Trend Following Performance Report — October, 2025

October 2025: A Month of Cautious Re-engagement

October delivered a steady but restrained improvement for systematic trend followers. After September’s broad rebound, this month showed that momentum can persist even when the underlying market structure remains uneven. Several key sectors offered enough directional clarity to support gains, although the overall environment stayed far from a fully aligned trend regime.

Energy continued to stabilise, large cap equities extended their advance, and selective strength appeared in commodities and rates. These pockets of opportunity helped lift the major trend indexes into positive territory for the month. The TTU Trend Barometer finished at 39, which confirms a neutral to slightly constructive environment rather than a strong one. Market conditions improved, but not to the point where trend persistence became widespread.

The benchmark results reflect this measured progress:

S&P 500 Total Return: +2.34 percent for October (trailing 12 months +21.46 percent)
TTU TF Index: +1.54 percent for October (trailing 12 months +0.94 percent)
SG Trend Index: +1.41 percent for October (trailing 12 months +3.86 percent)
BTOP50 Index: +1.18 percent for October (trailing 12 months +5.39 percent)

The overall picture is one of cautious re-engagement. Trend following programs benefited from renewed signals, but the improvement was not comprehensive. Some sectors held firm while others reverted or remained range-bound. The result was a month where consistent rules and broad diversification continued to matter more than tactical positioning or short-term prediction.

The advance across the indexes confirms that systematic strategies remain resilient even when conditions do not provide clean or sustained directional movement. October did not recreate the strong surge seen in September, yet it reinforced the importance of steady process in an environment that is still rebuilding trend structure.

October 2025 Trend Index Performance

Trend following performance in October showed steady, selective progress rather than a broad surge. All major trend indexes recorded gains for the month, supported by renewed movement in equities, refined energy markets, and several key macro sectors. These improvements helped sustain the positive shift that began in September, although the signals remained uneven across the full market landscape.

Breadth was still limited beneath the surface. Several commodity groups, including metals and softs, showed inconsistent behaviour, and currency markets remained largely directionless. This produced an environment where managers benefited from specific trending clusters rather than a fully aligned global opportunity set. Even with these constraints, October confirmed that trend structure is slowly rebuilding after the weaker conditions seen earlier in the year.

The TTU TF Index continued to highlight the strength of programs with long, validated track records. Its performance again demonstrated how diversification across enduring systematic processes can provide stability when market trends develop in a staggered fashion. The resilience of these long-term programs remains a defining feature of the space, particularly during periods when trend breadth is recovering but not yet fully established.

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 were not a requirement.

For the 2025 year, following the rebalance of the Index, we say goodbye to the PIMCO LLC (Pimco Trends Managed Futures) Program and hello again to the Winton Capital Management (Winton Trend) Program. The listing of the 10 eligible programs in the Index for 2025 is as follows:

The SG Trend Index, which tracks the ten largest institutional CTAs, gained 1.41 percent in October. The advance extended the recovery that began in September and helped stabilise year-to-date performance after a challenging first half of the year. Over the trailing twelve months, the index now stands at 3.86 percent, reflecting the gradual rebuilding of trend structure across major markets.

The long-term characteristics of the SG Trend Index remain unchanged. Its historical CAGR of 5.23 percent and maximum drawdown of 20.61 percent continue to illustrate both the endurance and the cyclicality of large-scale systematic programs. These managers tend to respond strongly when trends re-establish themselves, yet their size and broad diversification naturally moderate the amplitude of shorter-term moves.

Since its inception in 2000, the SG Trend Index has held its position as a central benchmark for institutional trend-following performance. It consistently sits between the higher-returning TTU TF Index and the broader BTOP50 Index, capturing the core behaviour of the industry’s largest managers. Its correlation of 0.95 with the TTU TF Index confirms its value as a guide to the collective behaviour of established systematic trend portfolios, even though its construction often results in more tempered long-run returns.

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.

Criteria for inclusion in the Index as determined by BarclayHedge is 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; and
• Reconstituted annually on 1st January based on eligibility criteria.

Despite the ’50’ tag in the BTOP 50 description, for 2025 there are 20 constituents in the Index.

The BTOP50 Index, a broad measure of managed futures programs, advanced 1.18 percent in October. The gain added to the steady improvement seen in recent months and lifted the twelve-month result to 5.39 percent. The long-term characteristics of the index remain intact. Its historical CAGR of 4.06 percent and maximum drawdown of 15.94 percent continue to highlight the stability and consistency that define this benchmark.

Because the BTOP50 includes a wider range of strategies beyond pure trend following, short-term volatility is generally lower, although this broader exposure naturally limits upside capture when strong directional moves emerge. October illustrated this balance once again. The index delivered a firm positive result, yet its advance was more measured than the gains seen in more trend-focused composites. It remained a reliable defensive anchor, steady through variable conditions and responsive without being aggressive when trends begin to re-form.

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 October 31, 2025, the TTU Trend Following Index is composed of 43 active programs, each with a long-term and fully verified performance record. The monthly return represents the average performance of all programs that submitted results for the period. For October, 39 of the 43 programs reported performance data by the cut-off date.

The performance of the TTU TF Index since 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 the 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 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 achieve improvements in both the maximum drawdown and 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 takes diversification one step further by spreading across multiple 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 1.54 percent in October. The gain added to the recovery that began in September and helped stabilise the medium-term picture after a challenging earlier period. Over the trailing twelve months, the index now stands at 0.94 percent, which reflects the gradual rebuilding of trend structure across global markets.

The long-term profile of the TTU TF Index remains compelling. Since 2000, the index has delivered a CAGR of 7.33 percent with a maximum drawdown of 20.93 percent. This stability is a direct result of its construction methodology, which selects managers based on the strength and longevity of their verified track records rather than AUM or short-term risk statistics. The approach continues to favour process integrity, robustness, and persistence, which allows the index to weather extended drawdown phases while capturing the benefits of strong directional markets when they appear.

The TTU TF Index maintains high correlations with its institutional counterparts, including a correlation of 0.95 with the SG Trend Index and 0.93 with the BTOP50 Index. Despite these close relationships, it consistently outperforms both on a long-term risk-adjusted basis. This reflects the advantage of focusing on managers with enduring and validated processes instead of programs that simply benefit from scale or contemporary market appeal.

For comparison, the S&P 500 Total Return Index rose 2.34 percent in October and now stands at 21.46 percent over the trailing twelve months. Since 2000, the S&P 500 TR has produced a CAGR of 8.02 percent but with a maximum drawdown of 50.95 percent. The contrast continues to demonstrate the value of trend following as a structural diversifier, particularly in environments where equity valuations remain extended and risk premia fluctuate.

TTU Trend Barometer

The TTU Trend Barometer closed October at 39, marking a small but clear improvement from the prior month and indicating a neutral to slightly constructive environment for trend followers. The rise reflects a gradual expansion in trend participation across global markets, although broad alignment is still missing and overall breadth remains limited.

The Barometer, which measures the persistence of price trends across 44 global futures markets, showed that opportunities became more balanced during the month. Equity indices continued to provide support, refined energy markets stabilised further, and several commodity contracts began to show early signs of directional structure. At the same time, fixed income and currency markets remained mixed, which kept the Barometer from moving into a stronger regime.

As always, the Barometer reflects end-of-month conditions and may not capture the full extent of intra-month volatility. Even so, October’s reading suggests that systematic programs are beginning to find steadier traction as directional persistence slowly rebuilds across a wider set of markets.

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 unfavorable 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 favorable regime towards 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 January 1, 2010, 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 gained 1.87 percent in October, extending the gradual improvement that began in late Q3. The composite now stands at 2.33 percent over the trailing twelve months, which reflects a slow rebuilding of trend structure across several major sectors. The October result highlights the value of disciplined diversification within the Serenity framework, where long-tenured programs with stable processes continue to contribute reliably despite a mixed opportunity set.

Following the annual reconstitution earlier this year, Mulvaney Capital’s Global Diversified Program remains the primary driver of variability within the portfolio. Its high-convexity profile continues to amplify swings in both directions, yet it also delivers meaningful upside when trending conditions strengthen. October’s result showed this effect again as the program added incremental support during renewed directional moves, but it still remains down substantially for 2025.

The Serenity Ratio remains a strong tool for identifying managers that combine durability with controlled drawdowns. By prioritising long-term persistence, capital protection, and process integrity, the methodology consistently favours programs that can withstand a wide range of market regimes. While short-term volatility is unavoidable, October reaffirmed the strength of this selection method in balancing robustness with recovery potential.

Across the full reporting horizon, the Serenity composite has delivered a CAGR of 4.91 percent with a maximum drawdown of 26.82 percent and maintains a low correlation of −0.04 to the S&P 500 Total Return Index. These characteristics continue to illustrate its value as a structural diversifier within multi-asset portfolios, supporting stability during periods when traditional markets experience uneven behaviour.

The 2025 Serenity selection is as follows and will be maintained for the investment period between 1st February 2025 to 31st January 2026:

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

Individual Performance Results for the 5 Programs used for the Serenity allocation to the reporting month using the 2025 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.