The PivotalPath Equity Sector: Financials Hedge Fund Index is an equal weighted index which comprises funds that primarily invest in the financials 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:Financials Index has returned 12.0% annualised since January 2000, with 9.6% annualised volatility. Cumulatively, that is 1959.5% since January 2000. Its Sharpe ratio is 1.03 and its maximum drawdown -22.6%.
Summary statistics since inception (returns annualised)
Annualised return since inception
12.0%
Annualised volatility
9.6%
Sharpe ratio (excess of risk-free)
1.03
Return / volatility (not a Sharpe ratio)
1.25
Maximum drawdown
-22.6%
Positive months
70.9%
Best month
10.0%
Worst month
-17.2%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
12.7%
3 years, annualised
14.8%
5 years, annualised
8.6%
10 years, annualised
9.3%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
11.6%
Year to date, cumulative
6.8%
Month to date, cumulative
0.2%
Since inception, cumulative
1959.5%
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)
2.6%
Q2 2026
4.5%
Q1 2026
-0.4%
Q4 2025
4.9%
Q3 2025
4.6%
Q2 2025
3.6%
Q1 2025
-0.4%
Q4 2024
4.5%
Q3 2024
7.8%
Q2 2024
0.9%
Q1 2024
1.7%
Q4 2023
9.5%
Q3 2023
3.1%
Q2 2023
-0.7%
Q1 2023
-4.6%
Q4 2022
4.8%
Q3 2022
-0.1%
Q2 2022
-5.0%
Q1 2022
-0.6%
Q4 2021
1.7%
Q3 2021
2.4%
Q2 2021
3.0%
Q1 2021
11.5%
Q4 2020
20.2%
Q3 2020
2.1%
Q2 2020
8.4%
Q1 2020
-21.4%
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)
6.8%
2025
13.2%
2024
15.6%
2023
6.9%
2022
-1.2%
2021
19.6%
2020
4.5%
2019
16.5%
2018
-12.4%
2017
14.2%
2016
14.5%
2015
7.2%
2014
3.8%
2013
22.1%
2012
19.0%
2011
-4.8%
2010
9.6%
2009
31.9%
2008
-9.9%
2007
6.8%
2006
13.0%
2005
9.0%
2004
13.4%
2003
28.9%
2002
15.4%
2001
29.5%
2000
45.3%
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)
8.5%
R-squared (raw returns)
0.39
Correlation to S&P 500
0.62
S&P 500 regression on excess returns — Since inception (320 months)
Beta to S&P 500 (excess returns)
0.39
Jensen's alpha, annualised (excess of risk-free on both sides)
7.3%
R-squared (excess returns)
0.39
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)
4.2%
R-squared (excess returns)
0.34
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
60.5%
Downside capture
21.7%
Falling benchmark months in the window
113
Mean return in the benchmark's worst 10 months
-4.0%
Benchmark mean in those same 10 months
-10.4%
Behaviour versus the S&P 500 Total Return — Trailing 36 months (36 months)
Upside capture
55.8%
Downside capture
24.5%
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.