The PivotalPath Equity Sector: Consumer/Retail Hedge Fund Index is an equal weighted index which comprises funds that primarily invest in the consumer and retail equity sector. 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 Equity Sector:Consumer / Retail Index has returned 7.6% annualised since January 2001, with 9.9% annualised volatility. Cumulatively, that is 551.2% since January 2001. Its Sharpe ratio is 0.61 and its maximum drawdown -19.2%.
Summary statistics since inception (returns annualised)
Annualised return since inception
7.6%
Annualised volatility
9.9%
Sharpe ratio (excess of risk-free)
0.61
Return / volatility (not a Sharpe ratio)
0.76
Maximum drawdown
-19.2%
Positive months
62.0%
Best month
18.3%
Worst month
-11.1%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
3.0%
3 years, annualised
4.2%
5 years, annualised
-0.7%
10 years, annualised
1.9%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
-7.4%
Year to date, cumulative
-3.6%
Month to date, cumulative
-0.2%
Since inception, cumulative
551.2%
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)
-4.9%
Q2 2026
10.0%
Q1 2026
-7.9%
Q4 2025
-3.7%
Q3 2025
2.2%
Q2 2025
9.8%
Q1 2025
-1.7%
Q4 2024
5.3%
Q3 2024
-0.5%
Q2 2024
2.0%
Q1 2024
3.6%
Q4 2023
-0.5%
Q3 2023
-0.0%
Q2 2023
1.6%
Q1 2023
3.3%
Q4 2022
0.0%
Q3 2022
-0.2%
Q2 2022
-7.2%
Q1 2022
-8.0%
Q4 2021
-3.6%
Q3 2021
-1.7%
Q2 2021
4.7%
Q1 2021
-3.4%
Q4 2020
4.9%
Q3 2020
3.3%
Q2 2020
2.9%
Q1 2020
2.1%
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)
-3.6%
2025
6.2%
2024
10.8%
2023
4.4%
2022
-14.8%
2021
-4.2%
2020
14.0%
2019
2.7%
2018
-3.9%
2017
12.2%
2016
-0.1%
2015
0.3%
2014
3.6%
2013
12.3%
2012
5.2%
2011
4.7%
2010
7.9%
2009
24.4%
2008
-5.3%
2007
-1.0%
2006
16.4%
2005
17.0%
2004
18.7%
2003
34.4%
2002
9.3%
2001
38.9%
2026 is a partial year — 8 months so far.
S&P 500 regression on raw returns — Since inception (308 months)
Beta to S&P 500 (raw returns)
0.30
Annualised alpha, RAW returns (no risk-free deducted)
4.9%
R-squared (raw returns)
0.21
Correlation to S&P 500
0.46
S&P 500 regression on excess returns — Since inception (308 months)
Beta to S&P 500 (excess returns)
0.30
Jensen's alpha, annualised (excess of risk-free on both sides)
3.6%
R-squared (excess returns)
0.21
S&P 500 regression on raw returns — Trailing 36 months (36 months)
Beta to S&P 500 (raw returns)
0.36
Annualised alpha, RAW returns (no risk-free deducted)
Jensen's alpha, annualised (excess of risk-free on both sides)
-5.5%
R-squared (excess returns)
0.36
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 (308 months)
Upside capture
47.8%
Downside capture
28.3%
Falling benchmark months in the window
105
Mean return in the benchmark's worst 10 months
-1.2%
Benchmark mean in those same 10 months
-10.4%
Behaviour versus the S&P 500 Total Return — Trailing 36 months (36 months)
Upside capture
27.2%
Downside capture
38.5%
Falling benchmark months in the window
12
Mean return in the benchmark's worst 10 months
-0.8%
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.