Key Takeaways
- • The PivotalPath Managed Futures Index gained 14.34% year-to-date through September, the fourth-best performance for that period in 29 years and the second-best in 11 years.
- • Nearly all of the managed futures gain was alpha: 14.2 percentage points of the 14.34% return, meaning market beta contributed almost nothing, according to PivotalPath.
- • The PivotalPath Composite Index was essentially flat in September, while the S&P 500 fell 0.35% and U.S. Treasuries fell 2.24%.
- • The Equity Quant Index returned 5.43% in the third quarter, its best quarter in 24 years, and rose 3.68% in September; U.S. Long/Short Quant gained 6.55% in the month.
- • Relative Value strategies, which exclude directional exposures, lost 0.59% in the third quarter and 2.2% in September, while Equity Market Neutral lost 1.75% in the quarter, placing it in the bottom 3% of all quarters.
Summary
Hedge fund performance was uneven in September 2026, with systematic strategies posting strong results while several market-neutral and relative value approaches lagged. According to PivotalPath, the PivotalPath Composite Index was essentially flat for the month, even as the S&P 500 lost 0.35% and U.S. Treasuries lost 2.24%. Beneath that headline figure, the performance spread across strategies was wide.
The PivotalPath Managed Futures Index was the standout. It gained 4.29% in September and 14.34% year-to-date through the month, the fourth-best performance for that period in 29 years and the second-best in 11 years. PivotalPath attributed almost all of that return to alpha rather than market exposure: of the 14.34% gain, 14.2 percentage points were alpha, and market returns, or beta, had little to do with the year-to-date result.
Quantitative equity strategies also performed strongly. The Equity Quant Index gained 5.43% in the third quarter, its best quarter in 24 years, and rose 3.68% in September. The U.S. Long/Short Quant sub-index increased 6.55% in the month.
Losses were concentrated in strategies designed to limit directional risk. Equity Market Neutral lost 1.75% in the third quarter, placing it in the bottom 3% of all quarters. The Relative Value Index, which excludes long-biased and directional strategies and is therefore intended to be neutral to most factors, especially equities, lost 0.59% in the third quarter and 2.2% in September. The Equity Sector Index also declined, though the primary source's figure for that index was truncated.
Institutional Investor publishes a monthly subset of PivotalPath hedge fund indices, covering 12 indices across categories including credit, equity diversified, equity market neutral, global macro, and relative value. The full index table appears at the end of the original article. The PivotalPath data reflect an early look at monthly returns.
The PivotalPath Managed Futures Index was the standout. It gained 4.29% in September and 14.34% year-to-date through the month, the fourth-best performance for that period in 29 years and the second-best in 11 years. PivotalPath attributed almost all of that return to alpha rather than market exposure: of the 14.34% gain, 14.2 percentage points were alpha, and market returns, or beta, had little to do with the year-to-date result.
Quantitative equity strategies also performed strongly. The Equity Quant Index gained 5.43% in the third quarter, its best quarter in 24 years, and rose 3.68% in September. The U.S. Long/Short Quant sub-index increased 6.55% in the month.
Losses were concentrated in strategies designed to limit directional risk. Equity Market Neutral lost 1.75% in the third quarter, placing it in the bottom 3% of all quarters. The Relative Value Index, which excludes long-biased and directional strategies and is therefore intended to be neutral to most factors, especially equities, lost 0.59% in the third quarter and 2.2% in September. The Equity Sector Index also declined, though the primary source's figure for that index was truncated.
Institutional Investor publishes a monthly subset of PivotalPath hedge fund indices, covering 12 indices across categories including credit, equity diversified, equity market neutral, global macro, and relative value. The full index table appears at the end of the original article. The PivotalPath data reflect an early look at monthly returns.
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