Introduction
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 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 - ClassicTrendIndex.com
The ClassicTrendIndex.com, 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
Conclusion
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.