This paper explores managed futures rankings and performance dispersion, focusing on how strategies and managers compare across cycles. It highlights that a small subset of managers drive a disproportionate share of returns, with persistence that challenges randomness and suggests manager selection may meaningfully influence outcomes.
Semi-Annual Managed Futures Rankings
RCM Alternatives
Research
16 Pages
Key Takeaways
Performance Dispersion Matters: Top quartile managers outperform bottom quartile peers by over 10% annually, highlighting wide return gaps across strategies and time periods.
Persistence In Returns: Roughly 30% of top-performing managers remain in the top quartile in subsequent periods, exceeding what random distribution would typically imply.
Concentration Of Alpha: A small group, less than 20% of managers, accounts for the majority of excess returns, suggesting alpha is not evenly distributed.
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