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!
Best Global Macro & Managed Futures Fund, 2024
Best Global Macro & Managed Futures Fund, 2024 The team at ECCM are delighted to have been awarded Best Global Macro & Managed Futures Fund 2024 at the Australian Alternative Investment Awards! Learn more about ECCM
Best Performing Fund over 5 Years
ECCM Systematic Trend Fund: Award Winner Gossip Column Exclusive: Aussie Turtles Team Takes Top Honour from The Hedge Fund Journal Big news from the pond! The team behind Aussie Turtles — also trading as East Coast Capital Management — has just been recognised by The Hedge Fund Journal as the Best-Performing Trend Following Fund (5-Year Track Record, AUM < $100M). This award highlights what we’ve been quietly building for years: a robust, globally diversified trend-following program that puts process before prediction. Every signal, every system, every workflow we teach in our books and courses is battle-tested in live portfolios — and this recognition is a testament to that approach. Learn more about ECCM
Rising Stars and Trend Titans – May 2025
Rising Stars and Trend Titans: May 2025 Welcome to Rising Stars and Trend Titans — your monthly lens into this dynamic space, spotlighting standout performers across the spectrum of globally diversified, rules-based trend-following programs. Introduction The world of systematic trend following remains in a defensive crouch, with May 2025 extending the pain from April’s historic rout. While this month didn’t match April’s velocity of losses, it delivered more of the same: elusive trends, sharp reversals, and a market tone that continues to punish directional conviction. In May, we evaluate the performance of 113 programs, each with a minimum five-year verified track record. Our coverage spans the spectrum: institutional titans with decades of data, and emerging managers whose resilience is carving new space on the leaderboard. Together, they offer a broad and nuanced view of what systematic trend following looks like in both feast and famine. This month, we introduce a new diagnostic lens: The Trend Environment Model Portfolio. Powered by CSI out-of-sample data and structured as an ensemble of 10 trend-following systems (ranging from short to long-term models), this aggressive portfolio tracks performance across 68 liquid futures markets. It offers allocators and researchers an objective, model-based context for the conditions faced by managers each month — acting as a climate barometer for trend durability, trend breadth, and volatility structure. May’s reading? Another difficult chapter. Only 36 of 68 markets were active, with tepid trends in equity indexes like the Nasdaq 100 and DAX offering slim positive contributions. Elsewhere, trend signals fragmented. Robusta Coffee, which once led the charge, experienced a violent reversal — a stark illustration of the whipsaws plaguing many systems. While the monthly portfolio return came in at –1.86%, it was the ongoing YTD drawdown of –12.34% that reinforced the brutal nature of 2025 to date. Context is critical. From January 2020 through to May 2025, the aggressive model portfolio delivered over +162% cumulative return, reflecting a historically favourable regime for trend following. The sharp contrast of 2025 highlights just how regime-sensitive trend following remains — thriving in persistence, struggling in chaos. This report, as always, goes beyond rankings. It tells a story — of drawdowns and discipline, of outliers and adaptation. We spotlight those managers who continue to stand tall, compound capital, and redefine robustness under pressure. Let’s assess the battlefield, revisit the benchmarks, and honour those Rising Stars and enduring Titans who continue to push the edge of what systematic trend following can achieve. Criteria for Inclusion The “Rising Stars and Trend Titans” blog evaluates globally diversified systematic trend-following programs that meet specific criteria to ensure consistency, reliability, and relevance. Here’s what makes a program eligible for inclusion: Validated Track Record:Only programs with a minimum of five years of performance history are considered. This ensures that the strategies have been tested across varying market conditions and are not short-term anomalies. Global Diversification:Programs must demonstrate diversification across multiple asset classes, including equities, fixed income, commodities, and currencies. This ensures their ability to capture trends across a wide spectrum of markets. Systematic Approach:All included programs must follow a systematic, rules-based approach to trend following, eliminating discretionary bias and focusing on process-driven decision-making. Performance Reporting:Programs must provide consistent, validated monthly performance data. The data is drawn from the widely respected Nilsson Hedge Database, ensuring accuracy and credibility. Program Scope:While established players are naturally included, we also feature rising stars who may have shorter overall histories but have achieved standout results within the five-year threshold. This focus ensures a balanced view of the established and emerging talent in the industry. For a full listing of the programs featured in this month’s report, Database List May 2025 Trend Environment Snapshot – Powered by the CSI Model Portfolio Understanding the success or struggle of systematic trend-following managers requires more than just performance tables — it demands context. For that reason, we introduce the CSI Model Portfolio, a 68-market, out-of-sample portfolio powered by an ensemble of 10 pure trend-following systems across short, medium, and long timeframes. This model, aggressively configured to extract edge from directional persistence, serves as a diagnostic indicator for the underlying health of the trend-following regime each month. Figure 1 – May 2025 May offered little relief after April’s brutal reversal. The model posted a monthly return of –1.86%, confirming continued headwinds across the trend-following landscape. Only 36 of 68 markets were active — a narrow breadth. Of those, only a few offered meaningful contributions to the upside: NASDAQ 100 (+0.37%) led the way, with DAX (+0.18%), GBP (+0.15%), Swiss Bonds (+0.15%), and Live Cattle (+0.15%) contributing modest gains. But this small cohort of winners was overwhelmed by losses elsewhere — particularly in energy, soft commodities, and fixed income. The bottom of the chart was dominated by Robusta Coffee (–1.74%), which saw a violent trend reversal after previously being one of the strongest markets YTD. Other notable detractors included Canada Bonds (–0.38%), Crude WTI (–0.28%), and Gold (–0.26%) — all representative of failed breakouts or trend collapses. The limited number of active signals and their low conviction (even among winners) speaks to the core challenge: in a month where trends were scarce, false starts and sharp whipsaws defined the playing field. This climate punished trend systems with exposure to extended soft commodity trades and bond reversals. Even models with typically reactive structures struggled to adjust fast enough to the shifting momentum landscape. As a standalone signal, –1.86% monthly return from this model may seem harsh — but it’s not just a number. It represents the drag imposed by trend fragility, low signal quality, and a fractured macro backdrop that continues to confound trend definitions. Spotlight: NASDAQ 100 – A Lone Trend Beacon in a Fragmented Field Among a sea of false signals and stalled trends, NASDAQ 100 futures stood out as the top-performing market in the model portfolio for May, contributing +1.11%. But its path to the top was anything but smooth. Figure 2 – Nasdaq 100 As the chart shows, the NASDAQ 100 clawed its way upward following a violent Q1 sell-off. The bounce that began in late April extended into May, allowing medium-term and reactive trend systems to re-enter long positions — or stay long through the rebound. The resulting move delivered just enough directional persistence to offer a modest payoff.
Battle of the Trend Following Indexes: May 2025
Battle of the Trend Following Indexes: May 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. May 2025 Result Six in the red. One in the green. May was another tough month for trend followers — but this time, one benchmark stood tall. While six of the seven tracked indexes posted losses, the Classic Trend Index managed to finish the month up +0.1%, proving once again that trend purity can sometimes stand firm, even in chaotic seas. The rest of the field continued to struggle. Though May’s losses were shallower than April’s, the Q2 trend vacuum remains unforgiving. Systems built to ride waves are still waiting for clean breaks. Once again, Barclay BTOP50 offered the most defensive profile, with a mild -1.4% drop and continued leadership in drawdown control and monthly win rate. Performance Highlights Here’s how the indexes stacked up for May: Classic Trend Index: The only index in positive territory, gaining +0.1% in May. Despite a bruising Q2, it remains the undisputed long-term champion: +97.0% since Jan 2020, 13.3% CAGR, and top marks in Sharpe (0.78), Sortino (1.94), and MAR ratio (0.91). Trend following in its purest form — and still the most potent. Barclay BTOP50: Down just -1.4%, it continues to deliver consistency with only -4.5% YTD, the lowest max drawdown (9.5%), and the highest win rate (60.0%). A clear outlier in resilience. TTU Trend Following Index: Fell -2.7%, now -11.3% YTD. The broad multi-program composition hasn’t shielded it from trendlessness. SG Trend Index: Dropped -2.2%, matching TTU’s YTD decline of -11.3%. With a 20.4% drawdown and muted MAR (0.23), it continues to struggle with risk-adjusted efficiency. SG CTA Index: Lost -1.8%, sitting at -8.5% YTD. Broader than trend-only strategies, but lacking any real upside in this regime. IASG Trend Following Index: Down -1.5% in May and -8.1% YTD. Solid long-term CAGR of 5.4% and good Sortino (0.37), but recent returns have softened. Systematic Momentum CTA Index: Declined -1.8% in May and -9.3% YTD. Pure momentum remains out of sync with current market dynamics. Performance Snapshot The VAMI chart still crowns the Classic Trend Index. After its sharp April drawdown, its May resilience helped it stabilize and retain its commanding lead. Its cumulative performance remains nearly double that of its peers. The remaining six indexes continue to show clustered performance, emphasizing defensiveness over directional aggression. Among them, Barclay BTOP50 is the clear defensive outperformer. Statistical Table May’s updated data further reinforces these highlights: Best CAGR: Classic Trend Index – 13.3% Best MAR Ratio: Classic Trend Index – 0.91 Best Sharpe / Sortino: Classic Trend Index – 0.78 / 1.94 Lowest Max DD: Barclay BTOP50 – 9.5% Most Winning Months: Barclay BTOP50 – 60.0% The rest of the field posts moderate to low risk-adjusted returns, with no clear breakout performance YTD. May Reflections May didn’t offer full recovery — but it did give us a signal. Systematic trend models, especially those grounded in traditional price-based logic, can still shine through when noise subsides, even briefly. The Classic Trend Index proved that edge isn’t always about magnitude — it’s about persistence. A +0.1% return in a sea of red is a small but important victory. Meanwhile, the Barclay BTOP50 continues to provide ballast, showing why robustness matters when conviction is punished. “When everyone else is sinking slowly, even treading water is leadership.” 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 003: “High Octane Classic Trend with Moritz Seibert”
Episode 003: Featuring Special Guest Moritz Seibert – “Outliers, Drawdowns, and the Edge of Classic Trend” In Episode 003 of Turtle Talk, Rich, Adam, and Jerry are joined by trend tactician Moritz Seibert for a wide-ranging, no-filter discussion on navigating drawdowns, unleashing outliers, and staying true to the classic trend code. https://www.youtube.com/watch?v=bHmK1uqRgcE In this episode Rich Brennan, Adam Havryliv, and trend-following legend Jerry Parker are joined by a powerhouse guest: Moritz Seibert — co-founder of Twoquants and CEO of Takahē Capital — for a deep, candid, and refreshingly real dive into the sharp end of classic trend following. ✅ April’s Shakeout — What hit the Classic Trend Index, and why short-term pain is the price of long-term edge✅ Markets in Focus — Cocoa, JGBs, Gold, EUR/USD, and the S&P 500: trend trades, whipsaws, and holding through chaos✅ Volatility Targeting vs Outlier Hunting — Why dynamic sizing might be capping the very returns you’re chasing✅ The Launch of Takahē’s High-Vol Fund — Moritz shares why he’s going all-in on raw, classic trend✅ Drawdown Myths Debunked — The truth about compounding, closed equity, and using house money to swing for outliers✅ Turtle Tidbits — Jerry slams the “down 50%, need 100%” cliché with pure trend logic 🎙️ This is a must-listen for traders, allocators, and purists alike — anyone who believes in rules, resilience, and the power of process. Got Questions?Send them in and you might feature in next month’s Shell Mail🔗 Submit your questions here 🔎 Mentioned in this episode: Battle of the Trend Following Indexes: https://www.aussieturtles.com/battle-of-the-trend-following-indexes-april-2025/ Rising Stars and Trend Titans: https://atstradingsolutions.com/rising-stars-and-trend-titans-april-2025/ 📡 Subscribe, rate, and share Turtle Talk — the podcast for those who thrive through uncertainty and live by the rules of robust trend. 🔥 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!
