BLR Hedge Fund Index

-0.19%

November 2017

0.72%

Past 3 months

3.65%

2017 return

3.11%

2016 return

5.56%

2015 return

7.44%

Annualised

Statistics

Annualised return
7.44%
Past 3 months
0.72%
2017 return
3.65%
2016 return
3.11%
2015 return
5.56%
Strongest month
Feb 2000
4.30%
Weakest month
Sep 2008
-3.73%
Constituents

Deviations

Annualised standard deviation
4.11%
Downside deviation
0.69%
Upside deviation
1.01%

Ratios

Sharpe ratio
1.75
Sortino ratio
1.64
Calmar ratio
0.67

Historical VaR

99%
-2.20%
95%
-1.21%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20170.370.011.910.38-0.270.250.020.210.130.78-0.193.65
2016-1.69-0.080.940.53-0.350.561.301.260.33-0.850.131.013.11
20151.401.781.310.830.39-0.590.20-0.81-1.011.420.60-0.045.56
2014-0.421.210.42-0.561.070.19-0.550.98-0.22-0.421.13-0.032.82
20131.420.110.240.15-0.09-0.971.320.162.081.310.871.438.28
20121.891.59-0.78-0.53-1.170.480.921.080.65-0.550.410.754.78
2011-0.16-0.010.381.73-0.29-1.391.51-2.17-1.781.24-1.050.84-1.25
2010-1.090.271.040.74-1.89-0.530.630.022.542.450.492.357.15
20090.35-0.150.513.303.920.602.002.001.970.060.670.6316.97
2008-1.642.57-1.021.071.15-0.53-1.92-0.87-3.73-3.25-0.850.64-8.22
20071.32-0.111.721.891.701.431.83-1.201.542.34-1.110.8812.83
20062.261.181.591.62-0.290.65-0.081.530.511.051.781.0913.64
20050.431.26-0.26-0.381.191.111.910.061.54-1.762.301.489.20
20041.631.520.27-1.120.290.28-0.10-0.331.031.542.870.979.14
20030.691.07-0.562.682.780.170.731.291.281.420.652.4615.62
20021.20-0.142.250.021.28-0.31-0.711.33-0.370.091.260.366.41
20011.87-0.760.821.081.721.490.18-0.11-0.091.551.402.0611.76
20002.194.301.05-0.110.221.760.573.44-0.90-0.280.102.0315.19

Last updated: