THFJ Relative Value Hedge Fund Index

-0.21%

October 2017

-0.35%

Past 3 months

4.02%

2017 return

6.70%

2016 return

1.93%

2015 return

7.90%

Annualised

Statistics

Annualised return
7.90%
Past 3 months
-0.35%
2017 return
4.02%
2016 return
6.70%
2015 return
1.93%
Strongest month
Jan 2001
3.95%
Weakest month
Jan 2016
-2.42%
Constituents
69

Deviations

Annualised standard deviation
3.53%
Downside deviation
0.54%
Upside deviation
0.93%

Ratios

Sharpe ratio
2.17
Sortino ratio
2.36
Calmar ratio
1.46

Historical VaR

99%
-1.98%
95%
-1.05%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 0.48 1.09 0.43 0.74 0.24 0.18 1.14 0.68 -0.82 -0.21 4.02
2016 -2.42 0.06 0.79 2.46 0.15 0.56 2.20 0.70 0.57 0.47 0.71 0.32 6.70
2015 -0.18 1.94 1.11 0.83 0.85 -0.09 -0.40 -1.43 0.05 -0.04 -0.33 -0.35 1.93
2014 0.55 1.08 1.15 0.23 0.57 0.24 1.32 -0.76 -0.51 0.37 -0.18 -0.28 3.81
2013 0.81 1.48 1.44 1.16 0.45 -0.80 1.03 -0.14 0.82 1.12 -0.14 0.55 8.03
2012 2.98 1.01 0.57 -0.18 -1.45 0.00 0.64 1.17 1.07 0.29 0.87 1.52 8.77
2011 -0.20 0.42 0.49 0.75 -0.45 -0.46 -0.55 -1.96 -1.27 0.75 -0.89 0.34 -3.02
2010 0.24 1.00 1.78 1.54 -1.20 0.73 1.45 0.41 1.12 1.64 0.15 1.25 10.57
2009 0.83 -0.11 1.64 3.22 2.93 0.12 1.55 2.17 2.19 0.40 1.17 2.32 19.99
2008 -0.57 0.40 0.03 1.33 1.30 -1.00 0.52 -0.41 -1.67 -2.22 -0.54 2.08 -0.84
2007 0.83 0.53 0.18 1.15 1.47 0.11 -0.34 1.99 1.40 1.31 -1.09 1.60 9.52
2006 1.93 0.65 0.82 0.92 0.63 0.02 0.54 0.52 0.70 1.23 1.15 0.99 10.57
2005 -0.00 1.00 -0.56 -0.27 0.43 1.16 1.15 0.18 1.09 -1.04 1.40 0.93 5.56
2004 1.96 0.38 -0.42 -0.92 1.29 0.42 0.63 -0.09 1.35 -0.51 1.93 0.50 6.67
2003 1.09 0.04 0.67 2.71 1.97 0.88 0.38 2.51 1.24 3.31 2.25 1.19 19.80
2002 0.10 0.17 2.11 0.29 -0.32 0.60 -0.21 -0.14 -0.69 1.93 1.32 0.58 5.84
2001 3.95 0.69 -0.02 1.74 1.61 0.31 0.05 0.85 -1.43 0.66 1.65 -0.08 10.35
2000 1.70 2.56 2.19 0.10 0.95 1.68 0.59 1.56 0.87 0.48 -0.72 2.66 15.58

Last updated: 23 Jan 2017