Efficient Capital examines how hindsight and survivorship biases distort manager selection in managed futures, leading investors to chase past winners and underestimate failure risks. Using 20 years of SocGen CTA Index data, the paper shows how return persistence is weaker than it appears and how high mortality rates compound the challenge of picking managers.
Blinded By Bias
Efficient Capital Management
Joel Handy, Lorent Meksi
Research
6 Pages
Key Takeaways
Hindsight trap: Portfolios of past “top” CTAs consistently underperformed the index forward-looking, showing return persistence is limited.
Survivorship risk: 61% of CTAs in the 2000 SocGen CTA Index are now defunct, highlighting high manager mortality.
Diversification need: Multi-manager CTA portfolios better mitigate performance collapse and mortality risk than single-manager bets.
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