Yup. Incidentally this is exactly the same effect that makes model selection within a portfolio challenging. Two worthwhile reads on that front: the multiple comparison problem [1] and regression towards the mean [2].

Regardless of your objective - hosting a contest like this or allocating to individual institutions and strategies - you'll always face this problem. Good allocation decisions are tactical, taking both the logic of the strategy and the broader portfolio into account. Bad allocation decisions chase returns.

[1] https://en.wikipedia.org/wiki/Multiple_comparisons_problem

[2] https://en.wikipedia.org/wiki/Regression_toward_the_mean