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!

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! 🔥