Some have argued that trend-followers and CTAs have increased in dispersion because of differences in how to implement their strategies and the markets used. The folks from CFM have developed with some simple charts to suggest that current dispersion is not out of the ordinary. We might be able to say that trend-following is becoming less diverse.
There is more sameness with managers which has implications on how many CTAs to hold and what to expect from your portfolio. If dispersion is down, then you need fewer managers in this strategy. If there is less dispersion, then there should be a greater focus on cost. Add value through cutting your fund manage expenses.
Will this continue? As we do more research on portfolio construction and disseminate the information, the same good practices will be past among managers. We should expect more sameness unless there is a new creative thinking.
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