Indices › Event Driven
PivotalPath iEVD · Bloomberg P2EVDI
The PivotalPath Event Driven Hedge Fund Index is an asset weighted index of strategies seeking to exploit pricing inefficiencies that may occur before or after a corporate event. The index is asset weighted by three sub-strategies (equity special situations, merger arbitrage, & multi-event) and tracks the monthly performance, net of fees in USD, 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.
PivotalPath Event Driven Index as of August 2026.
| Annualised return | 9.3% |
|---|---|
| Annualised volatility | 6.9% |
| Sharpe ratio (excess of risk-free) | 1.05 |
| Return / volatility (not a Sharpe ratio) | 1.35 |
| Maximum drawdown | -21.2% |
| Positive months | 70.9% |
| Best month | 7.2% |
| Worst month | -10.0% |
| 2 years, annualised | 12.0% |
|---|---|
| 3 years, annualised | 11.4% |
| 5 years, annualised | 6.6% |
| 10 years, annualised | 7.8% |
| 1 year, cumulative | 11.0% |
|---|---|
| Year to date | 6.9% |
| Month to date | 0.2% |
| Since inception | 960.9% |
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.
| Since inception | Trailing 36 months | |||
|---|---|---|---|---|
| Raw | Excess Jensen’s | Raw | Excess Jensen’s | |
| Beta to S&P 500 | 0.30 | 0.30 | 0.38 | 0.38 |
| Alpha, annualised | 6.6% | 5.1% | 3.4% | 0.6% |
| R-squared | 0.44 | 0.44 | 0.75 | 0.75 |
| Correlation | 0.66 | — | 0.87 | — |
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? →
| Upside capture | 46.8% |
|---|---|
| Downside capture | 17.0% |
| Falling benchmark months | 113 |
| Mean return, benchmark’s worst 10 | -2.9% |
| Benchmark mean, same 10 months | -10.4% |
| Upside capture | 46.2% |
|---|---|
| Downside capture | 28.6% |
| Falling benchmark months | 12 |
| Mean return, benchmark’s worst 10 | -0.7% |
| Benchmark mean, same 10 months | -2.8% |
Do hedge funds protect on the downside? →
| Q3 2026 (partial) | -1.2% |
|---|---|
| Q2 2026 | 8.4% |
| Q1 2026 | -0.2% |
| Q4 2025 | 2.3% |
| Q3 2025 | 4.8% |
| Q2 2025 | 6.5% |
| Q1 2025 | -0.8% |
| Q4 2024 | 2.3% |
| Q3 2024 | 3.8% |
| Q2 2024 | 0.7% |
| Q1 2024 | 3.4% |
| Q4 2023 | 3.8% |
| Q3 2023 | 1.4% |
| Q2 2023 | 0.5% |
| Q1 2023 | 1.3% |
| Q4 2022 | 2.8% |
| Q3 2022 | -0.5% |
| Q2 2022 | -6.2% |
| Q1 2022 | -1.3% |
| Q4 2021 | 0.7% |
| Q3 2021 | -0.1% |
| Q2 2021 | 3.7% |
| Q1 2021 | 5.9% |
| Q4 2020 | 14.3% |
| Q3 2020 | 4.4% |
| Q2 2020 | 10.1% |
| Q1 2020 | -11.7% |
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.
| 2026 (partial) | 6.9% |
|---|---|
| 2025 | 13.2% |
| 2024 | 10.5% |
| 2023 | 7.2% |
| 2022 | -5.3% |
| 2021 | 10.5% |
| 2020 | 16.1% |
| 2019 | 10.1% |
| 2018 | -2.5% |
| 2017 | 10.1% |
| 2016 | 6.0% |
| 2015 | -1.6% |
| 2014 | 3.9% |
| 2013 | 18.2% |
| 2012 | 12.3% |
| 2011 | -5.3% |
| 2010 | 13.0% |
| 2009 | 36.6% |
| 2008 | -20.2% |
| 2007 | 18.4% |
| 2006 | 15.1% |
| 2005 | 7.9% |
| 2004 | 20.5% |
| 2003 | 32.4% |
| 2002 | 0.2% |
| 2001 | 14.3% |
| 2000 | 14.4% |
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.