Indices › Downside protection
Hedge fund research
On the evidence, yes. Across the 113 months in which the S&P 500 fell between January 2000 and August 2026, the PivotalPath Composite Hedge Fund Index captured just 5.9% of the decline — while capturing 39.3% of the market’s gains in rising months. In the ten worst months for the S&P 500, the Composite averaged -1.9% against the market’s -10.4%.
Composite against the S&P 500, as of August 2026.
Downside capture measures how much of the market’s loss an index absorbs in months the market falls. A figure below 100% means less than the market; a negative figure means the index gained on average while the market fell.
| Index | Downside capture | Upside capture | Falling months | Mean in worst 10 |
|---|---|---|---|---|
| Volatility Trading | -27.0% | 15.3% | 113 | 1.1% |
| Managed Futures | -18.2% | 17.9% | 113 | 2.8% |
| Global Macro | -11.6% | 23.2% | 113 | 0.5% |
| Multi-Strategy | -4.2% | 32.1% | 113 | -1.5% |
| Equity Quant | -0.6% | 23.2% | 91 | -1.8% |
| Credit | 0.1% | 34.1% | 113 | -2.4% |
| Composite | 5.9% | 39.3% | 113 | -1.9% |
| Event Driven | 17.0% | 46.8% | 113 | -2.9% |
| Equity Sector | 24.0% | 65.2% | 113 | -3.6% |
| Equity Diversified | 26.9% | 54.8% | 113 | -3.4% |
Volatility Trading, Managed Futures, Global Macro, Multi-Strategy and Equity Quant have a negative downside capture, meaning that on average they rose in the months the S&P 500 fell.