In this paper we propose a copula-based technique to recover the distribution of actively managed funds. The copula is meant to represent the dependence structure between the market return (or in general the benchmark) and the investment strategy of the asset manager. The analysis is carried out in a rational investor economy with managed funds, such as that in Merton (1981) and Berk and Green (2004). The distribution of returns on any managed fund turns out to be represented by: i) a marginal distribution representing the asset management activity; ii) a copula function describing market timing activity.