The PivotalPath Equity Sector Hedge Fund Index is an asset weighted index of strategies trading primarily in equity markets across multiple sectors. The Index is asset weighted by six sector specific sub-strategies (Consumer/Retail, Energy/Utilities/Industrials, Financials, Healthcare, Real Estate, and TMT) and tracks the monthly performance of funds, net of fees in USD, 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 Equity Sector Index has returned 13.0% annualised since January 2000, with 8.4% annualised volatility. Cumulatively, that is 2527.3% since January 2000. Its Sharpe ratio is 1.28 and its maximum drawdown -20.6%.
Summary statistics since inception (returns annualised)
Annualised return since inception
13.0%
Annualised volatility
8.4%
Sharpe ratio (excess of risk-free)
1.28
Return / volatility (not a Sharpe ratio)
1.55
Maximum drawdown
-20.6%
Positive months
73.8%
Best month
8.7%
Worst month
-7.2%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
21.1%
3 years, annualised
20.0%
5 years, annualised
9.0%
10 years, annualised
10.8%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
29.3%
Year to date, cumulative
13.7%
Month to date, cumulative
2.0%
Since inception, cumulative
2527.3%
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)
-2.2%
Q2 2026
16.5%
Q1 2026
-0.2%
Q4 2025
9.0%
Q3 2025
11.9%
Q2 2025
7.6%
Q1 2025
-5.1%
Q4 2024
2.7%
Q3 2024
4.4%
Q2 2024
-0.5%
Q1 2024
7.8%
Q4 2023
8.4%
Q3 2023
-1.6%
Q2 2023
4.5%
Q1 2023
3.1%
Q4 2022
2.7%
Q3 2022
-0.9%
Q2 2022
-8.8%
Q1 2022
-8.1%
Q4 2021
-2.4%
Q3 2021
-0.3%
Q2 2021
2.8%
Q1 2021
0.6%
Q4 2020
13.1%
Q3 2020
4.6%
Q2 2020
13.9%
Q1 2020
-7.3%
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)
13.7%
2025
24.5%
2024
14.9%
2023
15.0%
2022
-14.6%
2021
0.7%
2020
25.0%
2019
16.6%
2018
0.7%
2017
14.9%
2016
3.9%
2015
7.3%
2014
12.4%
2013
27.2%
2012
11.7%
2011
3.3%
2010
14.6%
2009
27.8%
2008
-15.9%
2007
16.2%
2006
19.5%
2005
15.3%
2004
10.8%
2003
21.3%
2002
1.8%
2001
23.9%
2000
57.6%
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)
0.40
Annualised alpha, RAW returns (no risk-free deducted)
9.4%
R-squared (raw returns)
0.52
Correlation to S&P 500
0.72
S&P 500 regression on excess returns — Since inception (320 months)
Beta to S&P 500 (excess returns)
0.40
Jensen's alpha, annualised (excess of risk-free on both sides)
8.1%
R-squared (excess returns)
0.53
S&P 500 regression on raw returns — Trailing 36 months (36 months)
Beta to S&P 500 (raw returns)
0.62
Annualised alpha, RAW returns (no risk-free deducted)
Jensen's alpha, annualised (excess of risk-free on both sides)
4.8%
R-squared (excess returns)
0.67
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
65.2%
Downside capture
24.0%
Falling benchmark months in the window
113
Mean return in the benchmark's worst 10 months
-3.6%
Benchmark mean in those same 10 months
-10.4%
Behaviour versus the S&P 500 Total Return — Trailing 36 months (36 months)
Upside capture
81.1%
Downside capture
53.8%
Falling benchmark months in the window
12
Mean return in the benchmark's worst 10 months
-1.2%
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.