THFJ Relative Value Hedge Fund Index

0.27%

November 2017

-0.54%

Past 3 months

2.43%

2017 return

9.17%

2016 return

1.55%

2015 return

7.48%

Annualised

Statistics

Annualised return
7.48%
Past 3 months
-0.54%
2017 return
2.43%
2016 return
9.17%
2015 return
1.55%
Strongest month
Mar 2000
3.09%
Weakest month
Oct 2008
-3.21%
Constituents
69

Deviations

Annualised standard deviation
3.46%
Downside deviation
0.58%
Upside deviation
0.87%

Ratios

Sharpe ratio
2.09
Sortino ratio
1.98
Calmar ratio
0.99

Historical VaR

99%
-2.32%
95%
-1.10%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.97 0.65 0.47 -0.62 0.10 0.55 0.35 0.48 0.13 -0.94 0.27 2.43
2016 -0.99 1.05 1.87 0.91 0.24 0.34 1.75 -0.50 1.06 0.10 1.39 1.63 9.17
2015 -0.38 1.02 0.36 0.96 0.46 -0.58 0.13 -0.77 -0.24 0.47 -0.07 0.19 1.55
2014 0.19 1.12 -0.13 0.66 -0.20 1.08 0.97 0.90 -0.49 -0.50 -0.03 0.80 4.43
2013 1.71 0.89 0.28 1.22 -0.37 -0.49 0.82 -0.63 2.13 0.51 -0.99 0.72 5.90
2012 2.29 1.53 1.35 0.28 -1.42 0.68 0.24 0.68 -0.05 0.42 0.49 0.54 7.23
2011 1.49 0.03 0.83 0.32 0.44 0.49 -0.99 -2.48 -2.29 1.94 -1.30 -0.14 -1.77
2010 0.33 1.78 1.12 1.15 -1.23 0.69 1.90 1.69 1.77 0.90 0.95 1.84 13.64
2009 -0.49 -0.44 2.15 2.82 2.41 0.60 2.66 0.81 1.79 -0.19 0.70 0.97 14.59
2008 -0.27 0.47 -0.38 1.17 0.66 -0.11 -0.52 -0.11 -1.78 -3.21 -1.67 0.86 -4.86
2007 1.27 -0.04 0.81 0.88 1.12 0.43 0.79 1.62 0.85 1.06 0.37 0.52 10.11
2006 1.31 1.26 1.80 0.96 0.16 -0.02 1.18 -0.46 0.08 1.54 1.66 0.55 10.45
2005 0.54 0.84 0.13 -0.24 0.67 1.00 0.69 -0.07 0.83 0.59 0.20 1.15 6.49
2004 1.06 -0.01 0.08 -1.22 -0.55 0.88 -0.01 0.03 1.69 0.55 2.35 2.47 7.49
2003 0.36 0.37 0.86 2.60 1.62 1.34 0.96 1.64 0.43 1.55 0.41 2.02 15.05
2002 1.83 -0.18 2.18 0.63 1.04 1.06 -1.66 0.74 -1.09 1.53 1.62 1.01 8.97
2001 3.06 0.32 -0.05 1.04 2.27 1.39 0.65 1.05 0.01 0.58 1.61 0.10 12.67
2000 0.29 1.62 3.09 0.75 0.30 1.81 -0.79 2.64 1.10 -0.12 -0.16 1.80 12.96

Last updated: 23 Jan 2017