Battle of the Trend Following Indexes: January 2025
In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.
January 2025 Result
January ushered in a strong start for several trend-following indexes, with the Classic Trend Index once again demonstrating its superiority. Market conditions remained dynamic, testing the adaptability of systematic trend strategies across various asset classes.
Performance Highlights
January 2025 delivered varied results across trend-following indexes, with some continuing their strong momentum while others lagged. Market conditions remained dynamic, testing the resilience of different strategies.
Here’s how each index performed:
- Classic Trend Index – The standout performer for the month, gaining 3.7% in January. Over the last 12 months, it returned 19.2%, maintaining its position as a leader in systematic trend-following. With a CAGR of 17.9%, a Sharpe ratio of 1.15, and a Sortino ratio of 2.64, it continues to demonstrate superior risk-adjusted returns.
- SG Trend Index – Recorded a modest 0.2% gain for January, reflecting slower momentum. Its CAGR of 7.6% since January 2020 remains respectable, though it trails top-performing benchmarks.
- Barclay BTOP50 Index – Posted a 1.2% increase in January, bringing its 12 month return to 5.5%. It had the lowest maximum drawdown (8.7%), making it a relatively conservative performer.
- TTU Trend Following Index – Delivered a 1.4% gain in January, keeping pace with its peers. Its MAR ratio of 0.52 suggests a reasonable balance between returns and drawdowns.
- IASG TF Index – Increased by 1.3% in January, supported by strong diversification across asset classes. It maintains a Sharpe ratio of 0.54 and a Sortino ratio of 0.35.
- Eurekahedge TF Index – Up 0.9% in January, bringing its 12-month return to 4.8%.
- Systematic Momentum CTA Index – Recorded a 0.9% gain, bringing its 12 month return to 2.8%. While not a top performer, it remains a useful benchmark for evaluating pure momentum strategies.
Performance Snapshot
The VAMI chart underscores the sustained outperformance of the Classic Trend Index, which continues to reach new highs. Its cumulative return of 131.2% since January 2020 is unmatched, demonstrating the power of traditional trend-following strategies in navigating dynamic markets.
Statistical Table
The Classic Trend Index remains the top performer, boasting a CAGR of 17.9% and demonstrating resilience with a Sharpe ratio of 1.15 and a Sortino ratio of 2.64. Its ability to capture market outliers while maintaining efficient risk-adjusted returns reinforces its leadership in systematic trend-following strategies.
The Barclay BTOP50 Index, while more conservative, recorded the lowest maximum drawdown (8.7%), highlighting its focus on risk mitigation. Meanwhile, the SG Trend Index and TTU Trend Following Index continue to provide steady, diversified exposure, with their CAGR of 7.6% and 6.7%, respectively.
While the Eurekahedge TF Index and IASG TF Index demonstrated solid 12-month returns of 4.8% and 5.3%, they remain slightly behind the Classic Trend Index in overall performance. The Systematic Momentum CTA Index, which purely tracks momentum strategies, lags behind with a 12-month return of 2.8% but serves as a useful benchmark for evaluating trend-based momentum models.
This table underscores the performance dispersion across different trend-following strategies, with outlier capture and disciplined execution continuing to separate top-performing indexes from the rest.
January 2025 reinforced the dominance of the Classic Trend Index, which continues to set the standard for systematic trend-following performance. With a strong 3.7% gain for the month and a 12-month return of 19.2%, it remains the benchmark for disciplined trend-following strategies, leveraging outlier capture and robust risk management.
While other indexes showed steady but varied performance, Barclay BTOP50 stood out for its low drawdowns, while IASG TF Index and Eurekahedge TF Index delivered respectable risk-adjusted returns. The Systematic Momentum CTA Index, despite its weaker 12-month return of 2.8%, continues to serve as an important reference for momentum-driven strategies.
As we move deeper into 2025, the divergence in performance highlights the importance of strategy robustness and adaptability in evolving market conditions. The Classic Trend Index’s adherence to traditional trend-following principles remains its key strength, proving that disciplined execution and process-driven investing continue to drive long-term success.
About the Indexes
- SG Trend Index
Created by Société Générale, the SG Trend Index represents the largest trend-following CTA programs, focusing on systematic strategies with significant AUM. It captures broad market movements across various assets. More on SG Trend Index - Barclay BTOP50 Index
Managed by BarclayHedge, this index follows the largest investable CTAs, emphasizing diversification across major futures markets. It’s a widely referenced benchmark for managed futures. More on BTOP50 Index - TTU Trend Following Index
Developed by Top Traders Unplugged, the TTU TF Index includes programs with a 15-year track record, emphasizing resilience through experience and diversification across a large ensemble of programs. More on TTU TF Index - SG CTA Index
Another index by Société Générale, the SG CTA Index covers a broader array of CTA strategies, providing insight into the managed futures landscape beyond trend following alone. More on SG CTA Index - IASG Trend Following Index
This index, managed by IASG, tracks CTAs that primarily use trend-following strategies, offering a focused benchmark within the managed futures space. More on IASG TF Index - Eurekahedge Trend Following Index
Curated by Eurekahedge, this index includes hedge funds specializing in trend-following across multiple asset classes, highlighting alternative approaches within trend following. More on Eurekahedge Trend Following Index - Classic Trend Index
The Classic Trend Index, curated by the Aussie Turtles, is a benchmark for traditional trend-following strategies, focusing on consistent, systematic approaches across diversified asset classes. More on Classic Trend Index - Systematic Momentum CTA Index
Managed by NilssonHedge, this index tracks CTAs focused on momentum-based strategies, providing a purist view of momentum trading within managed futures. More on Systematic Momentum CTA Index
Stay tuned for next month’s Battle of the Trend Following Indexes to see which benchmarks emerge as the top performers in the trend-following landscape.
