Battle of the Trend Following Indexes: February 2025

In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.

February 2025 Result

The clash of titans in February saw a broad retreat across the trend-following landscape. After a strong showing in prior months, February proved turbulent, with all indexes reporting negative returns. The Classic Trend Index, while still the long-term leader, faced its toughest month in a while, highlighting just how quickly tides can turn in systematic strategies.

Performance Highlights

February delivered a firm reminder that trend following isn’t immune to drawdowns. All indexes posted losses for the month, with the Classic Trend Index down -3.8%, its sharpest monthly drop in recent memory. The TTU Trend Following Index and SG Trend Index also struggled, each shedding over 3%.

Here’s how each index performed in February:

Classic Trend Index: Fell by -3.8%, but still stands tall over the long term with a CAGR of 16.3%, a Sharpe of 1.04, and a towering Sortino of 2.58. It remains the gold standard in capturing outlier trends with discipline.
SG Trend Index: Dropped -3.2%, bringing its YTD return to -3.0% and its 12-month return to -7.7%. Despite a CAGR of 6.8%, the drawdown of 14.4% weighs on its risk metrics.
Barclay BTOP50: Declined just -1.3%, proving once again to be the most conservative option with the lowest maximum drawdown of 8.7% and a MAR ratio of 0.73.
TTU Trend Following Index: Lost -3.3% in February and sits at 5.7% CAGR since 2020, with metrics showing steady yet less aggressive positioning.
IASG TF Index: Down -2.7% on the month, but continues to show respectable consistency, holding a CAGR of 7.0% and a Sharpe ratio of 0.47.
SG CTA Index: Also fell -2.5%, with weaker long-term stats—4.8% CAGR and 11.3% max drawdown.
Systematic Momentum CTA Index: Matched SG CTA with a -2.5% decline. While its 12-month return of -4.6% lags, it remains a valuable benchmark for pure momentum strategies.

Performance Snapshot

The VAMI chart continues to paint a powerful picture of Classic Trend Index dominance, reaching 118.5% total return since January 2020, well ahead of its peers. Even after February’s stumble, it remains the clear trend titan.

Statistical Table

The performance table below underscores the dispersion across strategies. While short-term pain was felt across the board in February, long-term resilience remains the hallmark of top-performing indexes like the Classic Trend Index.

February Reflections

While February was a rough month for trend followers, it served as a timely reminder: trend strategies thrive on price persistence—not chop. The current environment appears to be testing models that rely on sustained directional moves. Despite the setback, the Classic Trend Index continues to demonstrate the power of traditional, process-driven approaches, highlighting the value of staying the course in uncertain times.

About the Indexes

SG Trend Index
Created by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index
Barclay BTOP50 Index
Managed by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index
TTU Trend Following Index
Developed by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index
SG CTA Index
Another index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index
IASG Trend Following Index
This index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index
Classic Trend Index
The Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index
Systematic Momentum CTA Index
Managed by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index

Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.