HFRU Hedge Fund Composite JPY Index
Performance Snapshot
Total Return
One Year | Three Year | Five Year | Ten Year |
---|---|---|---|
0.67% | -3.58% | 1.83% | 9.52% |
Annualized Return
Three Year Ann. | Five Year Ann. | Ten Year Ann. |
---|---|---|
-1.21% | 0.36% | 0.91% |
Performance History
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Year | Jan (%) | Feb (%) | Mar (%) | Apr (%) | May (%) | Jun (%) | Jul (%) | Aug (%) | Sep (%) | Oct (%) | Nov (%) | Dec (%) | YTD (%) |
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2024 | -0.25% | 0.43% | 0.91% | 1.09% | |||||||||
2023 | 1.66% | -0.46% | -1.20% | -0.12% | -0.90% | 0.61% | 0.53% | -0.75% | -0.77% | -1.44% | 1.48% | 0.98% | -0.44% |
2022 | Value blurred out. | Value blurred out. | Value blurred out. | -0.61% | -0.60% | -2.36% | 0.88% | -0.23% | -2.08% | 0.89% | 1.15% | -0.95% | -6.76% |
2021 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2020 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2019 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2018 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2017 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2016 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2015 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2014 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2013 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2012 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2011 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2010 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2009 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
2008 | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. | Value blurred out. |
Key Statistics
Index Comparisons — B1: HFRI Fund Weighted Composite Index, B2: HFRI Fund of Funds Composite Index, B3: S&P 500 Index Total Return.
Risk/Return
Type | B1 | B2 | B3 | HFRUHFCJ |
---|---|---|---|---|
Geo. Average Monthly | 0.34 | 0.18 | 0.82 | 0.08 |
Std. Deviation | 1.89 | 1.56 | 4.66 | 1.11 |
High Month | 5.86 | 3.91 | 12.82 | 3.9 |
Low Month | -9.08 | -7.63 | -16.8 | -6.19 |
Annualized Return | 4.12 | 2.21 | 10.35 | 1 |
Annualized STD | 6.56 | 5.41 | 16.14 | 3.84 |
Risk Free Rate | 0.99 | 0.99 | 0.99 | 0.99 |
Sharpe Ratio | 0.5 | 0.25 | 0.63 | 0.02 |
% of Winning Mo. | 62.56 | 63.08 | 67.18 | 58.46 |
Max Drawdown | 20.05 | 20.11 | 46.39 | 11.22 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Regression
Type | B1 | B2 | B3 |
---|---|---|---|
Alpha | -0.09 | -0.03 | -0.08 |
Beta | 0.5 | 0.59 | 0.18 |
Mnt. R-Squared | 0.74 | 0.7 | 0.56 |
Correlation | 0.86 | 0.84 | 0.75 |
Up Alpha | 0.04 | 0.05 | 0.04 |
Up Beta | 0.43 | 0.57 | 0.15 |
Up R-Squared | 0.48 | 0.43 | 0.31 |
Down Alpha | -0.12 | -0.22 | -0.21 |
Down Beta | 0.51 | 0.51 | 0.16 |
Down R-Squared | 0.59 | 0.51 | 0.25 |
Statistics calculated since inception of index
Risk-Free Rate = the 3-month US Treasury Constant Maturity Rate
Index Description
The HFRU Hedge Fund Composite JPY Index is designed to be representative of the overall composition of the UCITS-compliant alternative investment strategy universe. It is comprised of all eligible alternative investment strategies; including, but not limited to equity hedge, event driven, macro, and relative value arbitrage. The underlying constituents are equally weighted. The HFRU Indices are rebalanced on a quarterly basis. The HFRU Hedge Fund Composite JPY Index is denominated in JPY.
HFR Indices Constituents
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