Hedge Fund Performance In October 2022Guest Post
PivotalPath has released their monthly report, the Pivotal Point Of View, which measures performance among more than 2,500 institutionally-relevant hedge funds, as well as 40+ different hedge fund strategies and $2.5T in total industry assets.
In October, we saw a few important developments – such as the fact that hedge fund volatility remained below its 25-year average during a time when the S&P 500’s volatility is more than 50% above its 25-year average.
- The Composite’s (cumulative) spread above the S&P 500 fell to~16% YTD but is still the largest YTD outperformance since the 10-month period ending in June 2009.
- The PivotalPath Managed Futures Index continues to lead with larger funds outperforming smaller ones. Large funds typically need to deploy more capital to medium/long-term trend following, which has captured the 2022 environment extremely well. The larger funds have done well in 2022 due to these restrictions from their large capital base—while smaller funds, which often benefit from nimbleness, have been less successful.
- Dispersion of hedge fund performance remains the highest since the 2008-2009 Financial Crisis. The PivotalPath Composite Index dispersion between the 75th percentile and the 25th percentile through September is 21% compared to a ten-year annual average of 12%.