The PivotalPath Credit: Structured & MBS Hedge Fund Index is an equal weighted index which comprises funds that focus on trading securities that are secured by a mortgage or a collection of mortgages as well as those that pool similar debt obligations and sell off the resulting cash flows. The Index tracks the monthly performance, net of 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:Structured & MBS Index has returned 11.4% annualised since January 2000, with 7.0% annualised volatility. Cumulatively, that is 1670.0% since January 2000. Its Sharpe ratio is 1.29 and its maximum drawdown -19.9%.
Summary statistics since inception (returns annualised)
Annualised return since inception
11.4%
Annualised volatility
7.0%
Sharpe ratio (excess of risk-free)
1.29
Return / volatility (not a Sharpe ratio)
1.62
Maximum drawdown
-19.9%
Positive months
83.1%
Best month
9.1%
Worst month
-18.6%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
6.8%
3 years, annualised
8.3%
5 years, annualised
6.2%
10 years, annualised
6.2%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
4.3%
Year to date, cumulative
2.9%
Month to date, cumulative
0.5%
Since inception, cumulative
1670.0%
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)
0.8%
Q2 2026
2.4%
Q1 2026
-0.4%
Q4 2025
1.1%
Q3 2025
1.9%
Q2 2025
2.1%
Q1 2025
2.0%
Q4 2024
2.6%
Q3 2024
2.5%
Q2 2024
2.4%
Q1 2024
3.5%
Q4 2023
2.9%
Q3 2023
3.2%
Q2 2023
2.0%
Q1 2023
0.4%
Q4 2022
0.8%
Q3 2022
-0.0%
Q2 2022
-2.3%
Q1 2022
0.3%
Q4 2021
1.6%
Q3 2021
2.0%
Q2 2021
2.8%
Q1 2021
4.5%
Q4 2020
5.8%
Q3 2020
4.4%
Q2 2020
10.2%
Q1 2020
-17.7%
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)
2.9%
2025
7.3%
2024
11.4%
2023
8.7%
2022
-1.2%
2021
11.3%
2020
0.1%
2019
3.9%
2018
4.5%
2017
10.5%
2016
7.1%
2015
2.0%
2014
10.6%
2013
11.8%
2012
21.5%
2011
10.3%
2010
29.8%
2009
56.6%
2008
-10.6%
2007
14.0%
2006
9.8%
2005
5.8%
2004
9.4%
2003
7.5%
2002
28.0%
2001
31.7%
2000
16.0%
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)
0.10
Annualised alpha, RAW returns (no risk-free deducted)
10.6%
R-squared (raw returns)
0.05
Correlation to S&P 500
0.22
S&P 500 regression on excess returns — Since inception (320 months)
Beta to S&P 500 (excess returns)
0.10
Jensen's alpha, annualised (excess of risk-free on both sides)
8.7%
R-squared (excess returns)
0.05
S&P 500 regression on raw returns — Trailing 36 months (36 months)
Beta to S&P 500 (raw returns)
0.08
Annualised alpha, RAW returns (no risk-free deducted)
Jensen's alpha, annualised (excess of risk-free on both sides)
2.3%
R-squared (excess returns)
0.44
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
35.0%
Downside capture
-13.5%
Falling benchmark months in the window
113
Mean return in the benchmark's worst 10 months
-1.8%
Benchmark mean in those same 10 months
-10.4%
Behaviour versus the S&P 500 Total Return — Trailing 36 months (36 months)
Upside capture
23.4%
Downside capture
-11.8%
Falling benchmark months in the window
12
Mean return in the benchmark's worst 10 months
0.3%
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.