Alternative risk premia managers are struggling to make sense of a year from their nightmares – a period that has exposed big differences between funds, even though they carry similar labels and employ the same well-known rules-based strategies.

Portfolios across the sector have shed nearly 5% on average since January through a series of month-on-month convulsions – the Vix blowup in February, a value-stocks slide in the early summer, emerging market turmoil in August, and market reversals in