The PivotalPath Credit: Distressed Hedge Fund Index is an equal weighted index which comprises funds that typically buy suffering companies utilizing equity, sometimes purchasing them before an expected bankruptcy, and other times during the bankruptcy process with the goal of gaining a controlling position. The Index tracks the monthly performance, net of all fees in USD, of its constituents with a minimum fund track record of 18 months and a minimum fund AUM of $50mm. The constituents are fixed at the end of each calendar year for the following calendar year.
Constituents are institutionally relevant funds with a minimum 18-month track record and at least $50mm in assets under management. Returns are monthly, net of all fees, in USD.
Performance
The PivotalPath Credit:Distressed Index has returned 8.6% annualised since January 2000, with 6.4% annualised volatility. Cumulatively, that is 809.9% since January 2000. Its Sharpe ratio is 1.02 and its maximum drawdown -24.5%.
Summary statistics since inception (returns annualised)
Annualised return since inception
8.6%
Annualised volatility
6.4%
Sharpe ratio (excess of risk-free)
1.02
Return / volatility (not a Sharpe ratio)
1.34
Maximum drawdown
-24.5%
Positive months
73.8%
Best month
6.1%
Worst month
-11.9%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
8.6%
3 years, annualised
9.5%
5 years, annualised
6.7%
10 years, annualised
6.5%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
7.2%
Year to date, cumulative
3.2%
Month to date, cumulative
0.3%
Since inception, cumulative
809.9%
The two tables above use different conventions and are not comparable figure for figure: returns over periods longer than one year are annualised, while one-year, year-to-date, month-to-date and since-inception returns are cumulative.
Quarterly returns, cumulative within each quarter · 2020 to present
Quarterly returns, cumulative within each quarter · 2020 to present. Every figure is stated in the table below.
Q3 2026 (partial)
0.2%
Q2 2026
2.6%
Q1 2026
0.3%
Q4 2025
2.5%
Q3 2025
4.5%
Q2 2025
2.1%
Q1 2025
-0.6%
Q4 2024
3.5%
Q3 2024
3.9%
Q2 2024
2.1%
Q1 2024
4.1%
Q4 2023
2.9%
Q3 2023
1.3%
Q2 2023
2.5%
Q1 2023
0.8%
Q4 2022
1.4%
Q3 2022
-0.7%
Q2 2022
-5.2%
Q1 2022
1.8%
Q4 2021
1.8%
Q3 2021
2.8%
Q2 2021
5.4%
Q1 2021
5.9%
Q4 2020
7.4%
Q3 2020
3.0%
Q2 2020
8.0%
Q1 2020
-12.4%
Q3 2026 is a partial quarter — 2 months so far.
Calendar-year returns, cumulative within each year
Calendar-year returns, cumulative within each year. Every figure is stated in the table below.
2026 (partial)
3.2%
2025
8.7%
2024
14.2%
2023
7.8%
2022
-2.7%
2021
16.9%
2020
4.7%
2019
1.8%
2018
-1.1%
2017
7.1%
2016
15.3%
2015
-7.4%
2014
2.1%
2013
15.3%
2012
15.0%
2011
-2.9%
2010
16.4%
2009
43.7%
2008
-23.5%
2007
7.4%
2006
17.2%
2005
14.7%
2004
18.8%
2003
36.2%
2002
2.6%
2001
22.6%
2000
-2.4%
2026 is a partial year — 8 months so far.
S&P 500 regression on raw returns — Since inception (320 months)
Beta to S&P 500 (raw returns)
0.24
Annualised alpha, RAW returns (no risk-free deducted)
6.5%
R-squared (raw returns)
0.32
Correlation to S&P 500
0.56
S&P 500 regression on excess returns — Since inception (320 months)
Beta to S&P 500 (excess returns)
0.24
Jensen's alpha, annualised (excess of risk-free on both sides)
4.9%
R-squared (excess returns)
0.32
S&P 500 regression on raw returns — Trailing 36 months (36 months)
Beta to S&P 500 (raw returns)
0.17
Annualised alpha, RAW returns (no risk-free deducted)
Jensen's alpha, annualised (excess of risk-free on both sides)
2.1%
R-squared (excess returns)
0.50
Two regression bases are shown and they are not interchangeable. The raw-return alpha is an intercept with no risk-free rate deducted from either side, so it still contains the cash return. Jensen's alpha is computed on excess returns and removes it. Each alpha is shown with the beta and R-squared from its own regression.
Behaviour versus the S&P 500 Total Return — Since inception (320 months)
Upside capture
41.1%
Downside capture
11.8%
Falling benchmark months in the window
113
Mean return in the benchmark's worst 10 months
-2.9%
Benchmark mean in those same 10 months
-10.4%
Behaviour versus the S&P 500 Total Return — Trailing 36 months (36 months)
Upside capture
32.6%
Downside capture
4.7%
Falling benchmark months in the window
12
Mean return in the benchmark's worst 10 months
-0.0%
Benchmark mean in those same 10 months
-2.8%
Construction
Weighting
Asset-weighted. An equal-weighted variant is published separately.
Eligibility
Minimum 18-month track record and $50mm AUM, assessed 1 January.
Constituent locking
Determined annually, at the end of each calendar year.
Rebalancing
Monthly.
Returns basis
Net of all fees, in USD.
Performance figures as of August 2026, published by PivotalPath. Returns are monthly, net of all fees, in USD. Past performance does not predict future returns.