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Indices

PivotalPath Hedge Fund Indices

Rules-based hedge fund indices, covering every major hedge fund strategy, calculated monthly, net of fees, in USD. Constituents need an 18-month minimum track record and $50 million minimum AUM, assessed each 1 January and fixed for the year.

Read the methodology  ·  Download the data — free, CC BY 4.0

9.3%
Annualised return
4.8%
Annualised volatility
1.48
Sharpe ratio
0.62
Correlation to S&P 500

Composite figures as of August 2026.

Performance statistics

Full performance statistics, construction detail, calendar-year and quarterly returns for all indices.

Monthly return history

Complete monthly history for the headline indices is free to download and redistribute under a Creative Commons licence.

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Common questions

Answered from the published index data.

Do hedge funds generate alpha?

  • Composite Jensen’s alpha 5.8% annualised
  • On a beta of 0.20
  • Published with beta and R² alongside
Do hedge funds generate alpha?

Are hedge funds correlated?

  • Composite correlation to the S&P 500 is 0.62
  • Range across strategies: -0.26 to 0.85
Are hedge funds correlated?

Do they protect on the downside?

  • Composite captured 5.9% of the market’s decline
  • Across 113 falling months since January 2000
Do they protect on the downside?

How have hedge funds performed?

  • Composite has returned 9.3% annualised since January 2000
How have hedge funds performed?

How are hedge funds doing in 2026?

  • Composite is up 7.1% year to date, through August 2026
How are hedge funds doing in 2026?

What did hedge funds return each year?

  • Composite returned 12.0% in 2025, the most recent full year
What did hedge funds return each year?

Composite

  • CompositeiHFC9.3% ann. · 4.8% volBloomberg Ticker: P2HFCI
  • Composite EWiHFCEW9.9% ann. · 5.2% vol

Credit

Equity Diversified

Equity Market Neutral

Equity Quant

  • Equity QuantiQNT6.2% ann. · 4.5% volBloomberg Ticker: P2QNTI

Equity Sector

Event Driven

Global Macro

Managed Futures

Multi-Strategy

RV

  • RViRVI8.7% ann. · 3.4% volBloomberg Ticker: P2RVI

Volatility Trading

Returns are monthly, net of all fees, in USD. The complete return history is published free under a Creative Commons Attribution licence at github.com/pivotalpath/publicdata, and the full construction methodology — including the treatment of selection, survivorship and backfill bias — is in the index methodology. Past performance does not predict future returns.