Indices

MEBI Maximum Sharpe Ratio Strategy L1

EQUAL WEIGHTED HEDGE FUND INDICES

ASSET WEIGHTED HEDGE FUND INDICES

SPECIALIST ALTERNATIVE FUND INDICES

INVESTIBLE BENCHMARK INDICES

METHODOLOGIES

INDEX PRESS RELEASES

Sep 2017 Return: 0.11% 3-Month Return: 1.14% 2017 Return: 3.30% 2016 Return: 1.05% Bloomberg Ticker: EHFI701
                                      

Index Returns

The MEBI Maximum Sharpe Ratio L1 is a Mizuho-Eurekahedge Bespoke index that aims to maximize the expected Sharpe ratio under pre-determined assumptions, with its 4 constituent assets: Japanese bonds, US bonds, Japanese equities and US equities. The index is updated on a daily basis on business days in Tokyo and Singapore.

Statistics

Statistics (as at Sep 2017 )  
3.91
2017 Return (%) 3.30
2016 Return (%) 1.05
1.14
171.69
4.17
-3.29
Risk/Return
3.50
2.04
3.06
-7.09
1.12
1.92
67.09

Historical Monthly Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 0.11 0.82 -0.05 0.82 0.54 -0.11 0.41 0.62 0.11 n/a n/a n/a 3.30
2016 0.41 0.03 0.71 -0.17 0.40 0.68 0.62 -0.67 0.25 -0.35 -1.17 0.32 1.05
2015 0.94 0.28 0.27 0.22 0.66 -1.53 1.29 -1.70 -0.08 1.61 -0.18 -0.43 1.30
2014 0.22 0.57 -0.17 0.08 0.95 0.61 0.11 0.56 0.04 0.90 1.13 0.27 5.38
2013 1.10 1.06 1.34 1.31 -1.64 -0.69 0.73 -0.36 1.59 0.95 0.52 -0.45 5.55
2012 1.18 0.73 -0.01 0.89 -0.34 0.75 0.51 0.22 0.47 -0.30 0.89 0.05 5.13
2011 0.26 0.41 -0.47 0.76 0.71 0.21 0.71 0.10 -0.69 1.06 0.10 1.12 4.35
2010 -0.01 0.52 0.68 1.23 -0.75 0.48 1.19 0.39 1.38 0.25 -0.70 0.09 4.85
2009 -2.56 -0.79 1.25 0.07 0.10 1.21 0.89 0.98 0.39 -0.78 1.09 0.44 2.26
2008 -0.11 0.37 0.46 -1.24 -0.60 -0.18 0.36 0.93 -3.21 -3.29 2.06 1.88 -2.70
2007 0.32 0.52 -0.22 0.43 -0.38 -0.74 0.03 1.00 0.58 0.70 0.39 -0.51 2.11
2006 0.31 -0.89 -0.23 -0.44 -1.10 -0.26 0.29 2.17 0.34 0.07 0.55 -0.09 0.70
2005 0.25 -0.20 0.62 -0.35 0.88 0.71 -0.22 0.60 0.48 -0.29 1.73 0.78 5.09
2004 1.02 1.34 0.61 -1.08 -0.31 0.06 -0.73 1.69 0.57 0.15 0.81 1.28 5.50
2003 -0.64 0.93 -0.13 1.05 2.47 -0.94 -2.27 -0.42 1.93 0.08 0.32 1.14 3.47
2002 -0.97 0.89 0.09 0.89 0.66 -0.02 0.29 1.32 0.39 0.45 -0.11 0.87 4.82
2001 1.23 0.03 0.39 0.54 0.13 -0.22 0.17 -0.75 -0.39 1.85 -0.93 -0.71 1.31
2000 -1.13 -0.59 1.56 -0.45 -0.37 0.81 -0.26 0.19 -0.27 -0.12 0.87 0.01 0.20
1999 1.29 -1.86 2.35 1.72 -1.28 -0.10 0.19 -0.29 0.51 0.02 1.03 2.08 5.72
1998 0.60 0.59 0.26 0.24 1.21 -0.21 0.58 -0.23 2.22 -0.05 0.20 -2.67 2.72
1997 -0.42 0.15 -0.25 1.16 0.24 1.62 1.85 -1.46 0.78 -0.53 -0.31 -0.91 1.89
1996 0.61 -1.56 1.89 -0.05 0.68 0.71 -1.80 1.05 2.10 1.42 0.89 -2.34 3.53
1995 -0.48 0.62 1.93 1.78 2.40 -0.41 1.91 0.49 2.74 0.00 2.20 0.26 14.20
1994 -0.16 -0.56 -1.94 0.74 1.47 -2.62 0.48 -0.15 -0.67 0.18 -0.46 0.94 -2.80
1993 1.57 2.16 0.53 0.71 0.69 1.38 1.39 2.09 0.58 0.97 -1.28 2.01 13.52
1992 -1.05 0.02 -1.20 -1.59 2.17 0.05 2.67 1.84 1.05 -0.69 0.92 1.68 5.92
1991 n/a n/a n/a n/a n/a n/a n/a n/a 0.97 0.96 -0.96 4.17 5.17
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