THFJ Relative Value Hedge Fund Index

0.26%

July 2017

1.47%

Past 3 months

3.83%

2017 return

5.12%

2016 return

2.34%

2015 return

8.01%

Annualised

Statistics

Annualised return
8.01%
Past 3 months
1.47%
2017 return
3.83%
2016 return
5.12%
2015 return
2.34%
Strongest month
May 2009
3.96%
Weakest month
Oct 2008
-3.33%
Constituents
69

Deviations

Annualised standard deviation
3.61%
Downside deviation
0.58%
Upside deviation
0.93%

Ratios

Sharpe ratio
2.15
Sortino ratio
2.25
Calmar ratio
0.94

Historical VaR

99%
-2.17%
95%
-1.12%

Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 1.29 0.42 0.80 -0.20 0.33 0.87 0.26 3.83
2016 -1.30 0.59 1.50 1.10 0.46 0.22 1.04 0.54 0.43 -0.53 0.43 0.56 5.12
2015 0.68 0.59 -0.43 0.52 0.60 -0.46 0.08 -0.98 0.21 0.89 0.75 -0.12 2.34
2014 0.33 1.58 -0.16 0.90 1.04 0.90 0.71 0.64 -0.60 -0.18 -0.09 0.58 5.77
2013 0.79 0.82 0.75 1.67 0.54 -1.10 1.26 -0.47 0.66 0.07 0.58 1.06 6.81
2012 3.39 1.54 1.67 0.16 -1.36 0.12 0.60 0.63 1.51 -0.47 0.23 0.23 8.48
2011 0.50 0.50 0.38 0.62 0.14 -1.27 -0.47 -2.53 -1.73 0.88 -0.32 1.34 -2.03
2010 0.79 0.92 0.85 0.31 -1.37 0.67 1.43 0.57 1.35 1.26 0.75 1.46 9.31
2009 0.17 -0.33 1.91 3.36 3.96 0.82 2.65 1.54 1.91 -0.01 0.89 2.08 20.56
2008 -0.49 1.24 -1.00 0.71 1.37 -0.04 -0.64 -0.79 -2.15 -3.33 -1.53 1.09 -5.53
2007 1.14 1.45 0.50 1.94 0.90 -0.12 -0.16 1.25 1.45 2.36 -0.02 1.33 12.68
2006 1.49 1.98 2.39 0.73 0.25 1.17 0.35 0.18 0.30 0.61 1.00 1.72 12.82
2005 0.12 1.16 -0.36 -1.12 0.84 0.65 1.27 0.44 1.94 -0.66 0.91 0.23 5.54
2004 1.67 0.27 0.35 -0.37 -0.50 0.85 0.06 0.11 0.98 1.12 2.02 1.62 8.42
2003 0.03 -0.39 -0.21 3.04 2.43 1.70 0.87 1.26 1.36 2.10 0.81 1.12 14.99
2002 0.68 0.09 1.81 -0.09 1.25 0.21 -1.53 0.94 -0.05 2.64 1.59 1.04 8.86
2001 2.92 0.39 0.00 1.78 1.22 0.79 0.69 1.73 -1.01 -0.23 1.39 1.11 11.26
2000 1.30 1.75 2.45 0.37 0.22 2.93 0.77 1.99 0.12 0.44 -0.47 1.86 14.54

Last updated: 23 Jan 2017