How did hedge funds perform in 2020?

The PivotalPath Composite Hedge Fund Index returned 11.4% in 2020. Equity Sector leads at 25.0%; Equity Quant is weakest at -4.6%.

2020 returns by strategy

2020 calendar-year returns are cumulative within the year, not annualised, and are therefore not comparable figure-for-figure with the annualised columns beside them.
Index	2020	3y ann.	5y ann.	Volatility	Correlation to S&P
Equity Sector	25.0%	20.0%	9.0%	8.4%	0.72
Event Driven	16.1%	11.4%	6.6%	6.9%	0.66
Equity Diversified	13.4%	13.6%	7.8%	7.0%	0.81
Multi-Strategy	12.9%	10.3%	7.5%	4.2%	0.48
Composite	11.4%	11.0%	7.2%	4.8%	0.62
Volatility Trading	9.9%	3.7%	4.4%	5.0%	-0.20
Credit	5.4%	8.4%	6.5%	4.9%	0.52
Global Macro	4.9%	7.6%	7.0%	5.9%	0.04
Managed Futures	1.2%	3.2%	4.7%	9.3%	-0.16
Equity Quant	-4.6%	10.7%	9.5%	4.5%	0.42
S&P 500 Total Return	18.4%	—	—	—	—

What happened

The S&P 500 total return was 18.4% over the same period, so the Composite finished behind the market. The spread between the strongest and weakest strategy was 29.6% — which is the figure an allocator selecting between them is exposed to.

A single calendar year is a short window and says little about a strategy’s long-run behaviour. The since-inception figures are on each index page.

Returns by year, every year

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.