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!
Battle of the Trend Following Indexes: April 2025
Battle of the Trend Following Indexes: April 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. April 2025 Result April was a bruiser. The trend-following battlefield offered no shelter this month, as losses hit across the board. After the setbacks of Q1, April brought more pain — with all seven tracked indexes ending the month in the red. The volatility was real, but directional conviction remained elusive. For models primed to ride waves, April gave only chop. Once again, the Classic Trend Index took the biggest hit — down -7.0% for the month and now -10.6% YTD — but it still towers over the field in long-term performance. Its CAGR of 13.5% and stellar MAR ratio of 0.93 are unmatched, a testament to trend purity and process integrity. Performance Highlights April compounded the losses from Q1, dragging every major trend benchmark into deeper YTD territory. While the Barclay BTOP50 Index again proved most defensive with a -3.3% decline, even it couldn’t escape unscathed. Here’s how each index fared in April: Classic Trend Index: Fell -7.0% in April and is now down -10.6% YTD. Despite the pain, it remains the undisputed long-term leader with a CAGR of 13.5%, Sharpe ratio of 0.79, Sortino of 1.94, and a total return of 96.8% since Jan 2020. Its MAR of 0.93 reflects exceptional resilience through the cycle. SG Trend Index: Dropped -4.9% in April and -9.3% YTD. Over the last 12 months, it’s down -18.6%. While its CAGR of 5.3% is respectable, a max drawdown of 18.6% weighs heavily on its MAR ratio (0.28). Barclay BTOP50: The best relative performer again in April, down -3.3% for the month. It leads YTD with a comparatively shallow -3.1% decline and has the lowest drawdown (8.7%) across all benchmarks. Its long-term CAGR of 5.5% and Sharpe of 0.38 affirm its defensive profile. TTU Trend Following Index: Suffered a -6.5% loss in April, extending its YTD decline to -9.7%. Its CAGR of 3.8% and drawdown of 19.0% leave it struggling in risk-adjusted terms (MAR ratio: 0.20), though its diversified multi-manager nature still offers signal diversity. SG CTA Index: Down -4.4% in April and -6.9% YTD. A lower-volatility player with a 3.6% CAGR and 14.8% max drawdown, its MAR ratio sits at 0.25, reflecting middling efficiency in recent years. IASG Trend Following Index: Declined -4.6% in April, bringing YTD losses to -7.1%. It maintains a solid long-term CAGR of 5.6% with a relatively balanced Sharpe of 0.33, though it too has been hit hard in the last 12 months (-14.3%). Systematic Momentum CTA Index: Fell -4.4% in April, now down -7.0% YTD and -14.5% over the last 12 months. Its 3.3% CAGR and 14.5% max drawdown give it a MAR ratio of 0.23 — a tough period for pure momentum systems. Performance Snapshot The VAMI chart continues to tell a clear story. Despite the recent decline, the Classic Trend Index retains its dominant long-term position — nearly doubling since January 2020. The remaining benchmarks remain tightly packed, reflecting similar performance profiles over time. The April data reinforce a familiar truth: while defensive indexes like Barclay BTOP50 may hold ground in choppy conditions, they don’t capture the same upside in trending environments. Classic Trend’s volatility may sting, but its edge over time remains unmistakable. Statistical Table The table reveals clustering among most indexes, both in terms of long-term CAGR (3.3% to 5.6%) and drawdown profiles. However, Classic Trend breaks this mold: Best CAGR: Classic Trend Index – 13.5% Best Sharpe/Sortino: Classic Trend Index – 0.79 / 1.94 Best MAR Ratio: Classic Trend Index – 0.93 Best Drawdown Profile: Barclay BTOP50 – 8.7% Most Winning Months: Barclay BTOP50 – 60.9% While April was painful across the board, the dispersion in quality is clear when you look beyond the month-to-month chop. The signal is in the stats. April Reflections April tested every model’s ability to endure, adapt, and stay the course. No index was spared. And yet, even in this red sea, the message is consistent: edge is long-term. The Classic Trend Index, built on traditional trend principles and unrelenting systematic discipline, may have taken a blow, but it remains structurally sound — with the strongest return profile and best risk-adjusted performance of the group. “It’s not the smoothest ride that wins. It’s the one still standing at the end of 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 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 002: “Riding the Storm with Salem Abraham”
Episode 002: “Riding the Storm with Salem Abraham” In Episode 002 of Turtle Talk, Rich, Adam, and Jerry are joined by trend-following legend Salem Abraham for a no-holds-barred conversation about thriving in turbulent markets. They break down the latest trend-following index battle, tackle myths about crisis alpha, swap real-world war stories from volatile trades, and show why embracing uncertainty—not fighting it—is at the heart of true trend following. It’s raw, real, and pure trend DNA. https://www.youtube.com/watch?v=ctR-Po2cOeE Turtle Talk Episode 002: Riding the Storm with Salem Abraham In this month’s episode of Turtle Talk, Rich Brennan, Adam Havryliv, and trend-following legend Jerry Parker are joined by a very special guest — the one and only Salem Abraham — for a wide-ranging, candid, and often hilarious dive into the timeless world of trend following. ✅ How the Classic Trend Following approach holds up in messy, volatile markets — and why it’s built for chaos, not calm.✅ Battle of the Trend Following Indexes: March 2025 results — and why pure trend followers continue to show strength in adversity.✅ Gold, Copper, and Commodities — Salem and Jerry break down real-world lessons from this year’s wild price action.✅ MythBusters: The truth about “Crisis Alpha” — and why trend followers should stick to process over promises.✅ Shell Mail Q&A — listener questions on robust system design, risk concentration, pyramiding trades, and more. 🎙️ It’s a must-listen for anyone who believes in letting profits run, cutting losses short, and thriving through uncertainty. Got Questions?Send them in, and we’ll try to feature them on the next episode!🔗 Submit your questions here Reports Mentioned in This Episode:1️⃣ Battle of the Trend Following Indexes: March 2025 🎙️ 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! 🔜 Next Month: We’re thrilled to welcome Moritz Seibert to Turtle Talk — get your questions in early for another packed episode! 🔥 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! 🔥 May the trend be with you! 🔥
Battle of the Trend Following Indexes: March 2025
Battle of the Trend Following Indexes: March 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. March 2025 Result March was a bruising continuation of February’s retreat, as whipsawing markets and vanishing trends battered trend-following models across the board. The great battlefields of systematic investing offered no refuge this month—volatility persisted, and directional conviction was absent. Once again, the Classic Trend Index held the high ground despite taking a -2.5% hit in March. Even with the losses, its towering CAGR of 15.3% and MAR ratio of 1.75 keep it firmly entrenched as the benchmark for capturing outlier moves with disciplined trend adherence. Performance Highlights March continued the challenging stretch for trend followers, with six of the seven major indexes finishing in the red. Only the Barclay BTOP50 posted a gain, confirming its status as the most defensive and stable of the group. Meanwhile, the Classic Trend Index, despite a -2.5% decline, continues to dominate the long-term landscape, with a return profile that sets it well apart from the field. Here’s how each index performed in March: Classic Trend Index: Dropped -2.5% in March and -5.1% YTD, yet remains the undisputed long-term leader with a CAGR of 15.3%, Sharpe ratio of 0.96, Sortino of 2.51, and 111.6% total return since Jan 2020. Its drawdown remains moderate at 8.8%, further strengthening its exceptional MAR ratio of 1.75. SG Trend Index: Fell -1.7% in March and is now down -4.7% YTD, with a 12-month return of -12.9%. Its CAGR of 6.4% is solid, but a 14.4% max drawdown continues to suppress its MAR ratio (0.44). Barclay BTOP50: The only index to finish March positive at +0.7%, also leading YTD with +0.3%. Its drawdown is the lowest of all (8.7%), and it boasts the highest percentage of winning months (61.9%), reinforcing its reputation as the most conservative trend-following benchmark. TTU Trend Following Index: Dropped -1.7% in March and is now -3.4% YTD, with a CAGR of 5.2% and Sharpe of 0.29. Its 13.2% max drawdown limits its risk-adjusted appeal, though its broad composition provides useful signal diversity. SG CTA Index: Held up reasonably well, declining just -0.6% for the month and -2.5% YTD, with a CAGR of 4.6% and drawdown of 11.3%. A lower-volatility performer, but lacking upside over the long haul. IASG TF Index: Also fell -1.7%, bringing YTD losses to -2.8%. Its CAGR of 6.6% and Sharpe of 0.43 reflect balanced, steady returns, albeit with a moderate 10.4% drawdown. Systematic Momentum CTA Index: Declined -1.3%, continuing a tough stretch with -2.8% YTD and -9.1% over 12 months. With a CAGR of 4.2% and relatively modest risk metrics, it remains a key proxy for pure momentum systems, but has struggled recently to keep pace. Performance Snapshot The VAMI chart still tells a compelling story of Classic Trend Index dominance, now boasting a total return of 111.6% since January 2020—comfortably ahead of the pack. While March added to February’s stumble, the Classic Trend Index remains the clear trend titan, standing tall above its more defensive and clustered peers. Statistical Table March’s results highlight a key feature of the current trend-following landscape: most indexes remain tightly clustered, showing little dispersion in long-term performance or risk metrics. Their similar trajectories reflect a common struggle with recent market indecision. But one index continues to stand apart—the Classic Trend Index. With a CAGR above 15%, a Sharpe ratio over 1, and a Sortino exceeding 2.5, its performance clearly diverges from the pack. This dispersion is clearly reflected in the VAMI chart above, where Classic Trend separates from the cluster and continues its long climb. In an environment where most strategies move in lockstep, Classic Trend proves that true differentiation still exists. March Reflections March extended the headwinds for trend followers, reinforcing the lesson from February: when markets lack directional persistence, trend strategies suffer. The month brought more chop than conviction, testing the adaptability and patience of systematic models. Yet through the fog, one signal remains clear — the Classic Trend Index continues to exemplify the strength of traditional, process-driven approaches. While not immune to drawdowns, its long-term outperformance stands as a testament to consistency, diversification, and staying the course through uncertainty. “Classic Trend continues to prove that not all trend-following is created equal.” 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.
Battle of the Trend Following Indexes: February 2025
Battle of the Trend Following Indexes: February 2025 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. February 2025 Result The clash of titans in February saw a broad retreat across the trend-following landscape. After a strong showing in prior months, February proved turbulent, with all indexes reporting negative returns. The Classic Trend Index, while still the long-term leader, faced its toughest month in a while, highlighting just how quickly tides can turn in systematic strategies. Performance Highlights February delivered a firm reminder that trend following isn’t immune to drawdowns. All indexes posted losses for the month, with the Classic Trend Index down -3.8%, its sharpest monthly drop in recent memory. The TTU Trend Following Index and SG Trend Index also struggled, each shedding over 3%. Here’s how each index performed in February: Classic Trend Index: Fell by -3.8%, but still stands tall over the long term with a CAGR of 16.3%, a Sharpe of 1.04, and a towering Sortino of 2.58. It remains the gold standard in capturing outlier trends with discipline. SG Trend Index: Dropped -3.2%, bringing its YTD return to -3.0% and its 12-month return to -7.7%. Despite a CAGR of 6.8%, the drawdown of 14.4% weighs on its risk metrics. Barclay BTOP50: Declined just -1.3%, proving once again to be the most conservative option with the lowest maximum drawdown of 8.7% and a MAR ratio of 0.73. TTU Trend Following Index: Lost -3.3% in February and sits at 5.7% CAGR since 2020, with metrics showing steady yet less aggressive positioning. IASG TF Index: Down -2.7% on the month, but continues to show respectable consistency, holding a CAGR of 7.0% and a Sharpe ratio of 0.47. SG CTA Index: Also fell -2.5%, with weaker long-term stats—4.8% CAGR and 11.3% max drawdown. Systematic Momentum CTA Index: Matched SG CTA with a -2.5% decline. While its 12-month return of -4.6% lags, it remains a valuable benchmark for pure momentum strategies. Performance Snapshot The VAMI chart continues to paint a powerful picture of Classic Trend Index dominance, reaching 118.5% total return since January 2020, well ahead of its peers. Even after February’s stumble, it remains the clear trend titan. Statistical Table The performance table below underscores the dispersion across strategies. While short-term pain was felt across the board in February, long-term resilience remains the hallmark of top-performing indexes like the Classic Trend Index. February Reflections While February was a rough month for trend followers, it served as a timely reminder: trend strategies thrive on price persistence—not chop. The current environment appears to be testing models that rely on sustained directional moves. Despite the setback, the Classic Trend Index continues to demonstrate the power of traditional, process-driven approaches, highlighting the value of staying the course in uncertain times. About the Indexes SG Trend 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 001: “The Classic Trend Addicts are Back”
Episode 001: “The Classic Trend Addicts are Back” In the debut episode of Turtle Talk, Rich, Adam, and trend-following legend Jerry Parker dive into the raw, unfiltered world of Classic Trend Following. They break down the latest trend-following index battle, spotlight rising stars, debunk common myths, and explain why chasing outliers—not smoothing returns—is the key to long-term success. No overlays, no shortcuts—just pure trend addiction! https://www.youtube.com/watch?v=W_uQfwVarKo Welcome to the inaugural episode of Turtle Talk!. Listen to Rich Brennan, Adam Havryliv, and trend-following legend Jerry Parker as they break down: ✅ The Battle of the Trend Following Indexes—how the Classic Trend Index stacks up against modern trend benchmarks.✅ The biggest market movers in January—what’s driving performance, from the U.S. dollar surge to wild commodity trends.✅ Rising Stars & Trend Titans—which traders are standing out in systematic trend following.✅ Classic Trend Following vs. Modern Overlays—why sticking to the purest form of trend following matters.✅ MythBusters: “Risk Management Will Kill You”—Jerry’s take on why excessive risk overlays could be ruining trend-following strategies. We’re here to challenge conventional thinking, uncover market truths, and embrace the wiggly ride of true trend following. Got Questions Send them in, and we’ll try to feature them on the next episode!🔗 Submit your questions here Reports Mentioned in This Episode 1️⃣ Battle of the Trend Following Indexes: January 2025🔗 Read the report 2️⃣ Rising Stars and Trend Titans: January 2025🔗 Read the report 🎙️ 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! 🔜 Next Month: We put Salem Abraham under the spotlight—don’t miss it! 🔥 May the trend be with you! 🔥
