Battle of the Trend Following Indexes: January 2025

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 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 Eurekahedge Trend Following IndexCurated 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 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: December 2024

Battle of the Trend Following Indexes: December 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.  In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. December 2024 Result December delivered mixed results across trend-following indexes, reflecting diverse market environments. The Classic Trend Index continued to shine, closing the year as the standout performer for 2024. Its traditional trend-following principles, focused on robust risk management and outlier capture, propelled it to outperform its peers significantly. Performance Highlights Classic Trend Index: With a 0.8% return for December and a stellar YTD performance of 18.8%, the Classic Trend Index remains the benchmark for consistent and superior risk-adjusted returns. Its MAR ratio of 1.98 and Sharpe ratio of 0.70 further highlight its efficient use of risk. SG Trend Index: December’s 1.5% gain contributed to a 2.6% YTD return, reflecting stability but lagging behind the top performers. A CAGR of 7.7% since January 2020 remains respectable for this broad-based index. Barclay BTOP50 Index: Delivered a 1.2% gain in December, bringing its YTD return to 4.4%. While solid, it underperformed compared to the Classic Trend Index. TTU Trend Following Index: Recorded a 0.9% gain in December, resulting in a YTD return of 4.4%. Its lower MAR ratio of 0.51 suggests higher relative drawdowns. IASG TF Index: With a 1.7% gain in December and a YTD return of 6.5%, this index showed resilience, supported by notable contributions from diversified asset classes. Eurekahedge TF Index: Posted a 1.7% gain in December, contributing to an impressive YTD return of 16.4%. Its Sharpe ratio of 0.68 and Sortino ratio of 1.52 reflect its focus on risk-adjusted performance. Systematic Momentum CTA Index: Achieved a 0.4% return in December, bringing its YTD return to 2.5%. While lagging behind, it provides a purist view of momentum-focused strategies. Performance Snapshot The VAMI chart showcases the Classic Trend Index’s sustained outperformance, reaching new highs despite the challenging environments faced by its peers. Its cumulative return since January 2020 remains unmatched, underscoring the strength of its systematic and diversified approach to trend following. Statistical Table The Classic Trend Index stands out as the top performer, boasting a 17.3% CAGR and minimal drawdowns, cementing its reputation for superior risk-adjusted returns. Its consistent success is rooted in its adherence to traditional trend-following principles, which emphasize systematic strategies without reliance on volatility adjustments or dynamic position sizing. By maintaining a steadfast focus on capturing market outliers, the Classic Trend Index has demonstrated resilience and efficiency, outperforming peers and setting the standard for effective trend-following methodologies. December concluded a strong year for the Classic Trend Index, solidifying its place as the benchmark for excellence in trend-following strategies. Its ability to consistently capture market outliers while minimizing risk highlights the enduring value of traditional systematic approaches. As we enter 2025, the Classic Trend Index sets a high standard for the trend-following landscape, proving that discipline and adherence to proven methodologies remain key drivers of success in an ever-changing market environment. 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 Eurekahedge Trend Following IndexCurated 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 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: November 2024

Battle of the Trend Following Indexes: November 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.  In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. November 2024 Result November saw a dramatic turnaround for trend-following strategies, rebounding strongly after October’s challenging environment. This resurgence was fuelled by pronounced trends in soft commodities, US Equities and Bitcoin, the latter gaining momentum after Trump’s public announcement of support. These favourable conditions provided a fertile backdrop for strong gains across all the indexes reviewed. The Classic Trend Index led the pack, delivering a standout 4.0% return, further cementing its position as the benchmark for consistent, risk-adjusted performance rooted in traditional trend-following principles. Performance Highlights Classic Trend Index: Once again emerged as the top performer, posting a 4.0% gain for November. Its superior MAR ratio of 2.05 highlights the efficiency of its risk-adjusted returns, significantly outpacing peers. This consistency reflects the enduring strength of its diversified systematic approach. SG Trend Index: Achieved a robust 3.3% return, benefiting from broad market participation, though its MAR ratio of 1.52 underscored slightly higher drawdowns relative to the Classic Trend Index. Barclay BTOP50 Index: Delivered a steady 2.4% return, demonstrating resilience but underperforming the leading benchmarks. IASG TF Index: Gained 3.4%, with notable contributions from soft commodities and equities, supported by a MAR ratio of 1.65. Eurekahedge TF Index: Added 3.2%, reflecting strength in alternative strategies, though variability remains higher compared to other benchmarks. Performance Snapshot The VAMI chart showcases the Classic Trend Index’s sustained outperformance, with cumulative returns rebased to January 2020. In November, the index reached a new high watermark, reflecting its ability to capture trends effectively while maintaining robust risk management. Unlike its peers, the Classic Trend Index adheres to traditional trend-following principles, avoiding volatility adjustments or dynamic position sizing methods that could dilute the impact of market outliers. The MAR ratio in the accompanying Statistical Table underscores its efficiency as a benchmark for risk-adjusted returns, delivering exceptional cumulative performance with minimal drawdowns since January 2020. While the market regime post-2020 has been particularly favourable for the Classic methodology—owing to its strict mitigation of adverse risk while capitalizing on beneficial volatility—the approach’s significant lifting power relative to its peers gives us confidence in its potential to deliver strong performance over the long term. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. November’s results highlight the resilience and adaptability of traditional trend-following approaches. The Classic Trend Index, with its emphasis on systematic, diversified strategies that exploit market Outliers, continues to demonstrate why it is the preferred benchmark for trend-following excellence. As we approach year-end, it remains well-positioned to deliver a solid annual performance, outshining its peers across key metrics. 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 Eurekahedge Trend Following IndexCurated 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 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: October 2024

Battle of the Trend Following Indexes: October 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.  In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. October 2024 Result October was a challenging month for trend-following strategies across the board, with most benchmarks facing headwinds in navigating volatile market conditions. Despite the turbulence, the Classic Trend Index demonstrated its resilience, retaining its leading position across key performance metrics. This consistency highlights the strength of its systematic approach, which remains rooted in traditional trend-following principles. Compared to its peers, the Classic Trend Index outperformed in several critical areas. While other benchmarks, such as the SG Trend Index and Barclay BTOP50 Index, also delivered robust long-term returns, they struggled more visibly in October. The SG Trend Index, representative of large-scale CTAs, experienced notable drawdowns, reflecting the broader challenges in capturing trends across diverse asset classes. Similarly, the Barclay BTOP50 Index, often regarded as a standard for managed futures, showed moderate resilience but fell short of the Classic Trend Index’s risk-adjusted performance. Among the niche indexes, the Eurekahedge Trend Following Index and IASG Trend Following Index exhibited higher variability. These benchmarks, which include funds employing alternative or specialized strategies, faced greater challenges in maintaining consistency. By contrast, the Classic Trend Index’s focus on systematic, diversified strategies allowed it to better weather the month’s market turbulence. The Systematic Momentum CTA Index, with its emphasis on pure momentum strategies, experienced heightened volatility, underscoring the challenges of a single-factor approach in turbulent markets. The TTU Trend Following Index, known for its emphasis on programs with a long-term track record, demonstrated resilience but did not outperform the Classic Trend Index on cumulative returns or Sharpe ratios. The Classic Trend Index’s ability to balance performance with risk management was a standout feature in October. With a smaller drawdown compared to most other benchmarks, it solidified its reputation as a benchmark for traditional trend-following excellence. This performance underscores the efficacy of its methodical approach in capitalizing on trends while effectively managing risk during challenging periods. Performance Snapshot The VAMI performance chart below displays cumulative returns since January 2020, providing a visual comparison of how each index has navigated varying market conditions over the past few years. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. 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 Eurekahedge Trend Following IndexCurated 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 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: September 2024

Battle of the Trend Following Indexes: September 2024 In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks.  In the Battle of the Trend Following Indexes, we present a monthly update on some of the most respected trend-following benchmarks. This report includes a VAMI (Value Added Monthly Index) performance chart and a comprehensive statistical table, allowing readers to stay informed on the performance of popular trend-following indexes and identify standout performers. Performance Snapshot The VAMI performance chart below displays cumulative returns since January 2020, providing a visual comparison of how each index has navigated varying market conditions over the past few years. Statistical Table Our comprehensive statistical table evaluates each index using key metrics, including monthly returns, Sharpe ratios, maximum drawdowns, and more. This data allows readers to track the performance and risk management effectiveness of each index. 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 Eurekahedge Trend Following IndexCurated 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 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.