Indices › Global Macro › Risk Premia
PivotalPath iGBMRPM
The PivotalPath Global Macro: Risk Premia Hedge Fund Index is an equal weighted index which comprises funds that target absolute returns through long and short positions across various factors and asset classes in the global market landscape. The Index tracks the monthly performance, net of fees in USD, of its constituents 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.
— free with a registered account.
PivotalPath Global Macro: Risk Premia Index as of August 2026.
| Annualised return | 8.1% |
|---|---|
| Annualised volatility | 10.2% |
| Sharpe ratio (excess of risk-free) | 0.68 |
| Return / volatility (not a Sharpe ratio) | 0.80 |
| Maximum drawdown | -24.5% |
| Positive months | 63.8% |
| Best month | 9.8% |
| Worst month | -13.9% |
| 2 years, annualised | 10.8% |
|---|---|
| 3 years, annualised | 10.8% |
| 5 years, annualised | 8.9% |
| 10 years, annualised | 4.9% |
| 1 year, cumulative | 15.4% |
|---|---|
| Year to date | 11.5% |
| Month to date | 1.6% |
| Since inception | 331.3% |
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 | 0.34 | 0.34 | -0.00 | -0.00 |
| Alpha, annualised | 4.3% | 3.4% | 11.0% | 6.2% |
| R-squared | 0.28 | 0.28 | 0.00 | 0.00 |
| Correlation | 0.53 | — | -0.01 | — |
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 | 44.1% |
|---|---|
| Downside capture | 24.8% |
| Falling benchmark months | 74 |
| Mean return, benchmark’s worst 10 | -4.3% |
| Benchmark mean, same 10 months | -10.1% |
| Upside capture | 25.1% |
|---|---|
| Downside capture | -31.1% |
| Falling benchmark months | 12 |
| Mean return, benchmark’s worst 10 | 0.9% |
| Benchmark mean, same 10 months | -2.8% |
Do hedge funds protect on the downside? →
| Q3 2026 (partial) | 3.8% |
|---|---|
| Q2 2026 | 1.6% |
| Q1 2026 | 5.7% |
| Q4 2025 | 1.7% |
| Q3 2025 | 4.1% |
| Q2 2025 | -1.6% |
| Q1 2025 | 4.7% |
| Q4 2024 | 0.9% |
| Q3 2024 | -0.4% |
| Q2 2024 | 1.1% |
| Q1 2024 | 8.1% |
| Q4 2023 | -0.2% |
| Q3 2023 | 4.6% |
| Q2 2023 | 2.1% |
| Q1 2023 | 1.4% |
| Q4 2022 | 2.1% |
| Q3 2022 | -0.6% |
| Q2 2022 | 0.8% |
| Q1 2022 | 1.8% |
| Q4 2021 | 2.4% |
| Q3 2021 | 1.0% |
| Q2 2021 | 4.0% |
| Q1 2021 | 4.6% |
| Q4 2020 | 1.7% |
| Q3 2020 | 0.7% |
| Q2 2020 | -1.2% |
| Q1 2020 | -12.3% |
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) | 11.5% |
|---|---|
| 2025 | 9.1% |
| 2024 | 9.9% |
| 2023 | 8.1% |
| 2022 | 4.2% |
| 2021 | 12.5% |
| 2020 | -11.3% |
| 2019 | 8.1% |
| 2018 | -9.0% |
| 2017 | 10.5% |
| 2016 | 6.4% |
| 2015 | -1.2% |
| 2014 | 12.3% |
| 2013 | 6.8% |
| 2012 | 17.5% |
| 2011 | 13.0% |
| 2010 | 45.0% |
| 2009 | 26.0% |
| 2008 | -13.7% |
19 years, since 2008. Scroll for the full series.
The most recent year shown is partial. Cumulative within each year, net of fees, in USD.