Trend Following Performance Report - April, 2026

The Whipsaw Resolves into a Trend

April delivered the strongest single trend-following month of 2026 to date, but the result was earned through one of the most disruptive intra-month environments of the cycle. All three major benchmarks posted gains for a fourth consecutive month, the TTU Trend Barometer closed at 61 in favourable territory after a five-week round trip through the Neutral band, and the trailing twelve-month figures pushed further into double-digit territory. The S&P 500 Total Return Index also advanced strongly on a powerful relief rally from the prior month's tariff-driven correction, marking a month in which trend following and equities moved in the same direction without diminishing the structural diversification case.

The SG Trend Index led the trend benchmarks with a 2.85 percent advance, followed closely by the TTU Trend Following Index at 2.98 percent and the BTOP50 at 1.96 percent. The headline figures, however, conceal a remarkable intra-month journey. April opened with an 18 percent surge in Crude Oil WTI on the anniversary of the Liberation Day tariff actions, only to see that move fully reverse the following week as Hormuz reopening optimism stripped the geopolitical risk premium. The Barometer collapsed from 66 to 48 across the first fortnight as the violent two-way energy trade disrupted trend breadth across the systematic universe. For a period, raw percentage moves were extraordinary but signal quality was deteriorating.

That tension resolved through the second half of the month. The Strait of Hormuz remained effectively closed to commercial flows, energy reasserted itself decisively on the long side, metals consolidated their multi-month upward structure after a single-week correction, soft commodities turned cleanly higher, and the Barometer recovered to 55 and then to 61, reclaiming favourable territory with conviction. By month-end, the cycle had absorbed the disruption and reasserted itself, with trend breadth, individual sector signals, and benchmark performance once again aligned.

The benchmark results for April were as follows:

• TTU Trend Following Index: +2.98 percent for April (trailing 12 months +23.23 percent)
• SG Trend Index: +2.85 percent for April (trailing 12 months +24.37 percent)
• BTOP50 Index: +1.96 percent for April (trailing 12 months +16.60 percent)
• S&P 500 Total Return: +10.49 percent for April (trailing 12 months +31.05 percent)

The trailing twelve-month figures now stand at their strongest levels of the cycle. The SG Trend Index has reached 24.37 percent, the TTU TF Index 23.23 percent, and the BTOP50 16.60 percent. Four consecutive months of positive returns have transformed the rolling window, with the cumulative impact of January through April delivering one of the most powerful sustained advances in recent memory for the systematic trend space.

The expansion of the TTU TF Index to 51 active programs, up from 49 at the close of February, continues to reflect the growing depth of the systematic trend-following universe. Two additional programs now meet the stringent inclusion criteria of a minimum 15-year unbroken track record, further broadening the composite's diversification base. For April, 50 of the 51 programs reported by the cut-off, providing the index with its broadest coverage to date.

April's message for trend followers is one of resilience under pressure. The month demonstrated that diversified systematic programs can navigate violent cross-sector whipsaws driven by geopolitical events without sacrificing the directional capture that defines the strategy. The combination of strong absolute returns, a Barometer reclaiming favourable territory at month-end, and both the TTU TF Index and SG Trend Index crossing into double-digit year-to-date territory confirms that the cycle that began in January has not only continued but strengthened through conditions that would historically have proven disruptive.

April 2026 Trend Index Performance

Trend-following performance in April delivered a fourth consecutive month of positive returns, with the cycle that began in January continuing to strengthen through one of the most disruptive intra-month environments of the year.

All three major benchmarks posted advances, with the TTU Trend Following Index leading at 2.98 percent, the SG Trend Index gaining 2.85 percent, and the BTOP50 advancing 1.96 percent. The S&P 500 Total Return Index also delivered a powerful result at 10.49 percent, recovering sharply from the prior month's tariff-driven correction in what proved to be one of the strongest single-month equity rebounds in recent memory.

The headline figures conceal a remarkable intra-month journey defined by two large geopolitical shocks moving in opposite directions. The month opened with the one-year anniversary of the Liberation Day tariff actions, which triggered an 18 percent single-week surge in Crude Oil WTI, an 11 percent advance in Palladium, and powerful gains across the broader metals and petroleum complexes. The TTU Trend Barometer, which entered April at 66, fell to 55 in the first week as the violent multi-sector repricing disrupted established trend signals even as raw percentage moves were extraordinary. The second week brought the mirror image: a 13 percent reversal in Crude Oil WTI, a 14 percent decline in Heating Oil, and a powerful equity and crypto relief rally as Hormuz reopening optimism stripped out the geopolitical risk premium. The Barometer collapsed further to 48, registering its weakest reading since February's mid-month dip and signalling that the back-to-back round trips in energy were overwhelming the constructive contributions from equities and metals.

The resolution came through the second half of the month. The Strait of Hormuz remained effectively closed to commercial flows, the US naval blockade of Iranian ports tightened, and OPEC cut its second-quarter demand forecast by 500,000 barrels per day. Energy reasserted itself decisively on the long side with the Brent contract advancing 16.54 percent in a single week, followed by a further 10.67 percent in the final week as the petroleum complex extended into a sustained uptrend. Metals consolidated their multi-month upward structure after a single corrective week. Soft commodities turned cleanly higher, with Orange Juice reversing sharply on weather-driven supply concerns. The Barometer recovered to 55 and then advanced to 61, reclaiming favourable territory at the close.

This pattern of mid-month stress followed by a powerful recovery is becoming a defining feature of the 2026 cycle, with February and April both following the same essential structure. The breadth of exposure across uncorrelated markets continues to provide diversified systematic portfolios with multiple paths to recovery even when individual sectors experience violent reversals. April's returns were not driven by a single theme but by the sequential rotation of leadership across asset classes as the geopolitical narrative evolved.

The TTU TF Index led the trend benchmarks once again, reflecting the advantage of its construction methodology during periods of elevated rotation. With the index now composed of 51 programs, up from 49 at the close of February, and 50 of those reporting for April, the composite captured an even broader cross-section of systematic trend-following behaviour. The additional diversification proved its worth in a month where program-level dispersion was driven by the timing and magnitude of energy exposure rather than by consistent directional positioning.

The fact that all three trend benchmarks delivered positive returns alongside a powerful equity advance represents a different but equally constructive scenario for systematic trend following. In months where equities and trend following move in the same direction, the contribution to multi-asset portfolios comes through the additive impact of both engines firing rather than through the diversification benefit visible when they move in opposition. April demonstrated that diversified trend-following programs can capture meaningful returns from commodity and currency directional moves even when equities are the dominant story, reinforcing the case for the strategy as a structural complement to traditional risk assets rather than merely a hedge against their weakness.

SG Trend Index

The SG Trend Index is designed to track the 10 largest trend following CTAs of the Managed Futures space.

Criteria for inclusion in the Index, as determined by Société Générale, are as follows:

• Must trade primarily futures (including FX forwards);
• Must be broadly diversified across asset classes;
• Must be an industry recognized trend follower;
• Must exhibit significant correlation to trend following peers;
• Must be open to new investment; and
• Must report returns on a daily basis (net of fees).

The index currently is:

• Equally weighted;
• Calculated in base currency;
• Has an inception date of 1st January 2000;
• Rebalanced annually on 1st January; and
• Reconstituted annually on 1st January based on eligibility criteria.

There was a slight modification to the Index from January 2013 to the present. Previously the Programs needed to be a constituent of the SG CTA Index, and the 10 largest Managers was not a requirement.

For the 2026 year, following the annual rebalance of the Index, we say goodbye to the Systematica Investments (BlueTrend) Program and welcome back the PIMCO LLC (PIMCO Trends Managed Futures) Program. The listing of the 10 eligible programs in the Index for 2026 is as follows:

MANAGER	PROGRAM
AlphaSimplex Group	ASG Managed Futures
AQR Capital Management	Managed Futures
Aspect Capital	Core Diversified
Graham Capital Management	Tactical Trend A
iSAM	Vector
Lynx Asset Management AB	Lynx Program Bermuda D
Man Group plc	Man AHL Alpha
PIMCO LLC	PIMCO Trends Managed Futures
Transtrend	DTP/Enhanced Risk - USD
Winton Capital Management	Winton Trend

The SG Trend Index, which tracks the ten largest institutional trend-following CTAs, advanced 2.85 percent in April, extending the strong cycle that began in January with a fourth consecutive month of positive returns. The advance brought the trailing twelve-month return to 24.37 percent, a remarkable level that reflects the cumulative impact of four consecutive strong months replacing weaker periods from early 2025 in the rolling window. The year-to-date figure has now crossed into double-digit territory at 10.13 percent, a meaningful milestone that confirms the durability of the 2026 advance.

The result is all the more notable given the path taken during the month. The largest institutional programs navigated two consecutive weeks of violent two-way energy trading driven by the Liberation Day tariff anniversary and the subsequent Hormuz reopening optimism, before capturing the resolution of the geopolitical narrative through the second half of the month as energy reasserted itself decisively on the long side. Metals contributed positively for the cycle despite a single corrective week, soft commodities turned higher in the final fortnight, and equity exposure delivered through the powerful month-end recovery. The ability of these large-scale diversified programs to absorb the mid-month whipsaws while capturing the cleaner directional moves in the back half of the month is precisely what their scale and diversification are designed to deliver.

The long-term characteristics of the SG Trend Index continue to strengthen. Since inception, it has delivered a historical CAGR of 5.64 percent with a maximum drawdown of 20.61 percent, reflecting both the durability and the inherent cyclicality of large-scale systematic programs. The improvement in CAGR from 5.63 percent at the close of February to 5.64 percent now reflects the continuing positive contribution of the 2026 advance to the long-term track record. These managers tend to benefit meaningfully when sustained trends reassert themselves, and the resolution of April's mid-month disruption into a clean directional environment by month-end confirms that this dynamic remains firmly in play.

Since its launch in 2000, the SG Trend Index has maintained its role as a core institutional benchmark for trend-following performance. It consistently sits between the higher-returning TTU Trend Following Index and the broader BTOP50 Index, capturing the central tendency of the industry's largest managers. Its high correlation of 0.95 with the TTU TF Index reinforces its usefulness as a barometer of collective institutional behaviour, even as its construction produces more moderated long-run returns relative to smaller or more aggressive trend-following composites.

The performance of the SG Trend Index since 1st January 2000 to the end of last month is seen in the chart below:

You will notice how the SG Trend Index is highly correlated with the BTOP50 Index and the TTU TF Index and uncorrelated with the S&P500TR Index.

Despite the high correlation between the various trend following Indexes, the long-term performance of these three Trend Following Indexes in terms of CAGR is different. The SG Trend Index plots between the BTOP50 Index and the TTU TF Index.

BTOP 50 Index

The BTOP50 Index seeks to replicate the overall composition of the managed futures industry with regards to trading style and overall market exposure. Unlike the SG Trend Index and the TTU TF Index, the BTOP50 is not strictly a trend-following index and is more broadly representative of the entire managed futures segment, of which a dominant style is trend following. We like to think of the BTOP 50 as a ‘quasi trend-following Index’ as opposed to a pure trend-following Index.

Like the SG Trend Index, the BTOP50 Index is designed to track the performance of the largest Programs by AUM, however the Programs included may not be all Trend Following Programs.

The criteria for inclusion in the Index as determined by BarclayHedge are as follows:

• Must be a Program represented in the Barclay CTA Universe;
• In each Calendar year, the Programs selected must in aggregate be no less than 50% of the investable assets of the Barclay CTA Universe;
• The Programs must be open for investment;
• The Manager must be willing to provide Barclay Hedge with daily return performance;
• The Program must have at least two years of trading activity; and
• The Program’s advisor must have at least three years of operating history.

The index currently is:

• Equally weighted;
• Rebalanced annually on 1st January
• Reconstituted annually on 1st January based on eligibility criteria.

Despite the '50' tag in the BTOP 50 description, the 2026 constituent listing has not yet been released by BarclayHedge at the time of this report. The 2025 listing of 20 constituents remains the most recent available reference.

The BTOP50 Index delivered a 1.96 percent gain in April, extending the strong cycle that began in January with a fourth consecutive month of positive returns. Over the trailing twelve months, the index now stands at 16.60 percent, a substantial level that reflects the cumulative impact of four consecutive strong months replacing weaker periods from early 2025 in the rolling window. The year-to-date figure has now reached 9.55 percent through the first four months of 2026, approaching double-digit territory and confirming the durability of the 2026 advance.

The BTOP50 once again settled into third position among the trend benchmarks in April, trailing the TTU TF Index at 2.98 percent and the SG Trend Index at 2.85 percent. This relative positioning is consistent with the character of the month's opportunity set. April's gains were driven by the resolution of violent geopolitical two-way trading into clean directional moves through the second half of the month, a dynamic that tends to favour the more concentrated trend-following composites whose programs are specifically designed for directional persistence. The broader managed futures construction of the BTOP50 participated fully in the month's gains but with the moderating effect that its non-trend-following constituents typically produce during periods of strong directional capture.

The long-term profile of the BTOP50 remains consistent with its design. Since inception, it has produced a historical CAGR of 4.40 percent with a maximum drawdown of 15.94 percent, reinforcing its reputation for stability and risk moderation. The improvement in CAGR from 4.34 percent at the close of February to 4.40 percent now reflects the positive contribution of the 2026 advance to the long-term track record.

April demonstrated both the strengths and the limitations of the BTOP50's broad construction. The index participated meaningfully in the month's gains, capturing returns from the energy reversal in the back half of the month, the consolidation in metals after a single corrective week, the soft commodity recovery, and the powerful equity advance. However, its inclusion of non-trend-following managed futures strategies moderated the upside relative to purer trend composites during a month when the most profitable opportunities came from sustained directional moves in specific sectors. This is the structural trade-off inherent in the BTOP50's design: broader diversification provides stability but dilutes the convexity that pure trend-following composites deliver when directional conditions strengthen.

The index's high correlation of 0.96 with the SG Trend Index and 0.93 with the TTU TF Index confirms that its performance remains closely aligned with its trend-following peers, even as its broader mandate produces more moderated long-term returns. The correlation of -0.10 with the S&P 500 Total Return Index remains an important structural feature of the index over the long run, though April provided a different observation in which both the BTOP50 and the S&P 500 advanced together, illustrating that uncorrelated does not mean negatively correlated and that periods of co-movement are a natural feature of the long-run statistical relationship.

The performance of the BTOP 50 Index since 1st January 2000 to the end of last month is seen in the chart below:

The BTOP 50 Index is highly correlated with the trend following Indexes of the SG Trend Index and the TTU TF Index, however its long-term performance is the lowest of the 3 Trend Following Indexes. While there is a significant representation of Trend Following Programs within the Index, the non-trend following Programs contribute to this diluted long-term performance.

TTU TF Index

The TTU TF Index has been developed by Top Traders Unplugged to provide a performance measure of the trend-following programs with a long-term track record.

At TTU, we recognize the importance of a robust trading approach to these uncertain markets and feel that AUM is not a good robustness measure when it comes to assessing performance of the trend-following industry. It is our strong opinion that the ultimate selection measure to apply in constituting a Trend Following Index is not AUM or a proxy risk metric such as the Sharpe, Sortino, MAR ratio, Ulcer Index or Serenity ratio. The superior metric to assess long-term performance is the long-term validated track record itself.

We have therefore developed a different method for constructing our TTU TF Index.

The criteria for inclusion into the TTU TF Index are as follows:

• Monthly performance results need to be captured in the Nilsson Hedge CTA database;
• Must be geographically diversified across asset classes;
• Must be fully systematic in nature using quantitative rules for entry and exit;
• Must possess at least a 15-year unbroken track record to the current reporting month;
• Must adopt trend following as their dominant investment strategy;
• Are currently active programs; and
• Must report performance monthly (net of fees).

The Index:

• Is Equally weighted;
• Is Rebalanced monthly;
• Is Reconstituted monthly;
• Has an inception date of 1st January 2000

As of April 30, 2026, the TTU Trend Following Index is composed of 51 active programs, each with a long-term, fully verified performance record. The continued expansion from 43 programs at the close of 2025, to 47 in January, 49 in February, and now 51 in April reflects the growing depth of the systematic trend-following universe, with additional programs now meeting the stringent 15-year track record requirement. The monthly index return reflects the equal-weighted average performance of all programs reporting for the period.

For April, 50 of the 51 programs submitted performance data by the reporting cut-off. The index therefore captures its broadest cross-section of systematic trend-following behaviour to date, while maintaining continuity and consistency in its long-term construction.

The performance of the TTU TF Index from 1st January 2000 to the end of last month is as follows:

Now you might be intrigued by the performance result of the TTU TF Index. While it is highly correlated with the BTOP 50 Index and the SG Trend Index, we can see that long term performance of the TTU TF Index clearly outstrips alternative Index measures.

The dominant contributor of this outperformance is the requirement for any participating Program in the Index to have a long-term track record. You see, using AUM as a criterion for inclusion is not necessarily a useful selection criterion. While AUM reflects 'market appeal', it does not imply that this 'market appeal' is strongly correlated with 'long term performance'.

Our process of Index construction gives us an insight into how any diversified ensemble of trend following Programs with a long-term track record approaches an optimal portfolio as we increase the number of Programs in the Index. Simply by diversifying into a large ensemble of Trend Following Programs with a long-term track record, we magically improve the Index result. CAGR is increased and our drawdowns are reduced.

Of course, we already know this 'diversification' principle of Trend Following. As we increase our diversification efforts, we obtain improvement both in terms of the maximum drawdown and in the CAGR generated by the ensemble. This is why we seek to strive for maximum market and system diversification within our individual programs. The TTU TF Index just takes this diversification one step further and diversifies across many different TF Programs to deliver a superior risk-adjusted result.

TTU TF Index Performance

The TTU Trend Following Index, composed exclusively of long-tenured systematic trend programs, advanced 2.98 percent in April, leading all three benchmarks for a third consecutive month and extending the strongest start to a calendar year since the index's inception. Over the trailing twelve months, the index now stands at 23.23 percent, a powerful level that reflects the cumulative impact of four consecutive months of positive performance replacing weaker periods from early 2025 in the rolling window. The year-to-date figure has now reached 10.14 percent through the first four months of 2026, crossing into double-digit territory and confirming the durability of the 2026 advance.

April's result was earned through navigating one of the most disruptive intra-month environments of the current cycle. The opening fortnight delivered consecutive weeks of violent two-way energy trading, with Crude Oil WTI surging 18 percent on the Liberation Day tariff anniversary before reversing 13 percent the following week on Hormuz reopening optimism. The TTU Trend Barometer fell from 66 to 48 across that fortnight, with raw percentage moves overwhelming the durability of trend signals. The second half of the month brought resolution: energy reasserted itself decisively on the long side as the geopolitical narrative shifted, metals consolidated their multi-month upward structure after a single corrective week, soft commodities turned cleanly higher, and the Barometer recovered to 55 and then to 61. Programs that maintained disciplined exposure through the mid-month turbulence were rewarded as the directional reads cleared and new trend opportunities emerged. This is precisely the environment where the TTU TF Index's construction methodology proves its worth, as the diversification across 51 long-tenured programs smooths the impact of sector-level reversals while capturing the central tendency of the broader trend-following opportunity.

The long-term profile of the TTU TF Index continues to strengthen. Since its inception in 2000, the index has delivered a CAGR of 7.73 percent with a maximum drawdown of 20.72 percent. The CAGR has held steady at 7.73 percent from the close of February through April, reflecting the maturity of the long-term track record where consecutive strong months contribute meaningfully to performance without producing the rapid CAGR shifts that occurred during the early years of the index. These characteristics continue to reflect the strength of the construction methodology, which prioritises the durability of verified track records over scale, popularity, or short-term risk statistics.

The TTU TF Index continues to exhibit strong alignment with institutional benchmarks, maintaining a correlation of 0.95 with the SG Trend Index and 0.93 with the BTOP50 Index. Yet despite these close relationships, it has consistently delivered superior long-term risk-adjusted performance. The expansion to 51 programs further reinforces the diversification advantage that underpins this outperformance. With eight additional programs joining the composite since year-end, the index captures an even broader cross-section of systematic trend-following behaviour, enhancing its ability to smooth idiosyncratic variation while preserving the long-term performance edge that track-record-based selection delivers.

For comparison, the S&P 500 Total Return Index advanced 10.49 percent in April and now stands at 31.05 percent over the trailing twelve months. Since 2000, the S&P 500 TR has produced a CAGR of 8.10 percent, but with a substantially larger maximum drawdown of 50.95 percent. April provided a different illustration of the relationship between the two indices, as both the TTU TF Index and the S&P 500 advanced together, with equities delivering the larger absolute return through a powerful recovery from the prior month's tariff-driven correction. The low correlation of -0.09 between the two indices confirms that the sources of return remain fundamentally different, and the long-run statistical relationship is one of independence rather than persistent opposition. April's co-movement is a natural feature of that independence, just as February's divergence was, and over time the uncorrelated nature of the two return streams continues to deliver the structural diversification benefit that defines trend following's role within a multi-asset portfolio.

TTU Trend Barometer

The TTU Trend Barometer closed April at 61, recovering decisively through the second half of the month to finish in favourable territory well above the critical 55 threshold. The month-end figure, however, captures only the resolution of one of the most volatile Barometer journeys in the current cycle. April's trajectory was defined by two consecutive shocks moving in opposite directions, followed by a powerful recovery as the underlying trend structure reasserted itself.

The Barometer, which measures the persistence of price trends across 44 global futures markets, entered April at 66 before declining sharply through the first two weeks. The opening week brought the one-year anniversary of the Liberation Day tariff actions, triggering an 18 percent single-week surge in Crude Oil WTI and powerful gains across the broader metals and petroleum complexes. While individual percentage moves were extraordinary, the violence of the multi-sector repricing disrupted established trend signals, and the Barometer fell from 66 to 55. The second week delivered the mirror image: Hormuz reopening optimism stripped the geopolitical risk premium, Crude Oil WTI fell 13 percent, Heating Oil dropped 14 percent, and the Barometer collapsed further to 48 with a 10-day rate of change reading of "Falling Rapidly." At this point the cumulative decline of eighteen points across a fortnight raised legitimate concerns about whether the cycle could absorb the disruption.

The recovery began in the third week. The Strait of Hormuz remained effectively closed to commercial flows, OPEC cut its second-quarter demand forecast by 500,000 barrels per day, energy began to re-establish itself on the short side, and metals delivered a third consecutive week of uniform strength. The Barometer cleared from 48 to 55, regaining the Strong threshold. The fourth week brought a single corrective dip to 50 as energy reversed sharply higher on a renewed Hormuz risk premium while metals delivered an offsetting decline across the complex, with both moves disrupting positioning in opposite directions on the same week. The final week of the month resolved the tension: energy moved uniformly higher with all six contracts advancing in unison, soft commodities turned cleanly higher after three consecutive negative weeks, metals consolidated rather than extending their correction, and the Barometer recovered to 55. The continued strengthening of directional alignment into month-end carried the reading higher still, closing April at 61.

The month's Barometer trajectory, from 66 to 48 and back to 61, carries several important messages. First, the mid-month deterioration demonstrated that geopolitical shocks can compress trend breadth rapidly, even when the broader cycle remains constructive. Second, the recovery demonstrated that the underlying trend structure was more robust than the early-April readings suggested. Energy ultimately resolved into a sustained uptrend, metals consolidated rather than reversing their multi-month upward structure, soft commodities reasserted themselves, and equity indices extended through the powerful month-end recovery. Third, the pattern of mid-month stress followed by a powerful month-end recovery now mirrors the February experience, suggesting that the broader 2026 cycle is robust enough to absorb significant disruption without losing its overall directional character.

At 61, the Barometer enters May in a constructive position. The reading sits comfortably within the favourable zone above 55, supported by strengthening trends across energy, soft commodities, metals, and equities. The "Falling Weakly" 10-day rate of change reading that persisted through several weeks of the month has now given way to a stronger close, and the breadth of directional signals across multiple sectors at month-end provides the kind of backdrop where systematic programs are most likely to be rewarded. The intra-month volatility serves as a reminder that conditions can shift rapidly, but the balance of evidence at month-end points to a trend environment that has reasserted itself with conviction.

The Trend Barometer is a proprietary tool we use at TTU to assess the trend strength of a diversified portfolio consisting of 44 markets across all sectors. We firstly subdivide the trend strength of each market of a hypothetical diverse portfolio into five ranges from strong up, medium up, neutral, medium down and strong down. We then aggregate these results into a single portfolio number which we use to describe the overall trend strength across a hypothetical Program portfolio.

We then arbitrarily divide this percentage range into 3 where a value of 0-30 is considered a very unfavourable market regime for trend following programs, a range between 30 to 55 is a somewhat neutral environment for Trend Following Programs (but not an environment where you could expect consistent performance) and values more than 55 are considered to be a favourable regime for trend following programs, where they should see good performance.

Aside from the occasional dispersed readings when compared to overall trend following performance, this method is surprisingly powerful in describing CTA monthly performance and can be used to connect market trading environments to resultant manager performance.

The Macro Environment

For a blow-by-blow macro wrap for the month, we recommend you listen to our weekly systematic investor series by clicking on the links below. It is also worthwhile listening to our past catalogue, as it provides you with an understanding of how these markets can shape the emotions of a trader and why it is therefore essential that trend followers adopt systematic rules-based processes to keep these emotions in check.

You can find all of our weekly conversations by clicking this link.

Top 10 Lists

We have prepared the following Top 10 lists (excluding non-reporting programs) for various performance categories based on monthly performance returns for a 15-year period commencing 1st January 2011 to the current month.

Top 10 Listing – by Compound Annual Growth Rate

Top 10 Listing – by Risk Adjusted Return (Serenity Ratio)

Top 10 Listing – by Last 12 months Performance

Performance Results for the TTU Top 5 by Serenity Ratio

In a research project we undertook at TTU, we examined three different allocation methods that could be deployed by an investor seeking to optimally allocate investment funds towards 5 of the top-ranked Globally Diversified Systematic Trend Following Programs with a long-term track record.

These three methods adopted 3 different forms of performance metric, namely:

1. Top 5 performers by Compound Annual Growth Rate (CAGR) using a rolling lookback of 15 years.
2. Top 5 performers by MAR ratio (CAGR/Max Draw%) using a rolling lookback of 15 years.
3. Top 5 performers by Serenity Ratio using a rolling lookback of 15 years.

The findings of our project can be obtained by clicking on this link.

Our research determined that the optimal selection method was the Serenity Ratio method.

The Serenity Top 5 Selection Method delivered a 7.30 percent gain in April, its strongest monthly result of the year and a powerful continuation of the four-month advance that has defined 2026. The gain brought the trailing twelve-month return to 43.02 percent, a remarkable level that reflects the cumulative impact of four consecutive months of strong performance replacing weaker periods from early 2025 in the rolling window. The year-to-date return of 21.27 percent through just four months represents one of the strongest starts to a calendar year in the composite's history and underscores the exceptional asymmetry that the Serenity framework can deliver when systematic trend conditions strengthen.

April's result was particularly impressive given the turbulence beneath the surface. The Serenity-selected managers navigated two consecutive weeks of violent two-way energy trading driven by the Liberation Day tariff anniversary and the subsequent Hormuz reopening optimism, before capturing the resolution of the geopolitical narrative through the second half of the month. The composite absorbed the mid-month Barometer collapse from 66 to 48 and was rewarded as the cycle reasserted itself, with energy moving decisively to the long side, soft commodities turning higher, metals consolidating their multi-month upward structure, and equities extending through the powerful month-end recovery. The composite's ability to deliver a return of this magnitude through such challenging intra-month conditions validates the Serenity framework's emphasis on selecting programs with stable, process-driven approaches that can adapt to rapidly shifting opportunity sets without relying on aggressive risk expansion.

The 2026 Serenity selection retains all five programs from the 2025 listing, with the revised ranking order effective from 1 February 2026 to 31 January 2027. The continuity of the selection reflects the durability and consistency of these managers' risk-adjusted performance across a full 15-year evaluation window. Mulvaney Capital Management's Global Diversified Program continues to be the primary source of variability within the portfolio. Its high-convexity profile was once again on full display in April, amplifying portfolio outcomes as energy resolved into a sustained uptrend through the back half of the month and directional moves strengthened across multiple asset classes. In an environment where the Barometer recovered from 48 to 61 across the final fortnight, Mulvaney's tendency to benefit from expanding trend persistence contributed meaningfully to the composite's exceptional result. This behaviour remains a defining feature of the Serenity composite, introducing controlled variability while preserving long-term asymmetry.

The Serenity Ratio continues to prove effective as a manager selection tool by prioritising durability, drawdown control, and long-term persistence over short-term performance metrics. Across the full reporting horizon, the Serenity composite has delivered a CAGR of 5.90 percent with a maximum drawdown of 26.82 percent, while maintaining a low correlation of -0.02 to the S&P 500 Total Return Index. The improvement in CAGR from 5.73 percent at the close of February to 5.90 percent now reflects the meaningful contribution of the strong 2026 performance to the long-term track record. These characteristics reinforce the composite's role as a structural diversifier within multi-asset portfolios. April's combination of a 7.30 percent gain alongside a 10.49 percent equity advance demonstrates a different facet of the diversification relationship: the two return streams moved in the same direction this month, with both engines contributing additively to multi-asset portfolio outcomes. Over the long run, the low correlation reading confirms that this co-movement is incidental rather than structural, and that the sources of return within the Serenity composite remain fundamentally distinct from those driving traditional markets.

The 2026 Serenity selection is as follows and will be maintained for the investment period between 1st February 2026 to 31st January 2027:

• Man AHL: AHL Evolution;
• Man AHL: AHL Alpha;
• Quantica Capital AG: Managed Futures Program;
• Mulvaney Capital Management: Global Diversified Program; and
• Man AHL: AHL Dimension.

Individual Performance Results for the 5 Programs used for the Serenity allocation to the reporting month using the 2026 listing are as follows:

Performance Results for the Alternative 60/40 portfolio using the TTU Top 5 by Serenity Ratio

In our “How to Invest with the Best”blog post, we also highlighted the significant improved risk-adjusted performance results that could be achieved by replacing the 40% allocation to Bonds in the traditional 60/40 portfolio with an allocation of 40% towards the TTU Top 5 by Serenity ratio.

The evaluation compared the performance of a traditional 60% Equity/40% Bond portfolio against a 60% Equity/40% Serenity portfolio to highlight the uncorrelated historical nature of this Alternative 60/40 portfolio and demonstrate the benefits that a sizeable allocation towards the Serenity portfolio would bring to an investor if equity and bond markets go back to their historic relationship and become more positively correlated in the future. There is no guarantee that correlations remain static over time and it is possible that bond markets and equity markets may lose their uncorrelated relationship that has existed in the last 20 years or so. It is far less likely that the TF managers within the Serenity Grouping will ever be strongly positively correlated to the Equities market, over the long run, given the extensive global diversification and ability to go long and short, that is present within the constituents of the Serenity Grouping.

Chart 21 below showcases the comparative performance results for the period 1 January 2000 to the end of last month:

1. A 100% investment in the S&P500TR portfolio;
2. A 100% investment in the VBMFX which is a proxy for the bond market;
3. A 100% investment in the VBIAX which is a suitable proxy for the classic 60% Equity/40% Bond portfolio;
4. A 100% investment in a 60% S&P500TR 40% Serenity portfolio; and
5. A 100% investment in the Serenity Portfolio.

The comparison of alternative portfolio allocations above highlights the strong historic risk adjusted returns that have been enjoyed by 60% S&P500TR / 40% Serenity Composite Portfolio.

A more detailed assessment of this powerful 60/40 investment option is reflected below.

Important Disclaimers

This document is directly solely to Accredited Investors, Qualified Eligible Participants, Qualified Clients and Qualified Purchasers. No investment decision should be made until prospective investors have read the detailed information in the fund offering documents of any manager mentioned in this document. This document is furnished on a confidential basis only for the use of the recipient and only for discussion purposes and is subject to amendment This document is neither advice nor a recommendation to enter into any transaction. This document is not an offer to buy or sell, nor a solicitation of an offer to buy or sell, any security or other financial instrument. This presentation is based on information obtained from sources that TopTradersUnplugged (“TTU”) (“considers to be reliable however, TTU makes no representation as to, and accepts no responsibility or liability for, the accuracy or completeness of the information. TTU has not independently verified third party manager or benchmark information, does not represent it as accurate, true or complete, makes no warranty, express or implied regarding it and shall not be liable for any losses, damages, costs or expenses relating to its adequacy, accuracy, truth, completeness or use.

All projections, valuations, and statistical analyses are provided to assist the recipient in the evaluation of the matters described herein. Such projections, valuations and analyses may be based on subjective assessments and assumptions and may use one among many alternative methodologies that produce different results accordingly, such projections, valuations and statistical analyses should not be viewed as facts and should not be relied upon as an accurate prediction of future events. There is no guarantee that any targeted performance will be achieved Commodity trading involves substantial risk of loss and may not be suitable for everyone

TTU is not and does not purport to be an advisor as to legal, taxation, accounting, financial or regulatory matters in any jurisdiction. The recipient should independently evaluate and judge the matters referred to herein. TTU does not provide advice or recommendations regarding an investor’s decision to allocate to funds or accounts managed by any manager (“or to maintain or sell investments in funds or accounts managed by any manager, and no fiduciary relationship under ERISA is created by the investor investing in funds or accounts managed by any manager, or through any communication between TTU and the investor

In reviewing this document, it should be understood that the past performance results of any asset class, or any investment or trading program set forth herein, are not necessarily indicative of any future results that may be achieved in connection with any transaction. Any persons subscribing for an investment must be able to bear the risks involved and must meet the suitability requirements relating to such investment. Some or all alternative investment programs discussed herein may not be suitable for certain investors This document is directed only to persons having professional experience in matters relating to investments. Any investment or investment activity to which this document relates is available only to such investment professionals. Persons who do not have professional experience in matters relating to investments should not rely upon this document.

This document and its contents are proprietary information of TTU and may not be reproduced or otherwise disseminated in whole or in part without TTU’s prior written consent.

This document contains simulated or hypothetical performance results that have certain inherent limitations AND SHOULD BE VIEWED FOR ILLUSTRATIVE PURPOSES. Unlike the results shown in an actual performance record, these results do not represent actual trading. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR INVESTMENT ACCOUNT.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM OR OTHER ASSET.

There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. No representation is being made that any investment will or is likely to achieve profits or losses similar to those being shown.