Schonfeld, Balyasny, ExodusPoint Lag as Multi-Strats Falter


Multi-Strat performance broadly has been stellar for years. In fact, the Index annualized return is > 7.5% between January 2019 and December 2022, generating a Sharpe Ratio >1.5 with most of the returns in the form of alpha relative (to the S&P 500). This performance is even more impressive in the context of historically low interest rates. YTD however, performance remains positive and uncorrelated to traditional markets, but less impressive relative to a significantly higher risk-free rate.

As Jon Caplis shares with Hema Parmar and Kathy Burton of Bloomberg, the PivotalPath Multi-Strategy Index (P2MSTI) — which includes a broad array of multi-strategy firms — has posted an annualized return of 7.4% since January 2019. This year, it’s up an estimated 3.9% through August.

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