BLR CTA/Managed Futures Hedge Fund Index

0.48%

November 2017

1.49%

Past 3 months

0.52%

2017 return

7.69%

2016 return

-0.39%

2015 return

8.29%

Annualised

Statistics

Annualised return
8.29%
Past 3 months
1.49%
2017 return
0.52%
2016 return
7.69%
2015 return
-0.39%
Strongest month
Dec 2000
6.31%
Weakest month
Apr 2004
-3.22%
Constituents

Deviations

Annualised standard deviation
5.95%
Downside deviation
0.89%
Upside deviation
1.52%

Ratios

Sharpe ratio
1.35
Sortino ratio
1.56
Calmar ratio
1.39

Historical VaR

99%
-2.75%
95%
-1.88%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20170.641.09-1.10-0.14-1.49-0.48-0.070.61-0.661.670.480.52
20161.413.99-0.01-0.17-0.673.330.440.29-0.09-1.250.87-0.587.69
20152.800.400.68-1.310.40-0.380.85-1.210.36-0.23-0.35-2.31-0.39
2014-0.982.070.121.161.101.24-0.692.891.34-0.981.751.1510.58
20130.290.83-0.101.71-1.940.10-1.21-1.19-1.291.680.591.160.56
20122.151.42-0.68-0.651.93-1.532.35-1.36-1.51-0.081.440.714.15
20111.16-0.03-1.153.19-2.70-1.512.56-0.59-0.36-0.57-0.40-0.60-1.14
20100.260.180.530.35-1.46-0.310.231.692.752.73-0.543.8910.65
20091.810.78-1.15-0.562.13-1.072.210.281.03-1.392.38-0.555.93
20080.794.58-0.450.392.063.44-2.200.31-0.472.840.052.4214.43
20071.07-0.20-0.850.851.302.11-1.97-0.263.941.331.670.9510.28
20062.69-0.901.891.610.17-0.22-1.43-0.18-1.260.543.070.026.04
20050.360.58-0.21-0.261.672.19-1.402.191.01-0.222.401.189.84
20040.172.460.97-3.22-0.43-2.18-0.050.823.201.382.870.846.85
20035.041.61-2.00-0.615.910.461.321.630.062.141.102.5520.71
2002-1.78-0.550.23-0.952.816.252.900.293.10-1.87-0.543.6213.98
20011.14-0.245.25-2.712.91-0.87-0.561.112.713.01-2.841.8110.92
20002.331.11-1.35-1.453.350.430.501.880.392.143.126.3120.15

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