BLR Multi-Strategy Hedge Fund Index

-0.31%

November 2017

-0.98%

Past 3 months

4.90%

2017 return

7.86%

2016 return

2.30%

2015 return

7.78%

Annualised

Statistics

Annualised return
7.78%
Past 3 months
-0.98%
2017 return
4.90%
2016 return
7.86%
2015 return
2.30%
Strongest month
Dec 2004
3.25%
Weakest month
Oct 2008
-4.00%
Constituents

Deviations

Annualised standard deviation
3.88%
Downside deviation
0.68%
Upside deviation
0.96%

Ratios

Sharpe ratio
1.94
Sortino ratio
1.83
Calmar ratio
0.77

Historical VaR

99%
-2.41%
95%
-1.28%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20170.741.930.92-0.130.220.210.831.09-0.19-0.48-0.314.90
2016-0.661.591.430.17-0.240.191.55-1.271.290.930.442.247.86
20150.020.920.711.240.37-0.770.37-1.40-0.460.910.160.232.30
2014-0.401.28-0.720.590.291.591.031.29-0.48-0.710.791.055.70
20132.320.55-0.111.36-0.23-1.020.68-0.382.470.80-0.710.666.51
20121.941.900.600.17-2.02-0.300.350.30-0.170.330.681.345.18
20111.010.060.830.220.030.28-0.57-1.77-3.322.01-1.80-0.87-3.94
2010-0.091.221.331.03-1.930.221.931.802.371.230.691.9212.30
2009-0.49-0.202.202.432.920.372.08-0.031.58-0.331.090.2112.41
2008-0.801.73-0.891.700.76-0.02-1.45-1.14-2.38-4.00-0.730.26-6.87
20071.490.281.311.201.881.001.69-0.071.300.970.170.5112.36
20061.951.581.721.49-0.610.361.53-0.500.261.912.301.2113.96
20050.421.66-0.250.050.411.520.650.661.420.460.992.1910.62
20040.850.560.60-1.55-0.750.600.350.522.081.232.743.2510.90
20031.231.160.831.131.320.580.641.940.610.840.142.5913.79
20021.620.311.370.722.130.95-0.751.91-0.760.440.651.6310.65
20012.480.490.530.012.381.060.350.420.822.230.730.5712.70
20000.672.390.800.02-0.912.07-0.622.790.32-0.510.962.6111.03

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