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PivotalPath Global Macro: Discretionary Index
The PivotalPath Global Macro: Discretionary Hedge Fund Index is an equal weighted index which comprises funds that construct portfolios at the asset-class level based on a top-level view of the global markets. 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: Discretionary Index as of August 2026.
Performance
Summary statistics since inception
| Annualised return | 9.6% |
|---|---|
| Annualised volatility | 5.5% |
| Sharpe ratio (excess of risk-free) | 1.38 |
| Return / volatility (not a Sharpe ratio) | 1.74 |
| Maximum drawdown | -11.6% |
| Positive months | 70.5% |
| Best month | 6.6% |
| Worst month | -4.5% |
Trailing returns — ANNUALISED (periods over one year)
| 2 years, annualised | 12.5% |
|---|---|
| 3 years, annualised | 9.9% |
| 5 years, annualised | 7.6% |
| 10 years, annualised | 5.7% |
Cumulative returns — NOT annualised
| 1 year, cumulative | 10.0% |
|---|---|
| Year to date | 4.0% |
| Month to date | 1.4% |
| Since inception | 963.5% |
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.
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 | 0.08 | 0.08 | 0.11 | 0.11 |
| Alpha, annualised | 9.0% | 7.2% | 7.7% | 3.5% |
| R-squared | 0.04 | 0.04 | 0.07 | 0.07 |
| Correlation | 0.21 | — | 0.27 | — |
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 | 30.1% |
|---|---|
| Downside capture | -10.6% |
| Falling benchmark months | 105 |
| Mean return, benchmark’s worst 10 | -0.6% |
| Benchmark mean, same 10 months | -10.4% |
Capture — trailing 36 months
| Upside capture | 31.5% |
|---|---|
| Downside capture | -2.5% |
| Falling benchmark months | 12 |
| Mean return, benchmark’s worst 10 | 0.0% |
| 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) | 0.2% |
|---|---|
| Q2 2026 | 2.4% |
| Q1 2026 | 1.4% |
| Q4 2025 | 3.5% |
| Q3 2025 | 3.6% |
| Q2 2025 | 4.5% |
| Q1 2025 | 4.3% |
| Q4 2024 | 2.7% |
| Q3 2024 | 2.0% |
| Q2 2024 | -0.4% |
| Q1 2024 | 1.7% |
| Q4 2023 | 1.6% |
| Q3 2023 | 0.7% |
| Q2 2023 | 1.2% |
| Q1 2023 | -2.8% |
| Q4 2022 | -0.0% |
| Q3 2022 | 3.3% |
| Q2 2022 | 0.2% |
| Q1 2022 | 6.8% |
| Q4 2021 | 0.1% |
| Q3 2021 | -0.1% |
| Q2 2021 | 1.1% |
| Q1 2021 | 1.6% |
| Q4 2020 | 6.5% |
| Q3 2020 | 2.7% |
| Q2 2020 | 6.1% |
| Q1 2020 | -1.5% |
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) | 4.0% |
|---|---|
| 2025 | 16.9% |
| 2024 | 6.1% |
| 2023 | 0.6% |
| 2022 | 10.4% |
| 2021 | 2.8% |
| 2020 | 14.3% |
| 2019 | 4.8% |
| 2018 | -3.2% |
| 2017 | -4.2% |
| 2016 | 8.5% |
| 2015 | 4.1% |
| 2014 | 5.7% |
| 2013 | 10.3% |
| 2012 | 6.8% |
| 2011 | 4.9% |
| 2010 | 12.6% |
| 2009 | 29.7% |
| 2008 | -5.8% |
| 2007 | 29.7% |
| 2006 | 10.0% |
| 2005 | 13.9% |
| 2004 | 11.6% |
| 2003 | 25.5% |
| 2002 | 16.2% |
| 2001 | 21.2% |
26 years, since 2001. 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.