BLR Macro Hedge Fund Index

0.29%

November 2017

2.02%

Past 3 months

3.51%

2017 return

0.26%

2016 return

3.15%

2015 return

6.66%

Annualised

Statistics

Annualised return
6.66%
Past 3 months
2.02%
2017 return
3.51%
2016 return
0.26%
2015 return
3.15%
Strongest month
Feb 2000
3.85%
Weakest month
Apr 2004
-2.51%
Constituents

Deviations

Annualised standard deviation
3.38%
Downside deviation
0.52%
Upside deviation
0.86%

Ratios

Sharpe ratio
1.90
Sortino ratio
1.76
Calmar ratio
2.11

Historical VaR

99%
-1.52%
95%
-0.91%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2017-0.340.410.300.280.05-0.850.601.000.161.550.293.51
2016-0.610.60-0.610.55-0.04-0.020.220.26-0.90-0.250.850.240.26
20152.270.191.07-0.600.51-1.700.76-0.740.241.000.30-0.143.15
2014-0.401.450.31-0.600.800.580.02-0.08-0.000.362.530.185.22
20131.880.70-0.180.34-0.01-1.360.70-0.910.040.641.190.493.53
20120.791.42-0.35-0.82-0.431.391.28-0.34-0.420.380.160.743.83
2011-0.260.590.040.87-0.20-1.210.21-0.06-0.661.70-0.600.300.68
2010-0.19-0.140.920.700.43-0.02-0.101.120.940.000.511.025.30
2009-0.07-0.650.241.512.86-0.821.460.081.100.470.460.587.42
20080.791.960.090.621.771.57-0.54-1.07-0.59-0.890.471.956.25
20070.610.611.061.481.221.410.44-1.511.962.560.170.8711.38
20061.901.100.151.69-1.490.971.090.750.381.091.371.5010.97
2005-0.410.44-0.18-0.601.231.201.42-0.101.47-0.190.881.516.85
2004-0.121.120.47-2.51-0.120.18-0.310.331.110.682.340.393.54
20031.770.95-0.382.162.970.560.392.571.751.061.281.5517.91
20021.390.29-0.311.781.780.51-0.411.501.20-0.141.171.9411.18
20011.870.230.69-1.360.340.510.18-0.451.021.940.801.297.24
20000.233.850.41-0.65-0.661.84-0.932.29-0.02-0.022.093.8412.80

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