Indices › Correlation
Hedge fund research
Yes, and the gap between the two windows is the finding. The PivotalPath Composite Hedge Fund Index correlates at 0.77 to the S&P 500 over the trailing ten years, against 0.62 since January 2000 — the market relationship has strengthened, not stayed fixed.
Correlation to the S&P 500, as of August 2026.
Managed Futures and Volatility Trading are the real diversifiers, at 0.03 and -0.39 correlation to the S&P 500 over the trailing ten years. Everything else shown below, including strategies sold as market-neutral, carries real equity beta.
| Window | Correlation | Months |
|---|---|---|
| Trailing 10 years | 0.77 | 120 |
| Since January 2000 | 0.62 | 320 |
36-month rolling correlation of the Composite to the S&P 500, 2002-12 to 2026-08. Correlation sat near zero through 2003, rose sharply across 2008, and has not returned to pre-crisis levels.
| Index | Corr. to S&P 500 | Corr. to Composite |
|---|---|---|
| Credit | 0.56 | 0.83 |
| Equity Diversified | 0.88 | 0.95 |
| Equity Market Neutral | 0.54 | 0.80 |
| Equity Quant | 0.41 | 0.34 |
| Equity Sector | 0.76 | 0.83 |
| Event Driven | 0.76 | 0.95 |
| Global Macro | 0.22 | 0.61 |
| Managed Futures | 0.03 | 0.29 |
| Multi-Strategy | 0.51 | 0.90 |
| RV | 0.51 | 0.87 |
| Volatility Trading | -0.39 | -0.31 |