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.
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
- ClassicTrendIndex.com: 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 ClassicTrendIndex.com.
- 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 ClassicTrendIndex.com'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 ClassicTrendIndex.com 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 ClassicTrendIndex.com, 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 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.