Executive summary
Key takeaways
- DCR places a portfolio’s return between the report’s lower and upper peer-percentile return endpoints.
- The width of that range matters: identical relative positions can correspond to different percentage-point differences.
- The measure complements absolute returns, policy benchmarks, and peer rankings; it does not identify causation.
- Comparability requires consistent periods, return conventions, risk context, and relevant peer definitions.
01
Another lens on portfolio outcomes
A peer rank describes ordering, while a benchmark comparison describes a return difference. Brad Alford’s April 2026 paper proposes the Dispersion Capture Ratio, or DCR, to describe a portfolio’s position within the observed 5th-to-95th-percentile peer return range.
For committees reviewing an OCIO relationship, DCR can add context to the existing performance discussion. It should remain connected to the institution’s own policy benchmark, risk tolerance, cash flows, and investment objectives.
02
How the measure works
The source formula is DCR = (portfolio return − 95th-percentile return) ÷ (5th-percentile return − 95th-percentile return). In its percentile convention, the 5th percentile is the higher-return endpoint and the 95th percentile is the lower-return endpoint.
A result of 0.60 places the portfolio 60% of the way from the lower return to the upper return. A portfolio at the lower endpoint has a value of zero; one at the upper endpoint has a value of one. Returns outside those endpoints can produce values below zero or above one unless a calculation explicitly clips them. Equal endpoints make the ratio undefined.
03
Read relative position together with dispersion
A ratio is dimensionless. Its economic context depends on the width of the return range. The paper’s illustrative nine-percentage-point spread and DCR of 0.60 imply 5.4 points above the lower endpoint and 3.6 points below the upper endpoint.
Multiplying that remaining 3.6-point difference by a $500 million portfolio gives $18 million in a simplified single-period illustration. It is not a loss relative to the institution’s policy benchmark or proof of an attainable alternative return.
04
A descriptive measure, with clear limits
The upper peer endpoint is an observed outcome, not a target that every institution can or should achieve. Allocation, risk, leverage, manager exposure, fees, valuation timing, and cash flows can differ even within a peer group.
DCR does not isolate implementation skill or tell a committee whether an OCIO caused the result. Used with comparable periods and appropriate peer definitions, it can support an informed discussion of outcomes and the questions that deserve further examination.