.95 1.56 -0.27 -0.48 -1.83 -2.45 -5.04 -0.31 1.01 -5.88
2007 -0.14 0.56 0.62 1.17 2.37 1.02 0.86 0.27 2.23 2.02 -1.21 0.76 10.99
2006 2.66 1.00 1.68 2.01 -0.31 0.56 0.22 1.01 0.54 1.00 1.29 2.03 14.52
2005 -0.66 2.58 -0.65 -0.74 0.53 0.38 0.78 1.20 2.16 -0.29 2.47 1.77 9.87
2004 1.94 1.64 1.50 0.55 0.82 1.44 0.44 0.09 1.49 1.08 3.29 1.24 16.62
2003 2.49 0.42 -0.36 1.20 2.15 0.93 1.83 2.04 1.76 1.57 0.75 2.35 18.48
2002 0.16 0.36 1.45 -0.37 1.97 0.41 -1.04 2.19 0.31 1.92 0.84 2.84 11.53
2001 1.27 -1.00 0.01 0.76 1.25 0.90 0.76 0.53 -0.77 1.22 1.14 1.24 7.53
2000 1.70 3.00 0.69 -1.64 0.28 2.29 0.71 1.97 -1.60 -0.36 0.85 2.10 10.34

Last updated: 23 Jan 2017