A Trend Following Deep Dive: The Dynamics of Dispersion

Man Group

Research

13 Pages

Man AHL investigates why performance dispersion among trend-following CTAs remains wide despite similar strategies. Using 20 model portfolios spanning variations in speed, carry, market universe, and allocation, the study shows that even small design differences can meaningfully alter outcomes, especially during periods of market stress.

Source: HFR, Inc., WithIntelligence, Bloomberg, Man Group Database. Date range: Jan 2000 – Dec 2024.

Key Takeaways

Structural variation: Differences in speed, market set, and carry explain most of the 10–20% annual spread among SG Trend Index constituents.
Crisis performance: Faster and alternative-market-focused systems generated stronger returns during crises like 2008 and 2022.
Diversification insight: Including alternative assets and balanced allocation improves long-term Sharpe ratios while maintaining “crisis alpha.”
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