The Aussie Turtles® Trend Following Guide
The Aussie Turtles® Trend Following Guide The Aussie Turtles® Trend Following Guide is a field manual for traders who want to escape the illusion of prediction and embrace the discipline of process. Written by Adam Havryliv and Richard Brennan, the book distills decades of trading experience into a practical and philosophical framework for surviving and thriving in complex markets. When Adam and I set out to write The Aussie Turtles® Trend Following Guide, we weren’t trying to add another “how-to” trading book to the shelves. We were building something different: a field manual for outlier hunters. This is the first step in a much bigger journey — one that moves beyond prediction and toward a systematic, durable way of trading where process beats prediction every time. Why This Book? We’ve both spent years walking the path: designing systems, managing funds, enduring drawdowns, and learning that the markets don’t reward clever forecasts. They reward those who can survive long enough to catch the rare, powerful outliers that drive long-term performance. That realization shaped the core of this book. It isn’t a memoir. It isn’t a backtest showcase. And it certainly isn’t a promise of quick success. Instead, it’s a guide to cultivating the one thing every trader needs before anything else: the right mindset. Mindset Before Methods Before you can follow trends, you must unlearn the myths the market sells you: that prediction is possible, that outcomes can be engineered, and that consistency can be manufactured. Our philosophy — and the essence of this book — is simple: You don’t need to be right. You need to be ready. Process outperforms prediction. Persistence, not brilliance, is the true edge. In these pages, we dismantle the illusion of control and replace it with something far more powerful: a rules-based, reaction-driven mindset that thrives in uncertainty. Outlier Hunting: The Bigger Picture This book is just the beginning. It’s the foundation for the larger Aussie Turtles® project — one that will explore system design, portfolio construction, and the craft of catching the trades that truly move the needle. But foundations matter. Without the right philosophy, no system survives. That’s why this guide had to come first. It’s the starting point for anyone serious about walking the path of an Outlier Hunter. Click on the image below to buy your copy in kindle, paperback or hardback from Amazon. Closing thought: This book doesn’t hand you the next holy grail system. It gives you something more useful — the mindset and framework to build your own, survive the storms, and stay in the game long enough to catch the wave you didn’t see coming.
Savouring the Trend: With Michael Covel at Akuna in Ho Chi Minh City
Savouring the Trend: Michael Covel at Akuna in Ho Chi Minh City In this second edition of Savouring the Trend, Adam Havryliv and Richard Brennan journeyed to Akuna in Ho Chi Minh City, the Michelin-starred stage of chef Sam Aisbett, to share an evening with Michael Covel — the chronicler of the Turtle Traders and voice of trend following. Over a daring tasting menu that stretched from slipper lobster to porcupine, the conversation traced Covel’s decades-long mission: uncovering the secrets of the Turtles, distilling the power of simple rules, and urging traders to confront uncertainty with courage. From bestselling books and films to a thousand-episode podcast, Covel’s legacy is a living testament to systematic trading — and in Saigon’s restless energy, his philosophy feels right at home. For our second edition of Savouring the Trend, we travelled to the beating heart of Vietnam: Ho Chi Minh City (also known as Saigon). Perched above its restless streets, Akuna – the Michelin-starred flagship restaurant of Australian chef Sam Aisbett – offered the perfect setting. Known for daring use of native ingredients and a boundary-pushing tasting menu, it mirrored the restless energy of our guest: Michael Covel, the man who chronicled the greatest trading experiment of all time. Covel is, at his core, an inquisitive journalist. In the early 2000s he was hunting for a big story when he caught whispers of an experiment that few outsiders truly understood: the Turtle Traders. Conceived by Richard Dennis and Bill Eckhardt, the project set out to prove that great traders could be trained, not born. The secrecy of the experiment and the outsized success of its participants lit a fire in Covel. But uncovering the tale wasn’t easy. He faced legal pushback from those who preferred the story never saw daylight. Yet, armed with persistence and a sense of purpose, he pressed on — convinced that what he had unearthed was too important to bury. Covel’s publishing journey began with Trend Following (2004), his first and still most influential book. It was a manifesto for systematic trading: rules-based, price-driven, and disciplined. The book struck a chord globally, carving him a space as the foremost storyteller of this approach. That success laid the foundation for The Complete TurtleTrader (2007), which finally told the inside story of Dennis and Eckhardt’s radical experiment. With interviews, documents, and narratives pieced together through relentless digging, Covel brought to light what had been whispered about for decades — a group of ordinary people turned into multimillion-dollar traders by following simple rules. He would go on to expand the philosophy: Trend Commandments (2011), a bold set of lessons aimed at debunking Wall Street myths, and The Little Book of Trading (2011), a compact, accessible guide emphasising courage and discipline. Today, Covel extends this legacy with online courses, encouraging a new generation to “relive” the Turtle experiment and test themselves against the same timeless principles. Not content with just books, Covel also turned filmmaker. In 2009, he released Broke: The New American Dream, a documentary that captured the failings of Wall Street, the fragility of conventional investing, and the urgency of thinking differently about risk. It remains a sharp visual companion to his written work. If the books and the film told the story, the Trend Following podcast made him part of the global conversation. Since 2012, Covel has recorded more than a thousand episodes, interviewing Nobel Prize winners, hedge fund legends, behavioural economists, and even military strategists. The breadth is remarkable: it is less a trading podcast than a catalogue of how humans confront risk and uncertainty. Since 2013, Covel has called Saigon home. He speaks often, and publicly, about his love for the city, its people, and – tastefully – the women who embody its openness, energy, and warmth. For him, Vietnam is capitalism at its rawest and most dynamic: ambitious, hungry, unapologetically forward-looking. Sitting with him, it’s clear the city has seeped into his worldview – alive, noisy, and full of possibility. Akuna’s tasting menu was itself a journey. We began with a sparkling sake on arrival: crisp, celebratory, a perfect start. From there, each course paired seamlessly with our conversation: Live Hokkaido sea scallop, goose neck barnacles, sour quark, young lotus seeds, pickled green durian, plankton Hand shelled spanner crab, pickled banana heart, fennel marmalade, macadamia, horseshoe crab “caviar” Butter poached slipper lobster, slipper lobster velvet, local samphire, mountain pepper, golden pearls Smoked pork jowl, firefly squid, black moss, lettuce heart, caramelised fish sauce Roasted brush tailed porcupine, Australian winter truffle, celery root, yeast crumbs, coastal sea blight – Akuna’s audacious signature. Covel noted that, like trend following, it demanded courage! Vietnamese crown melon, verbena cream, caramelised filo, cocoa seed juice caramel At one point, chef Sam Aisbett himself emerged from the kitchen. Our applause earned a fist pump from him — a moment of Aussie solidarity that sealed the spirit of the night. When asked what lessons he would pass on, Covel distilled decades of work into four simple tips: Simple rules. Follow price. Work up the courage to do it. Seize the day. As night fell and the lights of Saigon glittered beneath us, Covel reflected that trend following, like life in his adopted city, is about confronting uncertainty with conviction. The rules are simple, but the courage to follow them is rare. The evening closed with a total of 31,000,000 VND: Food: 4,900,000 VND per person. Wine & supplements: the balance, covering pairings and additional bottles. Using exchange rates from 23 August 2025: ~AUD 1,815 total (~286 AUD pp for food) ~USD 1,176 total (~186 USD pp for food) ~EUR 1,004 total (~159 EUR pp for food) ~CHF 1,025 total (~162 CHF pp for food) A memorable investment, paid in porcupine, pinot, and perspective.
Episode 007: “Fractals, Expectancy, and Survival”
Episode 007: Fractals, Expectancy, and Survival In Episode 007 of Turtle Talk, Rich, Adam, and Jerry return to the mics for a focused roundtable — no guests this time, just the three of them tackling the big themes shaping systematic trend following. From fractals and the inevitability of outliers, to expectancy versus path dependence, to why Jerry swears by the Cut Back Rule (and even loose pants), the conversation cuts straight to the core of survival and edge. They also weigh in on August’s trend index battles, review standout markets from copper to cattle, and debate whether high-volatility trend following might be the most valuable alternative investment today. https://www.youtube.com/watch?v=CY3aotrY0v8 This month’s Turtle Talk keeps it tight and focused — Rich, Adam, and Jerry sit down for a no-guest roundtable tackling the big themes driving systematic trend following. From fractals to fat tails, from expectancy to survival, the trio dig into what really matters when hunting for outliers. Alongside August’s trend index battles and standout markets, they explore why robust process, risk discipline, and a willingness to embrace volatility define classic trend success. In this episode: 📊 Battle of the Indexes – August bounce in classic trend, but is the recovery built to last?🔍 Fractals & Outliers – are markets wired for inevitability, and what does maximum diversification really mean?📈 Expectancy vs Path Dependence – why wealth paths matter more than theoretical edges.🎯 The Cut Back Rule – Jerry on why trimming risk is essential for long-term survival.👖 Loose Pants – flexibility as a metaphor for robust trend design.⚡ High-Vol Trend Following – unpacking why it may be the most valuable alternative investment today.💬 Shell Mail – audience questions on diversification sizing, lost decades in trend, and quantifying fat tails. 🎙️ Expect candid debate, sharp insights, and plenty of lessons as the Aussie Turtles and Jerry cut through the noise to the heart of trend following. 📚 Coming Soon:The Aussie Turtles Trend Following Guide launches next week — our flagship book of philosophy, process, and practice. Stay tuned for the release! Got questions for the pod? Send them in:🔗 https://www.aussieturtles.com/contact-us/ Catch episode details and more at:🌐 https://www.aussieturtles.com/turtle-talk/ #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #Fractals #JerryParker #Expectancy #CTAperformance #MomentumEdge #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: August 2025
Battle of the Trend Following Indexes: August 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 31 Aug 2025, with histories rebased to 1,000 on 1 Jan 2020. August 2025 Result Broad recovery, one index still towers above. Every index closed August in the green. Classic Trend Index once again led the pack with +4.4%. IASG followed at +2.8%, SG Trend at +2.7%, TTU at +2.3%, Systematic Momentum at +2.1%, BTOP50 at +1.3%, and SG CTA at +1.2%. Behind the bounce lies a broader market context: renewed commodity momentum, shifting FX trends, and volatility in fixed income gave systematic models a wider canvas to work with. The longer arc remains clear. Classic Trend Index dominates at +110.2% since January 2020, running a 14.0% CAGR. The rest cluster tightly between +18.9% and +38.7% over the same span. YTD numbers are still negative for all, from −2.9% (BTOP50) to −9.0% (TTU). Drawdowns tell the structural story: BTOP50 anchors with the shallowest max drawdown (9.7%), while Classic compounds strongly with moderate drawdowns (14.6%) and unmatched ratios. Performance Highlights Here’s how the indexes stacked up for June: Classic Trend Index+4.4% in August, +6.7% for the quarter. YTD −4.6% yet up +110.2% since 2020 with a 14.0% CAGR. It leads every risk-adjusted measure (MAR 0.96, Sharpe 0.83, Sortino 1.91) and is tied for the most winning months at 60.3%. Importantly, Classic has shown fast drawdown recovery, bouncing back far quicker than peers when markets re-align with trend. This resilience is the engine of its compounding edge. IASG Trend Following Index+2.8% for August, +4.1% for the quarter. YTD −4.8%. Since 2020, +38.7% (5.9% CAGR) with a 15.0% max drawdown. A steady mid-pack player with a balanced profile. SG Trend Index+2.7% for August, +4.3% for the quarter. YTD −7.6%, −6.4% over 12 months. Since 2020, +34.2% with a 5.3% CAGR, but a 20.4% drawdown limits efficiency. TTU Trend Following Index+2.3% in August, +3.2% for the quarter. YTD −9.0%, 12-month −9.8%. Since 2020, +22.5% (3.6% CAGR) with a 21.2% drawdown. A broad ensemble still struggling in trend-scarce conditions. Systematic Momentum CTA Index+2.1% in August, +2.6% for the quarter. YTD −7.1%, 12-month −7.4%. Since 2020, +18.9% (3.1% CAGR) with a 16.7% drawdown. Momentum purists remain out of sync despite the month’s gain. Barclay BTOP50+1.3% in August, +1.9% for the quarter. YTD −2.9% — best of the group. Since 2020, +33.3% (5.2% CAGR). The ballast index: lowest drawdown (9.7%) and tied for most winning months at 60.3%. SG CTA Index+1.2% for August, +2.3% for the quarter. YTD −6.4%, 12-month −5.5%. Since 2020, +21.7% (3.5% CAGR) with a 16.3% drawdown. A broader CTA blend that remains muted. Performance Snapshot The VAMI chart remains simple: Classic Trend Index towers at +110.2% since 2020. All others remain tightly grouped between +18.9% and +38.7%. Dispersion narrowed in August with universal gains, but the long-term spread remains vast. Classic’s ability to recover from drawdowns faster than peers is what keeps its compounding edge intact. Where others remain underwater for extended periods, Classic claws back quickly, demonstrating the structural advantage of pure, diversified trend. Statistical Highlights Best CAGR: Classic Trend Index: 14.0% Best MAR Ratio: Classic Trend Index: 0.96 Best Sharpe / Sortino: Classic Trend Index: 0.83 / 1.91 Lowest Max Drawdown: Barclay BTOP50: 9.7% Most Winning Months: Classic Trend Index & Barclay BTOP50: 60.3% Best YTD: Barclay BTOP50: −2.9% Lowest 12-month loss: Classic Trend Index: −0.4% and BTOP50: −0.5% August Reflections August’s across-the-board green ink was a welcome shift. But the structural lessons remain unchanged: Classic proves again that compounding comes not just from catching outliers, but from recovering faster when losses hit. This rapid rebound is what turns persistence into exponential growth. BTOP50 shows why allocators lean on it as a stabilizer, with unmatched resilience. Momentum-focused and broader blends continue to show sensitivity to trend scarcity and rotation-heavy regimes. The allocator’s takeaway? A barbell approach…Classic as the compounding engine with fast recovery power, BTOP50 as the defensive anchor, captures the best of both persistence and resilience. “August showed the power of structure over signal. When all boats rise, the true differences lie in how quickly they recover from the storms.” 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 use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Classic Trend IndexThe 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 IndexManaged 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.
Episode 006: “The NYC Getaway: “Outliers, Diversification, and the Quest for Maximum CAGR”
Episode 006: The NYC Getaway: Outliers, Diversification, and the Quest for Maximum CAGR In Episode 006 of Turtle Talk, Rich and Adam join Jerry Parker in his New York getaway for a special face-to-face session — an unscripted deep dive into outlier hunting, maximum diversification, and the pursuit of true CAGR. Together they unpack the philosophy of classic trend following, challenge the smoothness obsession of modern approaches, and reflect on why wide nets and robust rules are the essence of enduring success. https://youtu.be/QebPl2OdLWI This month’s Turtle Talk is a little different — Rich and Adam join Jerry Parker at his New York getaway for a face-to-face deep dive into the philosophy and practice of outlier hunting. Recorded on Labor Day, the trio reflect on market adventures, harbor cruises, and the heart of classic trend following. In this special episode, we skip the usual segments and go straight to the foundations: 🌍 Maximum Diversification – why spreading the net across hundreds of markets is essential for catching rare outliers. 📉 Volatility vs. Lifting Power – compounding drag, step-ups in equity curves, and why chasing smoothness can backfire. 🎯 Closed Trade Equity & Weak Compounding – why conservative sizing preserves robustness and avoids randomness. 🔍 Dynamic Position Sizing Debate – why selling into strength risks type-two errors and dilutes true outlier returns. 🐂 The Cattle Year – feeder cattle, cocoa, and how small markets often deliver oversized contributions. 💬 Classic vs. Modern Trend – Buffett, Munger, and the tension between concentrated conviction and wide diversification. 🎙️ Expect candid debate, laughs, and plenty of lessons as the Aussie Turtles and Jerry unpack what it really means to maximize CAGR through pure outlier hunting. Coming Soon:The Aussie Turtles Trend Following Guide is nearly here — our flagship book of trend following philosophy, process, and practice. Stay tuned for the release! Got questions for the pod? Send them in: https://www.aussieturtles.com/contact-us/ Catch episode details and more at:https://www.aussieturtles.com/turtle-talk/ #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #ClassicTrend #JerryParker #NewYorkCitySpecial #MomentumEdge #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!
Savouring the Trend: Inaugural Edition — Latitude 30, Coffs Harbour
Savouring the Trend: Inaugural Edition — Latitude 30, Coffs Harbour In this first edition of Savouring the Trend, Adam Havryliv and Richard Brennan sit down at Latitude 30 in Coffs Harbour to reflect on the origins of Aussie Turtles and the philosophy behind trend following—over a leisurely lunch of fresh seafood, fine wine, and good conversation. The Concept At Aussie Turtles, we’ve always believed the best conversations about markets don’t happen in meeting rooms—they unfold across a table, with good food and, on occasion, some bold wine. Inspired by Lunch with the FT, Savouring the Trend is our new publication, where we share long-form conversations with systematic trend followers over an enjoyable meal. No pitches. No charts. Just conviction, curiosity, and cuisine. For our inaugural edition, we turned the lens inward. Rather than interviewing a guest, we—Adam Havryliv and Richard Brennan, co founders of Aussie Turtles—sat down to reflect on what we’ve built, what lies ahead, and why trend following still fires us up. We met in Coffs Harbour, halfway between our homes in Sydney and Brisbane, for lunch at the aptly named Latitude 30. The Setting Overlooking the marina and the Pacific, Latitude 30 is known for its relaxed energy, quality seafood, and a wine list that balances local and European classics. The venue reflects the kind of environment we value in trend following—calm, focused, and quietly world-class. The Meal ENTRÉE Adam: Seared Scallops with celeriac purée, roasted grape salsa, and pistachio dukkah — Bright and well-balanced. The scallops are caramelised just enough to contrast with the sweetness of the grape and the nuttiness of the dukkah. Richard: Fried Squid with lime–chilli salt — A signature dish, light and crisp, with a touch of citrus and spice that makes the wine sparkle. Shared: Natural Oysters (6) — Fresh, briny, and cold—served simply on ice. A pure start. To drink: 2 glasses of Sauvignon Blanc MAIN Adam: Whole Baked Snapper — Perfectly cooked, flaky and moist. Served with seasonal greens, it reflects the kind of focus we love in markets—no fuss, just quality and clarity. Richard: Riverina Rib-Eye Fillet — Juicy, charred, and deeply savoury. Accompanied by roasted root vegetables and a generous pour of red wine jus. To drink: A glass of Chardonnay for Adam, A glass of Shiraz for Richard DESSERT Adam: Mandarin Cheesecake — Zesty and smooth with a nutty biscuit base—bright and unexpectedly refined. Richard: Salted Caramel & White Chocolate Crème Brûlée — Perfect crack on top, silky centre beneath. Indulgent without being heavy. To drink: 2 espressos The Conversation 1. What inspired to you launch Aussie Turtles? Adam: We launched Aussie Turtles to bring the legendary Turtle trading story into the modern conversation—especially here in Australia, where systematic trading is still underrepresented. Our focus was never nostalgia. It was about taking a rules-based approach, proven in the 1980s, and showing how it still matters today, even amidst all the noise and quant abstraction. Richard: The results so far have exceeded our expectations. We kicked off with a bang—hosting a Sydney event with original Turtle Jerry Parker, co-hosted by Michael Covel. That set the tone: serious guests, strong conviction, and open access. Since then, the Turtle Talk Podcast has grown into a real platform. We’ve had thoughtful, international guests—from traditional trend followers to newer voices. We also launched the ClassicTrendIndex.com, a curated benchmark for classical trend-following strategies, and track its monthly progress in our Battle of the Indexes feature on aussieturtles.com. The momentum is real. 2. Why publish Savouring the Trend? Richard: Because the best insights often come over a long lunch—not in a webinar. Savouring the Trend is our way of peeling back the layers and showing the personalities, philosophies, and struggles behind the systems. We want to dig deeper into how managers stay convicted, adapt their rules, and view uncertainty not as a bug—but a feature. Adam: We’ve both found that real ideas emerge when people aren’t on the clock or tied to a format. No slides, no data decks—just open conversation. During our travels as Aussie Turtles, we’ll sit down with someone who’s had a genuine impact on the space, whether they manage billions or trade solo. The format lets us step away from performance and talk about process, philosophy, and the emotional side of being systematic. 3. What brought each of the Aussie Turtles into the trend following space? Richard: I’ve been trading since the late 1980s, but for a long time, consistent profitability felt elusive. That changed when I started digging into the track records of traders who had survived—and thrived—through multiple market regimes. Names like Jerry Parker, Bill Dreiss, and Bill Dunn stood out. Their longevity wasn’t luck. It was process. That’s when I stopped trying to reinvent the wheel and instead chose to stand on the shoulders of giants. I went deep into understanding the philosophy, techniques, and mindset behind those enduring track records. From that point forward, there was no looking back. Trend following gave me the clarity I’d been searching for. Adam: I’ve spent most of my career searching for an investment approach that could endure across time, volatility, and uncertainty. After stints at Goldman Sachs, Citi, and a global macro hedge fund, I kept coming back to one question: what actually works in the long run? That search led me to trend following. The more I studied it, the more sense it made—not just technically, but psychologically. Along the way, I became fascinated with behavioural finance and even completed postgraduate studies in psychology. Trend following clicked because it respects human nature—it works with it, not against it. In a world obsessed with prediction, it was refreshing to find a strategy built on discipline, humility, and letting the market lead. 4. Who do you hope to have lunch with next? Adam: The Aussie Turtles are about to head off on their annual migration. Our next stops: Ho Chi Minh City, Zurich, and New York. We’ve lined up meetings with trend followers, quants, and capital
Battle of the Trend Following Indexes: July 2025
Battle of the Trend Following Indexes: July 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. July 2025 Result Marginal gains, modest losses, and one index still standing apart. July delivered a mixed set of outcomes. Four of the seven indexes managed to scrape into positive territory, though gains were only marginal. Classic Trend Index led with a +0.3% return, while SG CTA and IASG each added +0.2%, and SG Trend was flat. On the downside, TTU slipped −0.4%, BTOP50 dropped −0.8%, and Systematic Momentum finished flat-to-negative at 0.0%. The real story remains the long arc. Classic Trend Index has now more than doubled since January 2020 (+101.3%), running a 13.3% CAGR and leading every risk-adjusted measure. The rest of the field remains tightly clustered between +16% and +36% over the same span. YTD numbers stay firmly negative across the board, from −4.0% for BTOP50 to around −10% for SG Trend and TTU. The drawdown profile is equally telling: Classic has absorbed a 14.6% max drawdown but still compounds well above the pack, while BTOP50 has kept its drawdown to just 9.7%, proving why it continues to be viewed as the defensive benchmark. Performance Highlights Here’s how the indexes stacked up for June: Classic Trend IndexManaged a small gain of +0.3% in July, only marginally ahead of its peers. The long-term record is where it shines: +101.3% since 2020 with a 13.3% CAGR. It leads every risk-adjusted measure (Sharpe 0.79, Sortino 1.94, MAR 0.91). Even when monthly wins are slim, its structure shows why pure trend persistence compounds over time. SG CTA IndexClosed July with a narrow +0.2% gain, trimming some of its YTD decline (−7.5%). Longer term it sits at +20.2% since 2020, but middling ratios and a 16.3% drawdown highlight its vulnerability in rotation-heavy regimes. IASG Trend Following IndexAlso up +0.2%. Its −6.8% YTD remains challenging, but the longer record is steadier: +35.0% since 2020, 5.5% CAGR, and relatively moderate drawdowns at 14.8%. SG Trend IndexFlat at 0.0% for July, leaving it −10.0% YTD and −13.0% over 12 months. It has gained +30.6% since 2020 but carries the highest drawdown in the group (20.4%), keeping risk efficiency muted. TTU Trend Following IndexDropped −0.4% in July. With YTD at −10.4% and a 12-month return of −14.9%, the broader program basket continues to struggle in low-trend conditions. Since 2020 it has returned +20.4% with a 3.2% CAGR. Barclay BTOP50Down −0.8% in July, but still the best positioned YTD at −4.0%. Its strength is resilience: the lowest drawdown (9.7%) and the highest win rate (59.7%), underlining its role as the ballast index. Systematic Momentum CTA IndexFinished the month flat at 0.0%. It remains down −8.9% YTD and −12.1% over 12 months. While cumulative return since 2020 is +16.6%, its Sharpe ratio (0.05) and lowest win rate (49.3%) confirm that momentum strategies remain out of phase. Performance Snapshot The VAMI chart continues to tell a simple story: Classic Trend Index stands alone. Its cumulative +101.3% since 2020 puts it far ahead of the +16% to +36% range occupied by the other six benchmarks. Beneath the leader, dispersion is narrow. The diversified indexes remain clustered together, with long-run gains erased by significant drawdowns. Within that pack, BTOP50 distinguishes itself with remarkable consistency: lowest drawdown, highest win rate, and the shallowest YTD decline. July’s small gains and losses did little to change the bigger picture — one index dominates by structure, the others rotate between resilience and retreat. Statistical Highlights Best CAGR: Classic Trend Index – 13.3% Best MAR Ratio: Classic Trend Index – 0.91 Best Sharpe / Sortino: Classic Trend Index – 0.79 / 1.94 Lowest Max Drawdown: Barclay BTOP50 – 9.7% Most Winning Months: Classic Trend Index & Barclay BTOP50 – 59.7% July Reflections July was about dispersion rather than recovery. A handful of indexes managed marginal gains, but all remain negative for the year. Classic Trend Index’s edge is not about winning every month — it’s about compounding relentlessly over time. For allocators, BTOP50’s steadiness once again proved its value as a defensive anchor, while broader blends like TTU struggled with trend scarcity. Momentum systems remain out of sync, reinforcing the need for robustness when reversals dominate. “Conviction does not need to shout. Process that survives is process that compounds.” 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 use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index Classic Trend IndexThe 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 IndexManaged 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.
Episode 005: “Outliers, Recovery, and the Spirit of Classic Trend”
Episode 005: Outliers, Recovery, and the Spirit of Classic Trend In Episode 005 of Turtle Talk, Rich, Adam, and Jerry are joined by Brazilian economist Bruno Campos — with a brief intro from Argentine trend advocate Andrés Petrocelli — for an energetic and unscripted dive into outlier hunting, recovery dynamics, and the strategic differences that separate classic trend from vol-controlled approaches. https://youtu.be/NgfWevxc6zI Join Rich, Adam and Jerry — this month joined by two special guests from the deep south — Bruno Campos (Brazil) and Andrés Petrocelli (Argentina) — as we explore the recovery phase in trend following and what sets outlier hunters apart from the rest. Note: Due to connection issues, Andrés was only able to join us for the introduction of the session. We look forward to having him back in a future episode for the full conversation. Bruno, a macroeconomist turned systematic investor, shares his journey from economic models to embracing uncertainty. We dig into the June trend following reports, challenge assumptions about diversification, and reflect on how outlier strategies diverge from vol-controlled approaches. In this episode: Battle of the Trend Following Indexes: June saw a bounce across the board — but will the recovery be V-shaped? What’s Moved the Needle: Grains collapse, metals surge, and bitcoin breaks out — with feeder cattle stealing the show Outlier Hunting vs. Vol Control: Are some managers slowing their own recoveries by taming tail risk? Spotlight on Bruno Campos: From factor research to trend conviction — an economist’s pivot to price Mythbuster with Jerry Parker: “Is the S&P a good trend following system?” Jerry says absolutely not — and here’s why. Plus: Adam questions mixed mandates, Rich defends idiosyncratic exposure, and Jerry plots his next myth to slay. Coming Soon:The Aussie Turtles Trend Following Guide is nearly here — our flagship book of trend following philosophy, process, and practice. Stay tuned for the release! Got questions for the pod? Send them in: https://www.aussieturtles.com/contact-us/ Catch episode details and more at:https://www.aussieturtles.com/turtle-talk/ Reports discussed:• Battle of the Trend Following Indexes – June 2025• Rising Stars and Trend Titans – June 2025 #TrendFollowing #TurtleTalk #SystematicTrading #AussieTurtles #OutlierHunter #ClassicTrend #JerryParker #BrunoCampos #AndresPetrocelli #MomentumEdge #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: June 2025
Battle of the Trend Following Indexes: June 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. June 2025 Result All in the black. One led with conviction. June delivered a broad-based recovery for trend followers, with every tracked index posting a positive return. After a bruising Q2, this rebound offered a welcome shift — though not yet a trend reversal. Topping the leaderboard was the Classic Trend Index, gaining +1.9% for the month. It continues to dominate on long-term metrics, with a 13.5% CAGR, 100.7% total return since Jan 2020, and best-in-class ratios across Sharpe (0.79), Sortino (1.93), and MAR (0.92). In a year marked by false starts, it remains the benchmark for trend purity and persistence. The Barclay BTOP50 Index also rose +1.5%, extending its reputation as the most resilient of the diversified indexes. With a modest -3.5% YTD drawdown, the lowest max drawdown (9.9%), and the highest winning month frequency (60.6%), it continues to offer stability when conditions turn volatile. While June’s bounce helped ease portfolio pressure, six of the seven indexes remain down more than 7% year-to-date, reflecting how difficult the trend environment has been in 2025 — even for seasoned systems. Performance Highlights Here’s how the indexes stacked up for June: Classic Trend Index:June’s top performer, up +1.9%, reaffirming its position as the long-term standout. With a 100.7% total return since Jan 2020, a 13.5% CAGR, and leading stats in Sharpe (0.79), Sortino (1.93), and MAR ratio (0.92), it continues to show what pure trend following can deliver over time — even when short-term conditions are tough. Barclay BTOP50:Also posted a solid +1.5%, cushioning its YTD decline to just -3.5%. With the lowest max drawdown (9.9%) and the highest win rate (60.6%), BTOP50 remains the defensive stalwart among diversified CTA benchmarks. SG Trend Index:Matched BTOP50 with a +1.5% gain, but still sits -10.0% YTD, with the highest drawdown (20.4%) in the group. While its 5.0% CAGR offers a respectable long-term return, risk-adjusted metrics like Sharpe (0.25) and MAR (0.24) remain subdued. IASG Trend Following Index:Added +1.3% in June, improving its positioning somewhat, but still off -7.1% YTD. Long-term stats remain respectable with a 5.5% CAGR, a solid Sortino (0.37), and lower drawdowns than most. TTU Trend Following Index:Up +1.0%, but continues to struggle in 2025 with a -10.5% YTD return and a -17.2% 12-month decline. Broader program inclusion hasn’t helped in this trend-starved environment, with Sharpe (0.12) and MAR (0.17) near the bottom of the table. SG CTA Index:Gained +0.9%, but its -7.7% YTD performance and 16.3% drawdown underscore the difficulty faced by diversified CTA strategies. Its Sharpe (0.12) and Sortino (0.13) remain among the lowest of the group. Systematic Momentum CTA Index:Also rose +0.9%, but continues to underperform with the lowest Sharpe (0.06) and tied-lowest MAR ratio (0.17). Momentum systems remain out of phase with current market conditions, sitting -8.7% YTD and -13.7% over the past 12 months. Performance Snapshot The Classic Trend Index remains firmly in front on the VAMI chart, extending its lead with a strong June. Despite short-term drawdown pressure, its cumulative return since January 2020 has now crossed +100%, maintaining a performance gap that no other index has come close to closing. Beneath the leader, the other six indexes continue to cluster tightly. Most show modest long-term gains with significant drawdown volatility. Within this group, the Barclay BTOP50 Index stands apart for its remarkable consistency, holding both the lowest drawdown and the highest win rate, reinforcing its role as the portfolio ballast in uncertain waters. While June’s rebound lifted all boats, the long-run spread between trend purity and diversified blends remains evident in the chart. Statistical Table June’s data continues to affirm the long-term standouts: Best CAGR: Classic Trend Index – 13.5% Best MAR Ratio: Classic Trend Index – 0.92 Best Sharpe / Sortino: Classic Trend Index – 0.79 / 1.93 Lowest Max Drawdown: Barclay BTOP50 – 9.9% Most Winning Months: Barclay BTOP50 – 60.6% While all indexes posted positive returns this month, the broader picture remains divided. Most continue to deliver moderate to low risk-adjusted returns, with drawdowns and underwhelming Sharpe ratios pointing to a tough YTD environment for trend programs. June Reflections June delivered relief, but not reversal. For systematic trend followers, the month offered a rare alignment — a reprieve from Q2’s trendless churn and a glimpse of what conviction might look like again. The Classic Trend Index led the way, not by luck, but by structure. It reminded us that edge lies in consistency over novelty, and that staying true to process through the noise is what ultimately separates signal from static. The Barclay BTOP50, once again, proved that robustness is a strategy, not just a feature. In a year where sharp reversals have punished overcommitment, its ability to absorb shocks while steadily compounding speaks volumes. June may not have resolved the drawdown narrative, but it reminded us of an enduring truth in trend: “Conviction doesn’t need to be loud — just consistent enough to survive the storm.” 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 use trend-following strategies, offering a
Episode 004: “From Lab Coat to Trend Charts: Dr. Kevin Maki on Evidence-Based Allocation”
Episode 004: From Lab Coat to Trend Charts: Dr. Kevin Maki In Episode 004 of Turtle Talk, Rich, Adam and Jerry are joined by evidence-based investor Dr. Kevin Maki for a sharp, data-driven conversation on trend following from the investor’s seat. They dive into drawdowns, model robustness, and the overlooked edge of momentum quality, all through the lens of disciplined, statistical thinking. It’s smart, unscripted, and packed with real-world trend insight. https://www.youtube.com/watch?v=t_mpU78noos 🎙️ In this episode, Rich Brennan, Adam Havryliv and Jerry Parker are joined by a powerhouse guest: Dr. Kevin Maki — biomedical researcher turned evidence-based investor, for a deep, clear-eyed discussion on trend following from the investor’s point of view. ✅ May’s Drawdown — What it means for allocators, managers, and the myth of “trend is dead”✅ Markets in Focus — Platinum’s breakout, crude oil chaos, and why lower ATRs might be the green shoots of change✅ Model Robustness — How Kevin uses win rates, standard deviation bands, and coin-flip logic to manage degradation✅ Momentum Quality — The underappreciated edge that filters noisy trends from steady risers✅ Allocator Strategy — Tax loss harvesting, ETF rebalancing, and how Kevin allocates in and out of trend regimes✅ Diversification That Works — Why a portfolio of models beats a model of a portfolio — especially under stress 📉 Plus, we dig into dispersion, risk release mechanics, and the curious comfort of sitting in max drawdown with statistical faith. ⚠️ Note: Due to some persistent tech gremlins, our good friend and trend legend Jerry Parker dropped out partway through this episode. We’ve done our best to stitch things together in post-production — and Jerry will be back, loud and clear, next month. 🎧 A must-listen for traders, quants, and allocators who want to understand the mindset behind enduring the pain and sticking with the process. Got Questions?Send them in and you might feature in next month’s Shell Mail!🔗 Submit your questions here: https://www.aussieturtles.com/contact-us/ 🔎 Mentioned in this episode: Battle of the Trend Following Indexes: https://www.aussieturtles.com/battle-of-the-trend-following-indexes-may-2025-2/ Rising Stars and Trend Titans: https://atstradingsolutions.com/rising-stars-and-trend-titans-may-2025/ 📡 Subscribe, rate, and share Turtle Talk — the podcast for those who thrive through uncertainty and believe in rules, resilience, and the power of process. 🔥 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!
