Indices › Alpha
Hedge fund research
Do hedge funds generate alpha?
The PivotalPath Composite Hedge Fund Index has produced an annualised Jensen’s alpha of 5.8% against the S&P 500 since January 2000, on a beta of 0.20. Every headline strategy index shows positive alpha over the period, ranging from 3.0% to 8.1%.
Composite against the S&P 500, as of August 2026.
Jensen’s alpha is the return in excess of what the index’s equity exposure alone would predict. It is calculated on excess returns — both the index and the market measured above the risk-free rate — which is the standard definition and the one used here.
Alpha by strategy
| Index | Jensen’s alpha | Beta | R² | Ann. return | Sharpe |
|---|---|---|---|---|---|
| Equity Sector | 8.1% | 0.40 | 0.53 | 13.0% | 1.28 |
| Volatility Trading | 7.0% | -0.06 | 0.04 | 8.4% | 1.28 |
| Managed Futures | 6.5% | -0.10 | 0.03 | 7.3% | 0.59 |
| Multi-Strategy | 6.1% | 0.13 | 0.24 | 9.1% | 1.65 |
| Global Macro | 5.8% | 0.02 | 0.00 | 7.9% | 0.98 |
| Composite | 5.8% | 0.20 | 0.39 | 9.3% | 1.48 |
| Credit | 5.6% | 0.17 | 0.28 | 8.9% | 1.38 |
| Event Driven | 5.1% | 0.30 | 0.44 | 9.3% | 1.05 |
| Equity Diversified | 5.0% | 0.37 | 0.65 | 9.7% | 1.09 |
| Equity Quant | 3.0% | 0.13 | 0.18 | 6.2% | 0.96 |
How to read these figures
Equity Sector shows the highest alpha at 8.1%, and Equity Quant the lowest at 3.0%. Each is shown with the beta and R-squared from its own regression, because an alpha quoted without them cannot be judged.