Battle of the Trend Following Indexes: March 2026
The Battle of the Trend Following Indexes provides a monthly snapshot of the leading trend-following benchmarks. All figures reflect performance through 31 March 2026, with index histories rebased to 1,000 on 1 January 2020.
March 2026 Result
Three weeks of sustained precious metals repricing expose the cost of convexity, with Classic Trend giving back what its Feb positioning had built.
March brought an abrupt halt to the powerful start that trend-following strategies enjoyed through January and February. After two consecutive months of universal gains, every benchmark finished March in negative territory. The month was defined not by a single violent reversal but by a sustained repricing of the precious metals complex, the very positions that had powered January’s and February’s outsized returns. Across three consecutive weeks, silver, gold, palladium, and platinum gave back substantial portions of the gains that had accumulated through the prior two months, with the third week of March delivering an historic session in which silver crashed 14.4 percent, gold fell 9.6 percent, and the full metals sector averaged minus 8.5 percent. Energy surged in parallel across three of the four March weeks, with heating oil, crude oil Brent, and crude oil WTI all posting multi-week gains of exceptional magnitude. Equities declined for four consecutive weeks. The net outcome was a month that redistributed returns across the peer group, with the programs that had the largest long metals exposure going in surrendering the most.
Classic Trend Index bore the brunt of the reversal, giving back 8.6 percent for the month. The index had entered March with exceptional embedded profits in precious metals following February’s explosive final week, when silver surged 12.4 percent, platinum advanced 9.1 percent, and gold extended its historic run above 5,296 dollars. Those were precisely the positions that absorbed three consecutive weeks of selling pressure, culminating in the third week’s historic decline. Meanwhile, SG CTA Index was the most defensive of the peer group, finishing down 0.8 percent, followed by Barclay BTOP50 at minus 1.4 percent, SG Trend Index and Systematic Momentum CTA Index both at minus 1.6 percent, TTU Trend Following Index at minus 2.3 percent, and IASG Trend Following Index at minus 2.6 percent. The major energy contribution across the peer group, with crude oil WTI approaching 100 dollars, heating oil clearing 4.67, and Brent crude exceeding 109 at their March peaks, provided meaningful offset to metals losses for programs with established long petroleum exposure.
The dispersion between benchmarks tells an important story about structural design choices. A 7.8 percentage point gap between the best and worst performing index reflects fundamentally different approaches to how unrealised equity is deployed. Classic Trend trades with high convexity, aggressively redeploying unrealised equity into winning positions to swing for the fences when trends extend. That design is what produced the outsized January and February results, and it is the same design that surrenders the most when brutal reversals strike. Programs using dynamic position sizing, volatility targeting, and similar forms of exposure dampening had been scaling winning positions down as they grew, locking in profits along the way. Neither approach is wrong. They are different points on the convexity spectrum, and March made that spectrum visible in the clearest possible terms.
Trailing quarterly and year-to-date results still capture most of the early-year strength. SG CTA and IASG TF share the lead at 7.4 percent, followed by Barclay BTOP50 and TTU TF at 7.2 percent, SG Trend at 7.1 percent, Systematic Momentum at 6.1 percent, and Classic Trend at 1.0 percent. The compression reshuffled the order entirely from February’s ranking.
Over the long horizon from January 2020, Classic Trend Index retains a substantial cumulative advantage. The index has now gained 130.8 percent since inception, a compound annual growth rate of 14.3 percent. IASG TF follows at 64.7 percent, with SG Trend at 59.5 percent and Barclay BTOP50 at 51.7 percent. TTU TF, SG CTA, and Systematic Momentum sit between 36.5 percent and 46.7 percent. Even after March’s setback, Classic Trend’s cumulative lead over the next-best performer exceeds 66 percentage points.
Performance Highlights
Here is how the indexes performed in March:
Classic Trend Index
-8.6 percent for March, the deepest monthly loss among the seven benchmarks. Trailing quarter +1.0 percent. YTD +1.0 percent. Since January 2020 the index has gained 130.8 percent with a 14.3 percent CAGR. Classic Trend retains leadership across long-term risk-adjusted measures with a MAR of 0.91, a Sharpe of 0.83, and a Sortino of 1.39. The concentration of long metals exposure that drove the 5.0 percent January and 5.3 percent February results was the concentration that absorbed March’s repricing. The index’s three constituents entered the month with substantial unrealised equity in silver, platinum, and gold positions, and the mid-March session in which silver crashed 14.4 percent and gold fell 9.6 percent accounted for the majority of the monthly loss.
Barclay BTOP50 Index
-1.4 percent for March. Trailing quarter +7.2 percent. YTD +7.2 percent. Since 2020 the index has gained 51.7 percent with a 6.9 percent CAGR and the lowest drawdown of the group at 9.7 percent. With the highest proportion of winning months at 62.7 percent, BTOP50 once again demonstrated the value of its defensive profile. The modest March loss preserved the bulk of the strong first-quarter result, and the index remains a textbook example of how volatility-targeted, diversified exposures can deliver smoother equity curves through reversal months.
SG Trend Index
-1.6 percent for March and +7.1 percent for the trailing quarter. YTD +7.1 percent. Since 2020 the index is up 59.5 percent with a 7.8 percent CAGR and a 20.4 percent drawdown. The large-programme trend benchmark navigated March’s reversal with limited damage, reflecting the systematic scaling down of winning positions that large-AUM programs tend to employ as exposure grows. The result is a retention of most of the early-year gains heading into the second quarter.
SG CTA Index
-0.8 percent for the month, the most defensive result of the seven benchmarks, and +7.4 percent for the trailing quarter. YTD +7.4 percent, sharing the lead with IASG TF. Since 2020 the index is up 39.4 percent with a 5.5 percent CAGR and a 16.3 percent drawdown. The broader CTA blend’s more diversified strategy mix, which includes programs beyond pure trend, provided meaningful cushion during March’s reversal. The sub-1 percent loss is an outstanding result given the breadth and violence of the counter-moves.
TTU Trend Following Index
-2.3 percent for March and +7.2 percent for the trailing quarter. YTD +7.2 percent. Since 2020 the index has gained 46.7 percent with a 6.3 percent CAGR and a 20.8 percent drawdown. The large-ensemble benchmark surrendered a portion of the strong January and February contributions but preserved the majority of the year-to-date result. The 47-program ensemble’s breadth helps diffuse the impact of any single asset-class reversal, although the correlated nature of March’s counter-moves limited the benefit of diversification this month.
IASG Trend Following Index
-2.6 percent in March and +7.4 percent for the trailing quarter. YTD +7.4 percent, sharing the YTD lead with SG CTA. Since 2020 the index has gained 64.7 percent with an 8.3 percent CAGR and a 14.9 percent drawdown. IASG TF retains its leadership across the trailing twelve-month window at 16.1 percent and continues to demonstrate one of the best growth-to-drawdown profiles among the seven benchmarks. The month’s loss was measured in the context of what has been the strongest twelve-month result in the peer group.
Systematic Momentum CTA Index
-1.6 percent in March and +6.1 percent for the trailing quarter. YTD +6.1 percent. Since 2020 the index has gained 36.5 percent with a 5.1 percent CAGR and a 16.7 percent drawdown. The broad 163-constituent momentum benchmark delivered a middle-of-the-pack result for the month, with the diversification across a very large number of programs dampening the impact of the reversal. The index retains a solid year-to-date contribution despite March’s pullback.
Performance Snapshot
The March VAMI chart shows Classic Trend Index pulling back from the late-February high above 2,500, closing the month near 2,300. The shape of the pullback traces the three-week metals repricing rather than a single-session event, and the index’s long-term separation from the peer group remains intact. The remaining benchmarks are clustered between roughly 1,370 and 1,650, each giving back a modest portion of the two-month advance. Beneath the chart, the TTU Trend Barometer finished March at 66 percent with a Rising Moderately rate of change, a Strong classification that reflected broadening trend signals across meats, soft commodities, copper, and the continuing energy advance even as the metals complex repriced.
Statistical Highlights
Classic Trend Index retains leadership across long-term risk-adjusted statistics despite March’s setback. Its CAGR of 14.3 percent continues to lead the field by a substantial margin, and it holds the top rank across the MAR ratio at 0.91, Sharpe at 0.83, and Sortino at 1.39. The maximum drawdown of 15.8 percent is unchanged from prior months, as March’s loss remained within the bounds of the existing drawdown envelope.
Barclay BTOP50 once again leads on two of the most important allocator metrics: the lowest maximum drawdown at 9.7 percent and the highest winning month ratio at 62.7 percent. Its MAR ratio of 0.71 continues to reflect the diversification value of a stable, volatility-controlled CTA benchmark. IASG TF leads the trailing twelve-month window at 16.1 percent and the trailing two-year window at 6.5 percent alongside Barclay BTOP50, reflecting the power of its growth-to-drawdown profile over recent horizons.
Correlation to global equities remains low across all benchmarks, ranging from 0.02 to 0.09. March did not alter this structural feature. The negative returns were driven by mean-reversion in commodities and bonds, not by any shared exposure to equity-market beta, reinforcing the enduring diversification value of systematic trend exposure.
The dispersion across benchmarks in March was 7.8 percentage points, the widest of the year so far and a sharp contrast to January’s 1.1 percent compression and February’s 1.9 percent. The gap is consistent with the convexity spectrum at work across the peer group, where the same structural choices that drove two months of outperformance now sit behind a month of underperformance.
March Reflections
March’s reversal was not a single-week event but a sustained three-week repricing of the precious metals complex. Silver gave back 9.6 percent in the first week, 3.5 percent in the second, and then crashed 14.4 percent in the third. Gold, which had held firm above 5,000 dollars through the first two weeks, fell 9.6 percent in the third week, its largest weekly decline in recent history. Palladium declined each week for three consecutive weeks. The metals sector averaged minus 6.9 percent, minus 3.2 percent, and minus 8.5 percent across the three weeks. In parallel, energy surged: crude oil WTI approached 100 dollars, Brent cleared 109, and heating oil reached 4.67. For portfolios with diversified long exposure across both complexes, energy provided meaningful offset. For portfolios whose largest embedded positions sat in the metals complex, the offset was incomplete.
For the Classic Trend Index, the month was the expected cost of the strategy’s design. Because the approach deploys unrealised equity aggressively into winning positions, both the outsized January and February results and the March drawdown are outputs of the same underlying rules. Programs at other points on the convexity spectrum, using dynamic position sizing and volatility scaling, had progressively taken chips off the table as winning positions grew. By the time the reversal arrived, their exposure to the vulnerable positions was materially smaller. The March range of losses, from SG CTA at minus 0.8 percent to Classic Trend at minus 8.6 percent, is the visible output of that design difference.
That the broader trend environment strengthened while a significant portion of the peer group was absorbing losses is the clearest signal that March was a localised repricing of one asset class rather than a breakdown of systematic conditions more broadly.
Market conditions at the end of March left trend followers with smaller embedded positions than at the February close, a reset rather than a break. The first week of April has since delivered a sharp commodity repricing on tariff-related headlines, with WTI crude, palladium, gold, and silver all posting significant gains, but that sits outside the March record and its interpretation belongs to next month’s report.
Over the long horizon, the cumulative ranking is unchanged. Classic Trend’s lead over the next-best benchmark exceeds 66 percentage points since January 2020, and the top rank on every risk-adjusted measure in the statistical table is preserved. March is one observation within a six-year data set, and its interpretation is a matter for each allocator’s own judgement on the convexity spectrum.
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 - 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.
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