The PivotalPath Event Driven Hedge Fund Index is an asset weighted index of strategies seeking to exploit pricing inefficiencies that may occur before or after a corporate event. The index is asset weighted by three sub-strategies (equity special situations, merger arbitrage, & multi-event) and tracks the monthly performance, net of fees in USD, of funds 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 Event Driven Index has returned 9.3% annualised since January 2000, with 6.9% annualised volatility. Cumulatively, that is 961.5% since January 2000. Its Sharpe ratio is 1.05 and its maximum drawdown -21.2%.
Summary statistics since inception (returns annualised)
Annualised return since inception
9.3%
Annualised volatility
6.9%
Sharpe ratio (excess of risk-free)
1.05
Return / volatility (not a Sharpe ratio)
1.35
Maximum drawdown
-21.2%
Positive months
70.9%
Best month
7.2%
Worst month
-10.0%
Trailing returns — ANNUALISED (periods over one year)
2 years, annualised
12.1%
3 years, annualised
11.4%
5 years, annualised
6.6%
10 years, annualised
7.8%
Cumulative returns — NOT annualised (one year and shorter, plus since inception)
1 year, cumulative
11.1%
Year to date, cumulative
6.9%
Month to date, cumulative
0.2%
Since inception, cumulative
961.5%
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)
-1.2%
Q2 2026
8.4%
Q1 2026
-0.2%
Q4 2025
2.3%
Q3 2025
4.8%
Q2 2025
6.5%
Q1 2025
-0.8%
Q4 2024
2.3%
Q3 2024
3.8%
Q2 2024
0.7%
Q1 2024
3.4%
Q4 2023
3.8%
Q3 2023
1.4%
Q2 2023
0.5%
Q1 2023
1.3%
Q4 2022
2.8%
Q3 2022
-0.5%
Q2 2022
-6.2%
Q1 2022
-1.3%
Q4 2021
0.7%
Q3 2021
-0.1%
Q2 2021
3.7%
Q1 2021
5.9%
Q4 2020
14.3%
Q3 2020
4.4%
Q2 2020
10.1%
Q1 2020
-11.7%
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)
6.9%
2025
13.2%
2024
10.5%
2023
7.2%
2022
-5.3%
2021
10.5%
2020
16.1%
2019
10.1%
2018
-2.5%
2017
10.1%
2016
6.0%
2015
-1.6%
2014
3.9%
2013
18.2%
2012
12.3%
2011
-5.3%
2010
13.0%
2009
36.6%
2008
-20.2%
2007
18.4%
2006
15.1%
2005
7.9%
2004
20.5%
2003
32.4%
2002
0.2%
2001
14.3%
2000
14.4%
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)
0.30
Annualised alpha, RAW returns (no risk-free deducted)
6.6%
R-squared (raw returns)
0.44
Correlation to S&P 500
0.66
S&P 500 regression on excess returns — Since inception (320 months)
Beta to S&P 500 (excess returns)
0.30
Jensen's alpha, annualised (excess of risk-free on both sides)
5.1%
R-squared (excess returns)
0.44
S&P 500 regression on raw returns — Trailing 36 months (36 months)
Beta to S&P 500 (raw returns)
0.38
Annualised alpha, RAW returns (no risk-free deducted)
Jensen's alpha, annualised (excess of risk-free on both sides)
0.6%
R-squared (excess returns)
0.75
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
46.8%
Downside capture
17.0%
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
46.3%
Downside capture
28.6%
Falling benchmark months in the window
12
Mean return in the benchmark's worst 10 months
-0.7%
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.