The dispersion of returns across trend-following managed futures funds during the first quarter of 2020 reflected the broad-based volatility in investment markets. Dispersion in the second and third quarters was less pronounced but still notable. Given the range of outcomes during the year, the authors performed a 5-year review of return dispersion for a set of ten trend-following strategies to put 2020 into perspective. Analysis included:

  • Pairwise return dispersion by considering the theoretical implications of highly-correlated pairs of returns.
  • Cross-sectional measures of return dispersion to examine how returns varied across the set of managers.
The research also considered how returns across the group have varied over time, and reviewed drivers of differences in return including trend speed, asset allocation and market volatility.