PivotalPath has released their monthly report, the Pivotal Point Of View, which measures performance among more than 2,500 institutionally-relevant hedge funds and spanning $3T of industry assets.
Key Takeaways:
- The PivotalPath Composite Index was up 0.8% in July and +6.8% YTD. The Index continues to generate positive alpha of 5.8% relative to the S&P 500 (S&P) over the last 12 months, even as equity markets were mixed in July and are broadly positive for the year.
- The PivotalPath Equity Sector: Financials Index led all indices in July returning an impressive 9.6%. Its 12.3% return YTD now ranks top across all PivotalPath indices.
- The PivotalPath Global Macro: Commodities Index was July’s biggest loser, down -2.1%, as many managers missed out on the bearish twist in commodities. The index is now flat YTD at 0.5%.
- Volatility at the end of July disrupted PivotalPath’s Global Macro indices, Managed Futures labored after a positive start to 2024, while a number of stock picking strategies continued to show their worth during a choppy period.
- The CBOE Volatility Index (VIX), reversed its decline and ended the month at 16.36.
- Credit, Multi-Strat and Global Macro produced the highest Alpha during the 12-month rolling period through July 2024.
2024 Hedge Fund Performance
Strategy Highlights: Equity Indices continue to make its mark
- The Equity Index lead the way in July and YTD (+2.6% MTD, +10.3% YTD). It has annualized 16.2% over the past rolling 12 months, 2nd to only the Equity Quant Index at 15.8%.
- The top performing indices this year are the Equity Sector, Equity Quant and Equity Diversified, up 10.3%, 9.8% and 8.8% respectively. Alpha generation tells a different story as Credit, Multi-Strat and Global Macro produce the greatest Alpha on a rolling 12-month basis.
- The Managed Futures Index declined 1.7% in July following May and June’s similar decline. YTD through July, the Index is +4.9% and has fallen on the Alpha leaderboard.
- The Global Macro Index declined 0.4% in July with Commodities declining 2.1%, giving back most of its positive returns YTD.
Pivotal Context
The Backdrop: The Long-awaited rotation.
- Hedge funds were mostly positive in July alongside choppy markets that saw tech related AI declines and the appreciation of value accelerated. Economic data, supporting expected interest rate reductions, continue to be mixed.
- The S&P 500 gained 1.2% while the Russell 2000 gained 10.1% Narrowing the YTD gap between the two as the S&P 500 is up 16.7% while the Russell 2000 is up 11.2%. The NASDAQ fell 75 bps and is now +17.2% YTD.
- During July, the largest gainers were Biotech (IBB) 7.80%, Real Estate (XLRE) 7.24% and Financials (XLF) 6.40%. YTD however, MLPs (AMZX), Communications (XLC) and Finance (XLF) lead the indices, 18.44%, 18.07%, and 16.33%, respectively.
- The laggards YTD are Real Estate (XLRE and RMZ) 2.82% and 3.75%, followed by Consumer Discretionary(XLY) 4.85, Materials(XLB) 7.72% and Consumer Staples (XLP) 8.08%.
Read the full report here by PivotalPath
