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.
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 ClassicTrendIndex.com 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 ClassicTrendIndex.com 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 ClassicTrendIndex.com'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 ClassicTrendIndex.com'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 ClassicTrendIndex.com on cumulative returns or Sharpe ratios.
The ClassicTrendIndex.com'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
1. 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
2. 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
3. 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
4. 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
5. 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
6. 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
7. 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 ClassicTrendIndex.com
8. 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. https://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