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PivotalPath Managed Futures: Non-Trend Index
The PivotalPath Managed Futures: Non-Trend Index is an equal weighted index of funds that typically trade volatility, mean reversion and other non-trend strategies to determine whether to invest long or short in futures contracts across metals, grains, equity indices and soft commodities, as well as foreign currency and U.S. government bond futures. The Index tracks the monthly performance, net of fees in USD, of its constituents and is representative 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.
Download the full monthly series — free with a registered account.
PivotalPath Managed Futures: Non-Trend Index as of August 2026.
Performance
Summary statistics since inception
| Annualised return | 6.7% |
|---|---|
| Annualised volatility | 7.2% |
| Sharpe ratio (excess of risk-free) | 0.67 |
| Return / volatility (not a Sharpe ratio) | 0.93 |
| Maximum drawdown | -13.3% |
| Positive months | 57.2% |
| Best month | 8.0% |
| Worst month | -5.3% |
Trailing returns — ANNUALISED (periods over one year)
| 2 years, annualised | 5.4% |
|---|---|
| 3 years, annualised | 2.9% |
| 5 years, annualised | 2.2% |
| 10 years, annualised | 1.0% |
Cumulative returns — NOT annualised
| 1 year, cumulative | 14.2% |
|---|---|
| Year to date | 13.9% |
| Month to date | 3.6% |
| Since inception | 458.3% |
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 | -0.12 | -0.12 | -0.18 | -0.18 |
| Alpha, annualised | 8.1% | 5.8% | 6.9% | 1.4% |
| R-squared | 0.07 | 0.07 | 0.14 | 0.14 |
| Correlation | -0.26 | — | -0.38 | — |
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 | 9.2% |
|---|---|
| Downside capture | -27.1% |
| Falling benchmark months | 113 |
| Mean return, benchmark’s worst 10 | 1.9% |
| Benchmark mean, same 10 months | -10.4% |
Capture — trailing 36 months
| Upside capture | -0.6% |
|---|---|
| Downside capture | -34.0% |
| Falling benchmark months | 12 |
| Mean return, benchmark’s worst 10 | 1.0% |
| 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) | 3.1% |
|---|---|
| Q2 2026 | -0.7% |
| Q1 2026 | 11.2% |
| Q4 2025 | -0.5% |
| Q3 2025 | 1.9% |
| Q2 2025 | -2.9% |
| Q1 2025 | -1.8% |
| Q4 2024 | 0.5% |
| Q3 2024 | -1.5% |
| Q2 2024 | -2.3% |
| Q1 2024 | 2.5% |
| Q4 2023 | -2.7% |
| Q3 2023 | 0.4% |
| Q2 2023 | 0.3% |
| Q1 2023 | -2.0% |
| Q4 2022 | -4.5% |
| Q3 2022 | 3.1% |
| Q2 2022 | 4.6% |
| Q1 2022 | 4.3% |
| Q4 2021 | 0.2% |
| Q3 2021 | -0.5% |
| Q2 2021 | 1.1% |
| Q1 2021 | 2.4% |
| Q4 2020 | 2.2% |
| Q3 2020 | -2.0% |
| Q2 2020 | -1.1% |
| Q1 2020 | 0.0% |
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) | 13.9% |
|---|---|
| 2025 | -3.4% |
| 2024 | -0.8% |
| 2023 | -4.0% |
| 2022 | 7.5% |
| 2021 | 3.2% |
| 2020 | -0.9% |
| 2019 | 3.9% |
| 2018 | 0.3% |
| 2017 | -4.2% |
| 2016 | 2.9% |
| 2015 | 2.9% |
| 2014 | 12.0% |
| 2013 | 4.4% |
| 2012 | -2.7% |
| 2011 | 2.5% |
| 2010 | 8.2% |
| 2009 | -2.0% |
| 2008 | 26.0% |
| 2007 | 23.3% |
| 2006 | 17.9% |
| 2005 | 4.9% |
| 2004 | 4.1% |
| 2003 | 3.8% |
| 2002 | 27.6% |
| 2001 | 14.2% |
| 2000 | 22.8% |
27 years, since 2000. 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.