BLR Arbitrage Hedge Fund Index

-0.07%

November 2017

0.57%

Past 3 months

2.48%

2017 return

5.19%

2016 return

7.70%

2015 return

6.28%

Annualised

Statistics

Annualised return
6.28%
Past 3 months
0.57%
2017 return
2.48%
2016 return
5.19%
2015 return
7.70%
Strongest month
May 2009
3.44%
Weakest month
Oct 2008
-5.63%
Constituents

Deviations

Annualised standard deviation
2.87%
Downside deviation
0.57%
Upside deviation
0.64%

Ratios

Sharpe ratio
2.10
Sortino ratio
1.40
Calmar ratio
0.60

Historical VaR

99%
-1.28%
95%
-0.55%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20170.330.53-0.020.26-0.090.150.150.570.080.56-0.072.48
2016-0.330.201.610.230.600.550.890.60-0.330.280.580.215.19
20150.171.680.831.510.640.490.56-0.540.470.870.610.167.70
2014-0.550.500.040.630.420.16-0.40-0.10-0.26-0.961.11-0.170.39
20130.640.450.451.000.75-0.330.94-0.031.090.910.660.457.20
20120.841.420.37-0.12-0.660.790.441.020.67-0.080.730.976.56
20111.220.170.790.920.08-0.510.09-0.03-0.751.270.28-0.053.50
20100.490.310.920.98-1.27-0.011.190.391.660.730.050.486.06
20091.240.101.641.753.440.941.782.021.301.23-0.071.1017.70
2008-0.280.55-1.000.370.890.010.290.59-3.69-5.63-1.080.99-7.93
20071.610.89-0.080.550.81-0.100.47-0.381.151.510.310.537.50
20061.580.240.470.330.450.310.510.750.190.881.191.238.43
20050.690.25-0.16-0.560.141.041.080.920.27-0.060.630.514.84
20040.940.530.410.14-0.08-0.330.510.470.100.531.031.095.45
20030.971.11-0.051.101.290.300.190.200.910.811.141.069.39
20021.670.480.490.960.38-0.740.010.970.650.301.420.857.65
20012.760.78-0.201.510.760.360.890.910.280.940.120.269.74
20001.422.261.950.780.662.070.620.850.740.400.190.2412.86

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