Episode 011: Stocks, FX Arbitrage, Regime Change, and the Return of Classic Trend

Episode 11: FX Arbitrage, Regime Change, and the Return of Classic Trend Join Rich Brennan, Jerry Parker, and Adam Havryliv for Episode 11 of Turtle Talk with special guest Sanjeev Lakhanpal, co-founder of Horizon3 Investment Management. https://youtu.be/D0qsdoinRfI In this episode: 📊 Battle of the Trend Following Indexes – January 2026 All seven trend following benchmarks rallied in unison, with Classic Trend and Barclay BTOP50 sharing the monthly lead at +5.0%. Dispersion compressed to just 1.1 percentage points — a rare show of breadth across the entire systematic universe. Classic Trend Index surpasses 140% cumulative since January 2020 with a 15.5% CAGR, continuing to separate from the pack on the VAMI chart. 👉 Full report: https://www.aussieturtles.com/battle-of-the-trend-following-indexes-january-2026/   📈 What’s Moved the Needle Metals dominate the conversation as Jerry walks through gold, silver, platinum, palladium and tin — including the brutal end-of-January sell-off and what it means (and doesn’t mean) for long-term trend followers. A passionate debate on vol-weighting vs fixed position sizing, why cutting winners to improve Sharpe is a trap, and why one trade doesn’t define a system built on thousands. Adam brings the Toronto Stock Exchange, cocoa’s dramatic bear trend, and Bitcoin’s breakdown below 80,000. Paul Mulvaney’s extraordinary January (+26%, reportedly up 72% intra-month) sparks a discussion on convexity, pyramiding, and why you can’t replicate his CAGR by simply leveraging a smooth equity curve.   🎙 Spotlight Conversation – Sanjeev Lakhanpal (Horizon3 Investment Management) A deep dive into one of the most unique operators in the systematic space. Sanj explains: His journey from a physics degree to AHL’s trading desk, running billions through the pits with a team averaging 20 years old Working with David Beach — “the greatest trader no one’s ever written a book about” — and the six-year quest to automate his photographic pattern recognition methodology How Digital Signal Processing extracts genuinely diversified signals from price data by analysing the frequency domain Why linear filters throw away turning-point information that non-linear pattern recognition can recover Horizon3’s new FX Swap Arbitrage program: a market-neutral strategy exploiting structural swap rate differentials between brokers, averaging over 2% monthly with no losing months and no losing trades Why the opportunity exists (arbitraging an efficiency, not an inefficiency) and why it won’t be arbitraged away How the arb strategy creates a 20-25% annual return cushion beneath the CTA, transforming the risk profile with a level of certainty research gains can’t normally deliver Contact Sanj: sa**@**im.com | Website: www.h3im.com 📬   Shell Mail – Listener Questions from Lee Two practical questions from a good friend of the podcast: Opposing signals under US FIFO rules — What happens when two systems want to be long and short the same futures contract in a US retail account? Jerry, Sanj, and the team break down why netting at the portfolio level is the cleanest solution, and why it’s actually more efficient than trying to maintain separate positions. Managing multi-currency balances as a global investor — When EM diversification leaves you holding HKD, KRW, SEK, and MYR, what do you do? Convert back to USD? Write an algo? Or follow Adam’s out-of-the-box advice: go live where your profits are.   📘 The Fractals of Finance Rich shares the story behind his new book — a lifetime of searching for certainty in markets, finding trend following, and discovering the deeper geometry beneath it all. The book explores why extreme events are far more common than we’re taught, why traditional models built on normal distributions consistently fail, and why classic trend following isn’t just a strategy — it’s a survival mechanism. With a foreword by Jerry Parker. Available now in Kindle, paperback, and hardcover. 👉 Available on Amazon: https://www.amazon.com/dp/B0GHTH1WNK   🌐 Episode Resources Battle of the Trend Following Indexes – January 2026 https://www.aussieturtles.com/battle-of-the-trend-following-indexes-january-2026/ Horizon3 Investment Management www.h3im.com | sa**@**im.com The Fractals of Finance (Amazon) https://www.amazon.com/dp/B0GHTH1WNK   📩 Send questions for future episodes: https://www.aussieturtles.com/contact   Closing Thought We’re back in a classic CTA environment. The world is fragmenting, purchasing power is eroding, and markets are producing the kind of outlier moves that reward those who stayed positioned. Vol-weighting or loose pants, the debate continues — but the trends don’t care about your method. They care about whether you’re there.   Stay systematic. Stay patient. And may the trend be with you. 🎙️ Turtle Talk is here to equip traders and enthusiasts with the tools to succeed in the ever-evolving world of trend following. Make sure to subscribe, rate, and share the podcast! Get the Aussie Turtles® Trend Following Guide If you want to go deeper into the principles behind trend following and build a process that survives real market conditions, the Aussie Turtles® Trend Following Guide is now available on Amazon. This book is a field manual for traders who want to move beyond prediction and commit to disciplined, systematic practice. Written by Adam Havryliv and Richard Brennan, it distills decades of experience into a practical and philosophical framework for navigating complex markets. The guide challenges the myths of consistency and control. It explains why markets evolve through trader impact, serial correlation, and emergent structure rather than forecasts. It does not promise a holy grail system. Instead, it teaches the mindset required to capture the rare asymmetric outliers that drive long term performance. If you are ready to trade with clarity, resilience, and conviction, this is the place to start. Click on the image below.

Battle of the Trend Following Indexes: January 2026

Battle of the Trend Following Indexes: January 2026 The Battle of the Trend Following Indexes provides a monthly snapshot of the leading trend-following benchmarks. All figures reflect performance through 31 January 2026, with index histories rebased to 1,000 on 1 January 2020. January 2026 Result A powerful start to the year as all seven trend benchmarks rally in unison. January delivered an emphatic opening to 2026, with all seven trend-following benchmarks posting gains. Classic Trend Index and Barclay BTOP50 shared top billing at 5.0 percent each, followed closely by SG Trend Index and SG CTA Index at 4.7 percent apiece. TTU Trend Following Index added 4.5 percent, IASG Trend Following Index gained 4.3 percent, and Systematic Momentum CTA Index advanced 3.9 percent. The breadth of gains was notable, with no index finishing below 3.9 percent for the month. Trailing quarterly results continued to reflect strong momentum across the group. IASG TF led the rolling three-month window at 8.7 percent, followed closely by Classic Trend at 8.5 percent and SG Trend at 8.2 percent. TTU TF posted 7.5 percent, while Barclay BTOP50, Systematic Momentum, and SG CTA returned 6.6 percent, 6.5 percent, and 6.3 percent respectively. Year to date, the field is tightly bunched after a single month. Classic Trend and BTOP50 share the lead at 5.0 percent, with SG Trend and SG CTA at 4.7 percent, TTU TF at 4.5 percent, IASG TF at 4.3 percent, and Systematic Momentum at 3.9 percent. The compressed dispersion stands in contrast to the divergence that developed through 2025. Over longer horizons, the structure remains firmly established. Classic Trend Index extends its lead with a cumulative gain of 140.0 percent since January 2020 and a 15.5 percent CAGR. IASG TF follows at 62.1 percent, with SG Trend at 56.0 percent and BTOP50 at 48.7 percent. TTU TF, SG CTA, and Systematic Momentum remain clustered between 33.6 percent and 41.5 percent. Performance Highlights Here is how the indexes performed in January: Classic Trend Index +5.0 percent for January, sharing the monthly lead with BTOP50. Trailing quarter +8.5 percent. YTD +5.0 percent. Since January 2020 the index has gained 140.0 percent with a 15.5 percent CAGR. It continues to lead all major risk-adjusted measures with a MAR of 0.98, a Sharpe of 0.93, and a Sortino of 1.82. January’s strong start extends the index’s long-term dominance, now surpassing the 140 percent cumulative threshold. Barclay BTOP50 Index +5.0 percent for January, matching Classic Trend for the monthly lead. Trailing quarter +6.6 percent. YTD +5.0 percent. Since 2020 the index has gained 48.7 percent with a 6.7 percent CAGR and the lowest drawdown of the group at 9.7 percent. With the highest proportion of winning months at 63.0 percent, BTOP50 delivered an unusually strong month while reinforcing its role as the stability anchor within diversified allocations. SG Trend Index +4.7 percent for January and +8.2 percent for the trailing quarter. YTD +4.7 percent. Since 2020 the index is up 56.0 percent with a 7.6 percent CAGR and a 20.4 percent drawdown. The large-programme trend benchmark participated fully in January’s broad-based rally, building on the constructive close to 2025. SG CTA Index +4.7 percent for the month and +6.3 percent for the trailing quarter. YTD +4.7 percent. Since 2020 the index is up 35.9 percent with a 5.2 percent CAGR and a 16.3 percent drawdown. Broader CTA blends matched the pure trend benchmarks in January, signalling strength across a wider range of systematic strategies. TTU Trend Following Index +4.5 percent for January and +7.5 percent for the trailing quarter. YTD +4.5 percent. Since 2020 the index has gained 41.5 percent with a 5.9 percent CAGR and a 21.0 percent drawdown. After pausing in December, the large-ensemble benchmark returned to form with a strong January, reflecting broad participation across its constituent programmes. IASG Trend Following Index +4.3 percent in January and +8.7 percent for the trailing quarter, leading the rolling three-month window. YTD +4.3 percent. Since 2020 the index has gained 62.1 percent with an 8.3 percent CAGR and a 14.9 percent drawdown. IASG continues to deliver an impressive balance of consistency and growth, carrying momentum from its 2025 calendar-year leadership. Systematic Momentum CTA Index +3.9 percent in January and +6.5 percent for the trailing quarter. YTD +3.9 percent. Since 2020 the index has gained 33.6 percent with a 4.9 percent CAGR and a 16.7 percent drawdown. Momentum strategies participated in the January rally, with the index posting its strongest single-month gain in recent quarters. Performance Snapshot The January VAMI chart shows Classic Trend Index pushing decisively above the 2,400 level, extending its separation from the broader trend-following universe. The remaining benchmarks continue to cluster between roughly 1,340 and 1,620 since 2020, though all moved higher in January. Dispersion at the monthly level compressed significantly in January, with the gap between the strongest and weakest performer narrowing to just 1.1 percentage points. At longer horizons, however, Classic Trend’s cumulative lead remains commanding, now exceeding 140 percent since inception. Statistical Highlights Classic Trend Index continues to dominate long-term risk-adjusted statistics. It maintains the highest CAGR at 15.5 percent and leads across MAR (0.98), Sharpe (0.93), and Sortino (1.82) ratios. Its ability to compound while recovering efficiently from drawdowns remains unmatched across all benchmarks. Barclay BTOP50 again stands out as the most stable benchmark, with the lowest maximum drawdown at 9.7 percent and the highest winning month ratio at 63.0 percent. January’s 5.0 percent gain demonstrated that stability need not come at the expense of upside participation. IASG TF leads the trailing twelve-month window at 9.5 percent, while Classic Trend retains leadership across all longer horizons. Correlation to global equities remains low across all benchmarks, ranging from −0.03 to 0.08, underscoring the diversification benefits of systematic trend exposure. January Reflections January delivered a rare moment of unanimity across the trend-following landscape. All seven benchmarks advanced, dispersion compressed, and the breadth of gains suggested that trending conditions extended across multiple asset classes and timeframes. For allocators, it was a welcome reminder that

Episode 010: Stocks, Outliers, and the Geometry of Trend

Episode 010: Stocks, Outliers, and the Geometry of Trend Join Rich Brennan and Jerry Parker for Episode 10 of Turtle Talk, joined by special guest Cole Wilcox, CIO of Longboard Asset Management. No Adam this month, but a deep, wide-ranging conversation covering classic trend following, equity outliers, diversification myths, and why individual stocks may offer the cleanest expression of trend. https://www.youtube.com/watch?v=aXcf5-CSrZs In this episode: 📊 Battle of the Trend Following Indexes – December 2025 ReviewClassic Trend continues to separate from the pack, reaching new high-water marks while much of the CTA universe still lags prior peaks. We unpack dispersion, convexity, and why classic designs thrive when genuine trends emerge. 👉 Full report:https://www.aussieturtles.com/battle-of-the-trend-following-indexes-december-2025/ 📈 What’s Moved the NeedleGold, silver, platinum, palladium, and livestock trends take centre stage as multi-sigma moves remind traders where returns are actually made. The discussion cuts through daily noise to focus on long-horizon positioning, unrealised profits, and why parabolic moves signal fragility, not opportunity. 🎙 Spotlight Conversation – Cole Wilcox (Longboard Asset Management)A deep dive into equity trend following at the individual stock level. Cole explains: Why most stock market returns come from a tiny minority of companies Why indices dilute trend signals How trend following stocks differs structurally from futures-based CTAs Why long-duration trends, not activity, drive compounding The case for absolute momentum over cross-sectional rotation A rare, first-principles discussion on outliers, capitalism, and why trend following belongs inside equities. Learn more about Cole’s work:https://longboardfunds.com/ 📘 Feature Highlight – The Fractals of FinanceRich introduces his latest book, The Fractals of Finance, now available on Amazon, with a foreword by Jerry Parker. The book explores why markets are fractal, why averages mislead, and why trend following works because of structure, not prediction. 👉 Available now on Amazon:https://www.amazon.com/dp/B0GHTH1WNK 🌐 Episode Resources Battle of the Trend Following Indexes – December 2025https://www.aussieturtles.com/battle-of-the-trend-following-indexes-december-2025/ Longboard Asset Managementhttps://longboardfunds.com/ The Fractals of Finance (Amazon)https://www.amazon.com/dp/B0GHTH1WNK 📩 Send questions for future episodes:https://www.aussieturtles.com/contact Closing ThoughtMarkets are producing moves no backtest prepared us for. Outliers are no longer rare. Systems matter. Process matters. And survival still comes before prediction. Stay systematic. Stay patient. And may the trend be with you. #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #JerryParker #CTAPerformance #MarketStructure #FatTails #RobustSystems 🎙️ Turtle Talk is here to equip traders and enthusiasts with the tools to succeed in the ever-evolving world of trend following. Make sure to subscribe, rate, and share the podcast! Get the Aussie Turtles® Trend Following Guide If you want to go deeper into the principles behind trend following and build a process that survives real market conditions, the Aussie Turtles® Trend Following Guide is now available on Amazon. This book is a field manual for traders who want to move beyond prediction and commit to disciplined, systematic practice. Written by Adam Havryliv and Richard Brennan, it distills decades of experience into a practical and philosophical framework for navigating complex markets. The guide challenges the myths of consistency and control. It explains why markets evolve through trader impact, serial correlation, and emergent structure rather than forecasts. It does not promise a holy grail system. Instead, it teaches the mindset required to capture the rare asymmetric outliers that drive long term performance. If you are ready to trade with clarity, resilience, and conviction, this is the place to start. Click on the image below.

Battle of the Trend Following Indexes: December 2025

Battle of the Trend Following Indexes: December 2025 The Battle of the Trend Following Indexes provides a monthly snapshot of the leading trend-following benchmarks. All figures reflect performance through 31 December 2025, with index histories rebased to 1,000 on 1 January 2020. December 2025 Result A strong finish to the year as trend programs close 2025 with broad-based gains. December delivered a positive month across all trend-following benchmarks, capping a constructive fourth quarter. Classic Trend Index led monthly performance with a gain of 3.7 percent, followed by IASG Trend Following Index at 2.5 percent and SG Trend Index at 1.9 percent. SG CTA Index added 1.2 percent, while Barclay BTOP50 rose 1.0 percent and Systematic Momentum CTA Index advanced 0.6 percent. TTU Trend Following Index finished the month flat at 0.0 percent, pausing after a strong third quarter. Quarterly results reflected steady performance across the group. IASG TF led Q4 with a return of 5.5 percent, followed closely by Classic Trend at 5.1 percent and SG Trend at 4.8 percent. TTU TF and SG CTA each delivered 2.7 percent for the quarter, while Systematic Momentum posted 2.5 percent and BTOP50 recorded 2.4 percent. Year to date performance shows clear separation among the benchmarks. IASG TF Index holds the lead at 6.7 percent, followed by Classic Trend at 3.7 percent and BTOP50 at 2.8 percent. SG Trend finished the year at 2.4 percent. SG CTA, TTU TF, and Systematic Momentum ended the year negative at −0.2 percent, −0.6 percent, and −0.8 percent respectively, reflecting the challenging trend environment experienced earlier in 2025. Over longer horizons, dispersion remains wide. Classic Trend Index continues to stand apart with a cumulative gain of 128.5 percent since January 2020 and a 14.8 percent CAGR. IASG TF follows at 55.3 percent, with SG Trend at 49.0 percent and BTOP50 at 41.2 percent. TTU TF, SG CTA, and Systematic Momentum remain clustered between 26.9 percent and 33.7 percent. Performance Highlights Here is how the indexes performed in December: Classic Trend Index +3.7 percent for December and +5.1 percent for the quarter. YTD +3.7 percent. Since January 2020 the index has gained 128.5 percent with a 14.8 percent CAGR. It continues to lead all major risk-adjusted measures with a MAR of 0.94, a Sharpe of 0.89, and a Sortino of 1.85. December marked a strong close to the year, reinforcing its position as the standout performer across all horizons. TTU Trend Following Index Flat for the month and +2.7 percent for the quarter. YTD −0.6 percent. Since 2020 the index is up 33.7 percent with a 5.0 percent CAGR and a 21.1 percent drawdown. December’s pause followed a strong run earlier in the quarter, with the index consolidating gains as trend persistence moderated into year end. IASG Trend Following Index +2.5 percent in December and +5.5 percent for the quarter. YTD +6.7 percent. Since 2020 the index has gained 55.3 percent with a 7.6 percent CAGR and a 14.5 percent drawdown. IASG finishes 2025 as the strongest performer on a calendar-year basis, continuing to deliver an impressive balance of consistency and growth. SG Trend Index +1.9 percent for the month and +4.8 percent for the quarter. YTD +2.4 percent. Since 2020 the index is up 49.0 percent with a 6.9 percent CAGR and a 20.4 percent drawdown. December gains were supported by continued strength across commodities and selected macro trends heading into year end. Systematic Momentum CTA Index +0.6 percent in December and +2.5 percent for the quarter. YTD −0.8 percent. Since 2020 the index has gained 26.9 percent with a 4.1 percent CAGR and a 16.7 percent drawdown. Momentum strategies showed modest gains but remain constrained by limited trend extension throughout 2025. SG CTA Index +1.2 percent for the month and +2.7 percent for the quarter. YTD −0.2 percent. Since 2020 the index is up 29.8 percent with a 4.4 percent CAGR and a 16.3 percent drawdown. Broader CTA blends closed the year with steady December gains, narrowly missing positive territory for 2025. Barclay BTOP50 Index +1.0 percent in December and +2.4 percent for the quarter. YTD +2.8 percent. Since 2020 the index has gained 41.2 percent with a 5.9 percent CAGR and the lowest drawdown of the group at 9.7 percent. With the highest proportion of winning months at 62.5 percent, BTOP50 continues to anchor stability within diversified allocations. Performance Snapshot The December VAMI chart shows Classic Trend Index extending its lead over the broader trend-following universe. After climbing steadily through the fourth quarter, Classic Trend now stands well above the 2,200 level, while the remaining benchmarks continue to cluster between roughly 1,270 and 1,550 since 2020. Dispersion widened during December as Classic Trend outperformed, reinforcing the gap between the top performer and the rest of the field. Trend persistence remained selective, with stronger programs capitalising on opportunities across commodities and macro markets into year end. Statistical Highlights Classic Trend Index continues to dominate long-term risk-adjusted statistics. It maintains the highest CAGR at 14.8 percent and leads across MAR, Sharpe, and Sortino ratios. Its ability to compound while recovering efficiently from drawdowns remains unmatched. Barclay BTOP50 again stands out as the most stable benchmark, with the lowest maximum drawdown at 9.7 percent and the highest winning month ratio at 62.5 percent. This stability reinforces its role as a defensive core within managed futures allocations. IASG TF finishes 2025 as the strongest performer on a YTD basis, while Classic Trend retains leadership across longer horizons. Correlation to global equities remains low across all benchmarks, ranging from −0.03 to −0.08, underscoring the diversification benefits of systematic trend exposure. December Reflections December brought a fitting conclusion to a year of contrasts. After navigating a difficult first half, trend-following programs rallied through the second half of 2025, delivering meaningful gains for patient allocators. The fourth quarter reinforced the value of staying positioned through periods of uncertainty. The year highlighted an enduring truth about trend following. Annual returns are shaped by a handful of meaningful moves. Programs that maintained discipline

Savouring the Trend — An Evening with Niels Kaastrup-Larsen at Ristorante Bindella, Zurich

Savouring the Trend — An Evening with Niels Kaastrup-Larsen at Ristorante Bindella, Zurich In this edition of Savouring the Trend, Adam Havryliv and Richard Brennan traveled to Zurich to dine with Niels Kaastrup-Larsen at Ristorante Bindella, a refined Italian institution that mirrors the Swiss city’s quiet competence. Over prosciutto, burrata, and perfectly prepared scaloppine, the conversation explored Kaastrup-Larsen’s dual contributions to systematic trading: his role heading European and Asian investor relations at DUNN Capital Management, and his creation of Top Traders Unplugged, a podcast that has become essential listening for the industry’s most serious practitioners. From hosting legends like Richard Dennis and Bill Eckhardt to providing a platform for deep systematic thinking, Niels has built a career defined by consistency and intellectual openness. In a setting where even forgotten glasses are met with quiet preparedness, the evening affirmed what matters most: discipline, restraint, and respect for process. Zurich does not announce itself. It operates with a quiet self-assurance born of competence long practised. Everything feels considered: orderly, efficient and discreet. It was here, at Ristorante Bindella, an institution that reflects the city’s confidence, that we hosted this instalment of Savouring The Trend. The Aussie Turtles, Adam Havryliv and Richard Brennan, were joined for dinner by Niels Kaastrup-Larsen of DUNN Capital Management, founder & host of the excellent Top Traders Unplugged podcast. Bindella is a restaurant that refines tradition. Italian hospitality is delivered without theatre, valuing standards over spectacle. We began with shared starters: prosciutto, burrata, and bread with olive oil and balsamic vinegar – simple dishes that rewarded quality and restraint. Each of us chose the scaloppine for the main course, served with vegetables and prepared with care. Steamed vegetables and creamed spinach were ordered as sides, while wine was skipped entirely in favour of sparkling water throughout. Dessert was declined; a round of espresso provided a more fitting conclusion to an exceptional meal. For the Aussie Turtles, it was a particular pleasure to sit down with Niels in his adopted home. Born and raised in Denmark, he has built a career that has carried him across borders and perspectives. Today, Switzerland serves as his base as he heads up European and Asian investor relations for DUNN Capital Management. Switzerland suits him: international, precise, and quietly focused on outcomes. Between courses, the conversation ranged easily across markets and media. Niels’ path has been defined by consistency. While his role at DUNN places him within one of the discipline’s most respected institutions, his broader contribution to the industry has come through dialogue. Niels’ podcast series Top Traders Unplugged has become a central forum for systematic and macro thinkers alike. It was a pleasure to reflect on Richard’s own participation on the show: a reminder of the platform’s openness and intellectual range. Over time, the microphone has been shared with an unusually deep bench of presenters and guests, including Katy Kaminski and Andrew Beer, through to Harold de Boer and Jack Schwager – and even the original architects of the Turtle Trading Program, Richard Dennis and Bill Eckhardt. The breadth is deliberate, allowing serious practitioners to explain how they think, not just what they trade. Midway through the meal, a small moment captured the tone of the Bindella experience. Niels realised he had forgotten his glasses. Seconds later, the waiter returned with four pairs, inviting him to try each until the right fit emerged. Quiet competence and preparedness. Switzerland, distilled. As plates were cleared and espresso arrived, our discussion touched on discipline, media, and the long arc of careers built by resisting noise rather than chasing it. There was no attempt to extract lessons or impose conclusions. The value lay in the exchange itself. Face-to-face conversations still matter. Shared meals build connection, and give discussions a weight that screens cannot replicate. In an industry increasingly mediated by distance and digital shorthand, evenings like this are increasingly rare and valuable. We left Bindella clear-headed and affirmed in the belief that the most enduring edges, in markets and in life, come from consistency, restraint, and respect for process. The Ledger Prosciutto (starter, shared): CHF 48 Burrata (starter, shared): CHF 42 Bread, olive oil & balsamic: CHF 18 Scaloppine (main, per person x3): CHF 204 Steamed vegetables (shared): CHF 18 Creamed spinach (shared): CHF 22 Sparkling water: CHF 24 Espresso: CHF 18 Subtotal: CHF 394 Service (~15%, rounded): CHF 56 Total: CHF 450 Using exchange rates from 27 August 2025: CHF 450 ~AUD 862 ~USD 506 ~EUR 482

Battle of the Trend Following Indexes: November 2025

Battle of the Trend Following Indexes: November 2025 The Battle of the Trend Following Indexes provides a monthly snapshot of the leading trend-following benchmarks. All figures reflect performance through 30 November 2025, with index histories rebased to 1,000 on 1 January 2020. November 2025 Result Quiet gains, narrowing dispersion, and late-year consolidation. November delivered a modest but broadly positive month across most trend-following benchmarks. SG Trend Index led monthly performance with a gain of 1.4 percent, followed by IASG Trend Following Index at 1.2 percent and TTU Trend Following Index at 0.9 percent. Systematic Momentum CTA Index added 0.6 percent, while SG CTA Index rose 0.3 percent and Barclay BTOP50 advanced 0.2 percent. Classic Trend Index was the only benchmark to finish the month negative, down 0.4 percent, following strong gains earlier in the quarter. Quarterly results remained constructive across the group. TTU TF and IASG TF shared the top quarterly return at 8.8 percent, narrowly ahead of SG Trend at 8.7 percent. Classic Trend delivered a solid 6.4 percent for the quarter, while Systematic Momentum posted 6.3 percent. SG CTA and BTOP50 recorded more moderate quarterly gains of 5.4 percent and 4.5 percent respectively. Year to date performance remains mixed. IASG TF Index holds a clear lead at 4.3 percent, followed by BTOP50 at 1.4 percent and SG Trend at 0.5 percent. Classic Trend is marginally positive at 0.1 percent. TTU TF, SG CTA, and Systematic Momentum remain negative for the year, reflecting the uneven trend environment experienced earlier in 2025. Over longer horizons, dispersion remains wide. Classic Trend Index continues to stand apart with a cumulative gain of 120.4 percent since January 2020 and a 14.3 percent CAGR. IASG TF follows at 51.7 percent, with SG Trend at 46.1 percent and BTOP50 at 39.3 percent. TTU TF, SG CTA, and Systematic Momentum remain clustered between 26.2 percent and 33.7 percent. Performance Highlights Here is how the indexes performed in November: Classic Trend Index−0.4 percent for November and +6.4 percent for the quarter. YTD +0.1 percent. Since January 2020 the index has gained 120.4 percent with a 14.3 percent CAGR. It continues to lead all major risk-adjusted measures with a MAR of 0.91, a Sharpe of 0.85, and a Sortino of 1.87. November reflected consolidation rather than structural weakness following strong multi-month advances. TTU Trend Following Index+0.9 percent for the month and +8.8 percent for the quarter. YTD −0.6 percent. Since 2020 the index is up 33.7 percent with a 5.0 percent CAGR and a 21.1 percent drawdown. Performance benefited from improving trend persistence across commodities and rates, lifting quarterly results to the top of the peer group. IASG Trend Following Index+1.2 percent in November and +8.8 percent for the quarter. YTD +4.3 percent. Since 2020 the index has gained 51.7 percent with a 7.3 percent CAGR and a 14.5 percent drawdown. IASG continues to deliver the strongest balance of consistency and growth across the major benchmarks. SG Trend Index+1.4 percent for the month and +8.7 percent for the quarter. YTD +0.5 percent. Since 2020 the index is up 46.1 percent with a 6.6 percent CAGR and a 20.4 percent drawdown. Performance was supported by renewed strength across metals, energy, and selected FX trends. Systematic Momentum CTA Index+0.6 percent in November and +6.3 percent for the quarter. YTD −1.4 percent. Since 2020 the index has gained 26.2 percent with a 4.0 percent CAGR and a 16.7 percent drawdown. Momentum strategies showed continued stabilization but remain constrained by muted trend extension. SG CTA Index+0.3 percent for the month and +5.4 percent for the quarter. YTD −1.3 percent. Since 2020 the index is up 28.3 percent with a 4.3 percent CAGR and a 16.3 percent drawdown. Broader CTA blends delivered steady but unspectacular performance. Barclay BTOP50 Index+0.2 percent in November and +4.5 percent for the quarter. YTD +1.4 percent. Since 2020 the index has gained 39.3 percent with a 5.8 percent CAGR and the lowest drawdown of the group at 9.7 percent. With the highest proportion of winning months at 62.0 percent, BTOP50 continues to anchor stability within diversified allocations. Performance Snapshot The November VAMI chart shows continued convergence across the trend-following universe. After strong advances earlier in the quarter, performance moderated as markets transitioned into a more consolidative phase. Classic Trend Index remains well ahead on a cumulative basis, while the remaining benchmarks continue to cluster tightly between roughly 26 percent and 52 percent since 2020. Dispersion narrowed slightly during November as leadership rotated and volatility compressed. Trend persistence remained present, but opportunities became more selective, particularly across rates and currencies. Statistical Highlights Classic Trend Index continues to dominate long-term risk-adjusted statistics. It maintains the highest CAGR at 14.3 percent and leads across MAR, Sharpe, and Sortino ratios. Its ability to compound while recovering efficiently from drawdowns remains unmatched. Barclay BTOP50 again stands out as the most stable benchmark, with the lowest maximum drawdown at 9.7 percent and the highest winning month ratio. This stability reinforces its role as a defensive core within managed futures allocations. IASG TF remains the strongest performer on a YTD basis, while Classic Trend retains leadership across longer horizons. Correlation to global equities remains low across all benchmarks, underscoring the diversification benefits of systematic trend exposure. November Reflections November marked a pause rather than a reversal. After a productive third quarter and a strong October, trend-following programs entered a phase of consolidation as markets digested earlier moves. Gains were modest, dispersion narrowed, and leadership rotated. The month reinforced a familiar pattern. Strong trend programs do not advance in straight lines. Periods of digestion are part of the compounding process, particularly following broad-based alignment across commodities and macro markets. For allocators, the message remains unchanged. Combine engines of long-term compounding with sources of structural stability. Classic Trend continues to provide the engine. BTOP50 continues to provide the ballast. “November reminded us that trend following is not about constant motion, but about staying positioned when structure pauses before its next move.” About the Indexes SG Trend

Episode 009: Outliers, Crises, and the Geometry of Trend

Episode 009: Outliers, Crises, and the Architecture of Trend Following In Episode 009 of Turtle Talk, Rich, Adam, and Jerry return for a year end roundtable on the forces driving modern trend following. From October’s recovery in the trend indexes to the sharp reversals in metals, energy, and livestock, the trio break down how real systems behave when markets shift from calm to rough conditions. It is a focused, data rich session that blends ideas, experience, and plenty of Aussie Turtles® spirit. As our final episode of the year, we wish all our listeners a happy Christmas and a great New Year. See you in January. https://www.youtube.com/watch?v=DNLklLzmzNg This month’s Turtle Talk closes out the year with a deep and data driven roundtable. Rich, Adam, and Jerry return for another no-guest session, unpacking the forces shaping trend following as markets shift from calm conditions into rough and volatile terrain. From October’s steady trend index recovery to the violent swings in metals, energy, and livestock, the trio explore the architecture behind real robustness — convexity, diversification, and the geometry of compounding. Rich brings two extended deep dives, including why outlier hunters win across full cycles and what one hundred and twenty five years of market crises reveal about the true nature of market structure. Jerry walks through the art and necessity of extreme diversification for outlier hunting. Adam wraps with a discussion on why trend following is not a glitch, but a disciplined response to uncertainty and human behaviour. In this episode: 📊 Battle of the Indexes – October’s crawl back into positive territory and why classic trend continues to pull ahead of higher Sharpe peers.📈 What’s Moved the Needle – violent retracements in precious metals, deep reversals in cattle, and cycle high yields in Japan.🐢 Why Outlier Hunters Win Across Full Cycles – calm world versus rough world and the compounding geometry that separates winners from survivors.📉 One Hundred and Twenty Five Years of Crisis – what historic shocks reveal about fat tails, clustering, and why crisis is part of the system.🌍 Diversification for Outlier Hunting – Jerry on why trading more markets, not fewer, is the real edge.💡 Is Trend Following an Infinite Money Glitch? – Adam explains why robustness comes from discipline, not prediction.💬 Shell Mail – listener questions on valuation extremes, fragility, diversification, and staying systematic when markets feel irrational. 🎙️ Expect sharp insights, honest debate, and a year end reminder of why structure, discipline, and process remain the backbone of trend following. 📚 Resources:Aussie Turtles: https://www.aussieturtles.comATS Trading Solutions: https://atstradingsolutions.comClassic Trend Index: https://classictrendindex.comSend your questions: https://www.aussieturtles.com/contact As our final episode of 2025, we want to thank every listener for their support this year. From all of us at Aussie Turtles®, we wish you a happy Christmas and a great New Year. See you in January for the next episode of Turtle Talk. #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #JerryParker #CTAPerformance #MarketStructure #FatTails #RobustSystems 🎙️ Turtle Talk is here to equip traders and enthusiasts with the tools to succeed in the ever-evolving world of trend following. Make sure to subscribe, rate, and share the podcast!

Battle of the Trend Following Indexes: October 2025

Battle of the Trend Following Indexes: October 2025 The Battle of the Trend Following Indexes provides a monthly snapshot of the leading trend-following benchmarks. All figures reflect performance through 31 October 2025, with index histories rebased to 1,000 on 1 January 2020. October 2025 Result Moderate gains across most trend benchmarks. October delivered a steady and broadly positive month for the trend-following complex. Classic Trend Index led the field with a gain of 1.6 percent, closely followed by TTU Trend Following Index at 1.5 percent and IASG TF at 1.5 percent. SG Trend and Systematic Momentum each advanced 1.4 percent, while SG CTA and BTOP50 both rose 1.2 percent. Quarterly performance remained strong across the cohort. Classic Trend Index recorded the top three month return at 11.2 percent, followed by SG Trend at 10.2 percent, TTU at 9.8 percent, and IASG TF at 9.5 percent. SG CTA and BTOP50 delivered more moderate quarterly results of 6.4 percent and 6.1 percent, while Systematic Momentum rose 7.8 percent. Year to date results remain mixed. IASG TF holds the strongest position at 2.4 percent, followed by BTOP50 at 1.6 percent and Classic Trend at 0.3 percent. All other indexes remain mildly negative, with YTD figures ranging from −0.9 percent for SG Trend to −1.9 percent for Systematic Momentum. The long horizon picture continues to show wide dispersion. Classic Trend Index stands out with a cumulative gain of 120.9 percent since January 2020 and a 14.5 percent CAGR, far exceeding the rest of the field. IASG TF follows at 49.0 percent, with SG Trend at 44.2 percent and BTOP50 at 39.6 percent. TTU, SG CTA, and Systematic Momentum remain clustered between 25.6 percent and 32.2 percent. Performance Highlights Here is how the indexes performed in October: Classic Trend Index+1.6 percent for the month and +11.2 percent for the quarter. YTD +0.3 percent. Since January 2020 the index has gained 120.9 percent with a 14.5 percent CAGR. It leads all major risk adjusted measures with a MAR of 0.92, a Sharpe of 0.87, and a Sortino of 1.87. Classic remains the structural standout due to strong compounding and fast recovery from drawdowns. TTU Trend Following Index+1.5 percent for the month and +9.8 percent for the quarter. YTD −1.8 percent and 12 month return of 0.9 percent. Since 2020 the index is up 32.2 percent with a 4.9 percent CAGR and a 20.9 percent drawdown. TTU benefitted from improving trends but remains in the middle of the pack over longer windows. IASG Trend Following Index+1.5 percent for the month and +9.5 percent for the quarter. YTD +2.4 percent. Since 2020 the index has gained 49.0 percent with a 7.1 percent CAGR and a 14.5 percent drawdown. IASG continues to offer balanced and consistent returns across diversified markets. SG Trend Index+1.4 percent in October and +10.2 percent for the quarter. YTD −0.9 percent and 12 month return of 3.9 percent. Since 2020 the index is up 44.2 percent with a 6.5 percent CAGR and a 20.4 percent drawdown. Conditions strengthened across major macro and commodity markets, supporting a solid quarter. Systematic Momentum CTA Index+1.4 percent in October and +7.8 percent for the quarter. YTD −1.9 percent and 12 month return of 0.4 percent. Since 2020 the index has gained 25.6 percent with a 4.0 percent CAGR and a 16.7 percent drawdown. Momentum strategies showed improvement but remain below water for the year. SG CTA Index+1.2 percent for the month and +6.4 percent for the quarter. YTD −1.6 percent and 12 month return of 1.5 percent. Since 2020 the index is up 27.9 percent with a 4.3 percent CAGR and a 16.3 percent drawdown. Broader CTA blends remain more muted relative to pure trend strategies. Barclay BTOP50+1.2 percent in October and +6.1 percent for the quarter. YTD +1.6 percent. Since 2020 the index has gained 39.6 percent with a 5.9 percent CAGR and the lowest drawdown of the group at 9.7 percent. With the highest proportion of winning months at 61.4 percent, BTOP50 continues to serve as the stability anchor for many allocators. Performance Snapshot The October VAMI chart shows steady upward progress across the trend universe. Classic Trend Index maintains a commanding lead with a cumulative gain of 120.9 percent since January 2020. The remaining benchmarks remain closely grouped between 25.6 percent and 49.0 percent, reflecting more moderate but stable long term trajectories. Classic Trend is again approaching its prior high watermark. Its strong quarterly gains and efficient drawdown recovery highlight the advantages of broad diversification, simple rules, and persistent trend capture across global futures markets. Dispersion widened slightly during the month as the stronger trend programs extended their gains. Renewed persistence across commodities, interest rates, and currency markets provided fresh opportunities, while a pickup in volatility helped break several consolidating structures. Statistical Highlights Classic Trend Index continues to dominate the statistical leaderboard. It holds the highest CAGR at 14.5 percent and leads every major risk adjusted measure with a MAR of 0.92, a Sharpe of 0.87, and a Sortino of 1.87. Its long term compounding remains well ahead of all peers. Barclay BTOP50 maintains its position as the most stable benchmark. It carries the lowest maximum drawdown of 9.7 percent and the highest winning month ratio at 61.4 percent. This reliability reinforces its role as the low variability core for many diversified portfolios. IASG TF holds the strongest YTD return at 2.4 percent, while Classic Trend records the best 12 month gain at 5.7 percent. SG Trend, TTU, SG CTA, and Systematic Momentum recovered during the quarter but remain slightly negative for the year. October Reflections October carried forward the steady improvement that emerged during the third quarter. Trends strengthened across commodities, interest rates, and FX, allowing systematic programs to capture a series of clean directional moves that had been missing earlier in the year. Classic Trend again demonstrated the power of broad diversification and disciplined design. Its continued climb toward a new peak shows how consistent participation across many markets supports long term compounding.

Episode 008: “Pyramids, Outlier Hunting and The Aussie Turtles Trend Following Guide”

Episode 008: The Myth of Pyramids and The Aussie Turtles Trend Following Guide In Episode 008 of Turtle Talk, Rich, Adam, and Jerry are back behind the mics for another no-guest roundtable, this time dissecting the dynamics shaping modern trend following. From September’s powerful rebound in the trend indexes to the hidden fragility beneath market calm, the trio explore how compression, diversification, and design discipline define real robustness.  The conversation builds toward the release of The Aussie Turtles Trend Following Guide, as Jerry turns interviewer to uncover how philosophy, process, and practice come together in the pursuit of outliers. https://youtu.be/5HFXAaImqVE?si=ITKhoVRBd15cPrLO This month’s Turtle Talk stays sharp and streamlined — Rich, Adam, and Jerry return for another no-guest roundtable exploring the forces shaping systematic trend following. From market compression to structural fragility, from diversification to the myth of pyramiding, the trio dig into what really defines robustness and survival in modern trend portfolios. Alongside September’s strong trend index rebound and standout markets, they break down why discipline, patience, and process still trump prediction. In this episode: 📊 Battle of the Indexes – September’s big rebound in classic trend: what’s driving it, and can it last?📉 Compression & Fragility – why calm markets hide risk, and how resilience is built before volatility strikes.📈 Long & Short Balance – Jerry on trading both sides and keeping portfolios anti-fragile.🏗️ The Myth of Pyramids – setting the record straight on the original Turtle rules and why spacing isn’t pyramiding.📘 Spotlight: The Aussie Turtles Trend Following Guide – Jerry interviews Rich and Adam about the new book, mindset, and the philosophy behind Outlier Hunting.💬 Shell Mail – audience questions on volatility targeting, mandate mixing, and building truly robust systems. 🎙️ Expect sharp insights, honest debate, and timeless lessons as the Aussie Turtles and Jerry strip trend following back to its core: structure, discipline, and survival. 📚 Now Available:The Aussie Turtles Trend Following Guide — our flagship book of philosophy, process, and practice.🔗 https://www.aussieturtles.com/episode-007-fractals-expectancy-and-survival-2/ Got questions for the pod?🔗 https://www.aussieturtles.com/contact-us/ Catch episode details and more:🌐 https://www.aussieturtles.com/turtle-talk/ #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #JerryParker #CTAPerformance #Fractals #MarketCompression #RobustSystems #QuantInvesting 🎙️ Turtle Talk is here to equip traders and enthusiasts with the tools to succeed in the ever-evolving world of trend following. Make sure to subscribe, rate, and share the podcast!

Battle of the Trend Following Indexes: September 2025

Battle of the Trend Following Indexes: September 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. Figures reflect performance through 30 Sep 2025, with histories rebased to 1,000 on 1 Jan 2020. September 2025 Result Momentum revival lifts all boats. September delivered a broad-based rebound across trend-following benchmarks. Gains were strong across the board, with the TTU Trend Following Index taking top spot at +5.9%, followed closely by the SG Trend Index at +5.7%, Classic Trend Index at +4.9%, and IASG and Systematic Momentum both at +4.3%. The more defensive Barclay BTOP50 rose +3.5%, while the SG CTA Index gained +3.9%. The rebound extended into quarterly results. Over the last quarter, Classic Trend Index surged +9.7%, the strongest performer once again, while SG Trend added +8.6%, TTU rose +7.8%, and others advanced between +3.8% and +6.7%. The recovery narrowed year-to-date losses. BTOP50 now leads YTD at +0.4%, the only index in positive territory. All others remain slightly negative, ranging from −0.9% (IASG) to −3.3% (TTU). The long-term picture remains consistent. Classic Trend Index continues to dominate with a remarkable +117.4% gain since January 2020, translating to a 14.5% CAGR. The next closest, IASG TF, stands at +44.2%, followed by SG Trend (+42.2%) and BTOP50 (+37.9%). Performance Highlights Here’s how the indexes stacked up for September: Classic Trend Index +4.9% in September, +9.7% for the quarter. YTD −1.3% yet an outstanding +117.4% since January 2020 with a 14.5% CAGR. It leads all risk-adjusted measures (MAR 0.92, Sharpe 0.86, Sortino 1.88). Classic’s long-term compounding and fast drawdown recovery continue to set it apart as the structural leader. TTU Trend Following Index +5.9% in September, +7.8% for the quarter. YTD −3.3%, 12-month −5.3%. Since 2020, +30.2% with a 4.7% CAGR and 20.9% max drawdown. The rebound helped restore momentum, but TTU remains mid-pack amid trend scarcity. SG Trend Index +5.7% for September, +8.6% for the quarter. YTD −2.3%, 12-month −2.0%. Since 2020, +42.2% with a 6.3% CAGR and 20.4% drawdown. A robust recovery month, confirming renewed directional persistence across diversified futures. Barclay BTOP50 +3.5% in September, +3.8% for the quarter. The only benchmark positive YTD at +0.4%, with a 5.8% CAGR since 2020. It retains the lowest drawdown (9.7%) and the highest percentage of winning months (60.9%). BTOP50 continues to demonstrate why allocators view it as the stabilizing anchor of the trend universe. IASG Trend Following Index +4.3% for September, +6.7% for the quarter. YTD −0.9%. Since 2020, +44.2% (6.6% CAGR) with a 14.8% drawdown. IASG remains a steady performer in the middle of the pack with balanced exposure across markets. SG CTA Index +3.9% for September, +5.3% for the quarter. YTD −2.8%, 12-month −2.9%. Since 2020, +26.4% (4.2% CAGR) with a 16.3% drawdown. Broader CTA blends remain subdued relative to trend-focused peers. Systematic Momentum CTA Index +4.3% for September, +6.2% for the quarter. YTD −3.2%, 12-month −5.0%. Since 2020, +23.9% (3.8% CAGR) with a 16.7% drawdown. Momentum purists remain below water but showed improving conditions late in the quarter. Performance Snapshot The September VAMI chart highlights renewed upward momentum across all benchmarks. Classic Trend Index still towers over peers at +117.4% since January 2020, while the rest remain clustered between +23.9% and +44.2%. Notably, Classic Trend is now tantalizingly close to reclaiming its all-time high watermark, the result of strong quarterly compounding and faster drawdown recovery. Its steady climb underscores why structural robustness and simple, diversified trend processes continue to outperform more constrained models over time. Dispersion widened slightly this month as stronger performers reclaimed ground. The rebound reflects improved persistence across commodities and macro sectors, with fixed income volatility creating additional breakout opportunities. Statistical Highlights The Classic Trend Index continues to dominate the leaderboard with a CAGR of 14.5%, the highest among all benchmarks. It also leads every major risk-adjusted measure with a MAR ratio of 0.92 and Sharpe and Sortino ratios of 0.86 and 1.88, respectively. The Barclay BTOP50 maintains its reputation for stability, posting the lowest maximum drawdown at 9.7% and the most winning months at 60.9%, reaffirming its role as the defensive anchor in the trend-following space. On the performance front, BTOP50 also holds the best year-to-date return at +0.4%, while Classic Trend records the lowest 12-month loss at just −0.1%, underscoring its remarkable consistency and recovery strength. September Reflections The September surge marks one of the strongest collective months of 2025. Momentum returned across commodities, rates, and FX, enabling trend systems to capture directional bursts absent for much of the year. Classic continues to illustrate the compounding advantage of structural diversification and systematic discipline — now edging closer to its prior peak. BTOP50 reinforces the importance of steady consistency through shallow drawdowns. Momentum- and CTA-blended indices remain sensitive to rotation and consolidation, but their September recovery signals a broad return of trending conditions. For allocators, the lesson persists: pair compounding power with resilience. Classic provides the engine, BTOP50 provides the ballast.   “September reminded us that the best edge in trend following is not prediction, but persistence. Structure wins when signals realign.” About the Indexes SG Trend IndexCreated 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 IndexManaged 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 IndexDeveloped 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 IndexAnother 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 IndexThis index, managed by IASG, tracks CTAs that primarily