Indices › Global Macro › Commodities
PivotalPath iGBMCOM
PivotalPath Global Macro: Commodities Index
The PivotalPath Global Macro: Commodities Hedge Fund Index is an equal weighted index which comprises funds that have a commodity-focused approach to global macro investing. 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.
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PivotalPath Global Macro: Commodities Index as of August 2026.
Performance
Summary statistics since inception
| Annualised return | 12.3% |
|---|---|
| Annualised volatility | 8.6% |
| Sharpe ratio (excess of risk-free) | 1.19 |
| Return / volatility (not a Sharpe ratio) | 1.43 |
| Maximum drawdown | -15.1% |
| Positive months | 66.9% |
| Best month | 11.9% |
| Worst month | -12.6% |
Trailing returns — ANNUALISED (periods over one year)
| 2 years, annualised | 3.1% |
|---|---|
| 3 years, annualised | 2.1% |
| 5 years, annualised | 7.0% |
| 10 years, annualised | 9.1% |
Cumulative returns — NOT annualised
| 1 year, cumulative | 5.6% |
|---|---|
| Year to date | 1.1% |
| Month to date | 2.4% |
| Since inception | 997.8% |
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.
Behaviour against the S&P 500
Regression against the S&P 500
| Since inception | Trailing 36 months | |||
|---|---|---|---|---|
| Raw | Excess Jensen’s |
Raw | Excess Jensen’s |
|
| Beta to S&P 500 | 0.01 | 0.01 | 0.03 | 0.03 |
| Alpha, annualised | 12.6% | 10.7% | 1.5% | -2.7% |
| R-squared | 0.00 | 0.00 | 0.01 | 0.01 |
| Correlation | 0.02 | — | 0.09 | — |
Raw regresses reported returns against the benchmark with nothing deducted. Excess subtracts the risk-free rate from both sides first, which is what makes its intercept Jensen’s alpha. The raw intercept still contains the cash return, so it overstates skill by roughly the risk-free rate times (1 − beta).
Are hedge funds correlated? → · Do hedge funds generate alpha? →
Capture — since inception
| Upside capture | 35.5% |
|---|---|
| Downside capture | -16.7% |
| Falling benchmark months | 80 |
| Mean return, benchmark’s worst 10 | 4.0% |
| Benchmark mean, same 10 months | -10.1% |
Capture — trailing 36 months
| Upside capture | 7.7% |
|---|---|
| Downside capture | 0.8% |
| Falling benchmark months | 12 |
| Mean return, benchmark’s worst 10 | 0.1% |
| Benchmark mean, same 10 months | -2.8% |
Do hedge funds protect on the downside? →
Returns by period
Quarterly returns · 2020 to present
| Q3 2026 (partial) | 3.0% |
|---|---|
| Q2 2026 | -0.6% |
| Q1 2026 | -1.3% |
| Q4 2025 | 3.0% |
| Q3 2025 | 1.5% |
| Q2 2025 | -0.4% |
| Q1 2025 | -0.7% |
| Q4 2024 | 2.0% |
| Q3 2024 | -2.4% |
| Q2 2024 | -1.2% |
| Q1 2024 | 3.5% |
| Q4 2023 | -0.6% |
| Q3 2023 | 4.0% |
| Q2 2023 | -2.2% |
| Q1 2023 | 0.9% |
| Q4 2022 | 3.6% |
| Q3 2022 | -2.0% |
| Q2 2022 | 3.5% |
| Q1 2022 | 10.3% |
| Q4 2021 | 7.4% |
| Q3 2021 | 5.9% |
| Q2 2021 | 8.7% |
| Q1 2021 | 2.9% |
| Q4 2020 | 3.3% |
| Q3 2020 | 3.6% |
| Q2 2020 | 9.2% |
| Q1 2020 | 10.8% |
27 quarters, 2020 to present. Scroll for the full series.
The most recent quarter shown is partial. Cumulative within each quarter, net of fees, in USD.
Calendar-year returns · since inception
| 2026 (partial) | 1.1% |
|---|---|
| 2025 | 3.3% |
| 2024 | 1.8% |
| 2023 | 2.0% |
| 2022 | 15.9% |
| 2021 | 27.3% |
| 2020 | 29.4% |
| 2019 | 10.1% |
| 2018 | 8.0% |
| 2017 | -6.1% |
| 2016 | 10.3% |
| 2015 | -1.0% |
| 2014 | 14.9% |
| 2013 | 11.1% |
| 2012 | 10.8% |
| 2011 | 9.2% |
| 2010 | 22.0% |
| 2009 | 34.0% |
| 2008 | 6.4% |
| 2007 | 20.4% |
| 2006 | 34.4% |
21 years, since 2006. Scroll for the full series.
The most recent year shown is partial. Cumulative within each year, net of fees, in USD.
Construction
- Weighting
- Asset-weighted. An equal-weighted variant is published separately.
- Eligibility
- Minimum 18-month track record and $50mm AUM, assessed at constituent locking.
- Constituent locking
- Determined annually, at the end of each calendar year.
- Rebalancing
- Monthly.
- Returns basis
- Net of all fees, in USD.