Why Multi-Manager?
Multi-manager portfolios have historically provided diversification across strategies, time frames, sectors, and markets.
Please refer to the charts and graphs below.
Multi-manager portfolios have historically provided...
Diversification across strategies, time frames, sectors, and markets
A more stable return experience
Higher return expectations
Higher probability of profiting when equities fall (crisis alpha)
Past results are not necessarily indicative of future results. There can be no assurance that an account or fund will earn any profits at all or will be able to avoid incurring substantial losses. Please refer to the charts and graphs below.
Individual manager returns differ greatly
Historically individual managers make different strategy choices which lead to meaningfully different returns.
SG CTA Index • Range of Annual Returns past 10 years Jan 2015 – Dec 2024 (Top vs. Bottom Index Manager)
Data Source: Efficient Capital Management, LLC data from Societe Generale and Backstop/BarclayHedge for the SG CTA index constituents. Data as of Dec 2024.
Past performance is not necessarily indicative of future results.
For more information, please reference index definitions and disclosures.
Diversification may improve expected returns
Within the Managed Futures space, diversification has been shown to increase a portfolio’s expected return.
Annual Return Improvement • Jan 2005 – Dec 2024
Data Source: Backstop/BarclayHedge | Efficient Capital Management® LLC | Data as of Dec 2024.
Past performance is not necessarily indicative of future results.
For more information, please reference index definitions and disclosures.
There are no consistent winners
An individual manager’s return ranking fluctuates dramatically from year-to-year compared with a broader portfolio.
SG Trend Index Constituents Ranked by Annual Return • Jan 2000– Dec 2024
Click to enlarge chart.
Data Source: Efficient Capital Management, LLC data from Societe Generale and Backstop/BarclayHedge for the SG Trend Index constituents. Data as of Dec 2024.
Past performance is not necessarily indicative of future results. For more information, please reference index definitions and disclosures.
Resources
Blinded By Bias | Challenges in Managed Futures Manager Selection
Manager selection in managed futures is difficult because "past performance is not indicative of future results." We demonstrate that backtested CTA portfolios with hindsight bias do not perform as well in the future as they did in the past.
CTA Crisis Alpha | A Silver Lining for Turbulent Markets
Crisis alpha is one of the key reasons for investing in CTAs. We show that a diversified multi-manager approach is essential to insure capturing crisis alpha.
The Value of Diversification in CTA Investments
Dispersion between CTAs is high with no predictability or persistence of peak performers or relative rankings. Diversified CTA portfolios have higher stability and reduce idiosyncratic manager risk.