BLR Relative Value Hedge Fund Index

0.27%

November 2017

-0.54%

Past 3 months

2.43%

2017 return

9.17%

2016 return

1.55%

2015 return

7.48%

Annualised

Statistics

Annualised return
7.48%
Past 3 months
-0.54%
2017 return
2.43%
2016 return
9.17%
2015 return
1.55%
Strongest month
Mar 2000
3.09%
Weakest month
Oct 2008
-3.21%
Constituents

Deviations

Annualised standard deviation
3.46%
Downside deviation
0.58%
Upside deviation
0.87%

Ratios

Sharpe ratio
2.09
Sortino ratio
1.98
Calmar ratio
0.99

Historical VaR

99%
-2.32%
95%
-1.10%

Performance

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20170.970.650.47-0.620.100.550.350.480.13-0.940.272.43
2016-0.991.051.870.910.240.341.75-0.501.060.101.391.639.17
2015-0.381.020.360.960.46-0.580.13-0.77-0.240.47-0.070.191.55
20140.191.12-0.130.66-0.201.080.970.90-0.49-0.50-0.030.804.43
20131.710.890.281.22-0.37-0.490.82-0.632.130.51-0.990.725.90
20122.291.531.350.28-1.420.680.240.68-0.050.420.490.547.23
20111.490.030.830.320.440.49-0.99-2.48-2.291.94-1.30-0.14-1.77
20100.331.781.121.15-1.230.691.901.691.770.900.951.8413.64
2009-0.49-0.442.152.822.410.602.660.811.79-0.190.700.9714.59
2008-0.270.47-0.381.170.66-0.11-0.52-0.11-1.78-3.21-1.670.86-4.86
20071.27-0.040.810.881.120.430.791.620.851.060.370.5210.11
20061.311.261.800.960.16-0.021.18-0.460.081.541.660.5510.45
20050.540.840.13-0.240.671.000.69-0.070.830.590.201.156.49
20041.06-0.010.08-1.22-0.550.88-0.010.031.690.552.352.477.49
20030.360.370.862.601.621.340.961.640.431.550.412.0215.05
20021.83-0.182.180.631.041.06-1.660.74-1.091.531.621.018.97
20013.060.32-0.051.042.271.390.651.050.010.581.610.1012.67
20000.291.623.090.750.301.81-0.792.641.10-0.12-0.161.8012.96

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