Indices

MEBI Maximum Sharpe Ratio Strategy L1

Sep 2016 Return: 0.14% 3-Month Return: 0.09% 2016 Return: 2.17% 2015 Return: 1.30% 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 2016 )  
3.98
2016 Return (%) 2.17
2015 Return (%) 1.30
0.09
165.93
4.17
-3.29
Risk/Return
3.55
2.06
3.10
-7.09
1.12
1.93
67.11

Historical Monthly Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2016 0.41 0.03 0.71 -0.17 0.40 0.68 0.62 -0.67 0.14 n/a n/a n/a 2.17
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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