Trend Following Performance Report — September, 2025

September 2025: The Month That Floated All Trend-Following Boats

September marked a turning point for systematic trend followers, delivering the strongest collective month of 2025 so far. After a long stretch of fragmented signals and uneven sector participation, momentum returned across most major asset classes. Gains in equities, commodities, and rates lifted nearly every major trend index into positive territory, while dispersion narrowed sharply from earlier months.

It was, quite simply, the month that floated all trend-following boats.

Beneath the surface, however, trend breadth remained uneven, with leadership concentrated in a handful of strong recoveries rather than a full-scale breakout. This pattern reflects a transition from fragility to tentative stability — an environment where structure and process again proved more reliable than prediction.

Across the benchmarks, the picture brightened:
• TTU TF Index: +5.87% for September (YTD −3.29%, trailing 12 months −5.34%)
• SG Trend Index: +5.73% for September (YTD −2.27%, trailing 12 months −1.38%)
• BTOP50 Index: +3.46% for September (YTD +0.45%, trailing 12 months +1.66%)
• S&P 500 Total Return: +3.65% for September (YTD +14.83%, trailing 12 months +17.60%)

Trend-following composites advanced decisively while equities extended their strong run. The recovery reaffirmed the long-term resilience of diversified systematic strategies, even in an environment where trend conditions remain patchy.

September 2025 Trend Index Performance

Broad-based strength returned in September, lifting all major trend-following indexes. Gains were led by renewed directional moves in equities, metals, and rates, supported by contributions from select commodity sectors. For the first time in several months, the recovery was visible across most systematic programs rather than limited to isolated opportunities.

While breadth improved, participation was still uneven beneath the surface. Energy and some agricultural markets remained choppy, reminding managers that trend durability is never uniform. Even so, September represented a clear shift in tone, with the global ensemble of CTAs advancing together.

Long-term resilience continues to define the space, particularly within the TTU TF Index, which remains the standout performer across the full data history. Its enduring edge reflects the benefit of focusing on programs with long, validated track records rather than size or style drift.

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 +5.73 percent in September. The rebound helped narrow earlier losses, bringing the index to −2.27 percent year-to-date and −1.38 percent over the trailing twelve months. Its long-term profile remains steady, with a CAGR of 5.19 percent and a maximum drawdown of 20.61 percent, reflecting both the depth of prior volatility and the resilience of large-scale trend programs.

Since inception in 2000, the SG Trend Index has remained a reliable barometer of institutional trend-following performance. Positioned between the higher-returning TTU TF Index and the more diversified BTOP50, it continues to capture the collective behaviour of the industry’s largest managers. Its strong correlation (0.95) with the TTU TF Index underscores its role as a benchmark for large, systematic trend portfolios, even if its AUM-weighted construction tends to moderate 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 +3.46 percent in September. With this gain, the index now stands +0.45 percent year-to-date and +1.66 percent over the trailing twelve months. Its long-term CAGR of 4.03 percent and maximum drawdown of 15.94 percent continue to highlight its hallmark stability and consistency.

The index’s wider inclusion of non-trend strategies dampens short-term volatility but naturally limits upside capture during strong trending periods. September reaffirmed this balance. The BTOP50 advanced solidly but with less magnitude than pure trend composites, once again illustrating its role as the industry’s defensive anchor. Steadfast through turbulence, yet less explosive when trends align.

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 September 30, 2025, the TTU Trend Following Index is composed of 43 active programs, each with a long-term, verified track record. The monthly return represents the average performance of all programs that submitted results for the period. For September, 42 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 trend-following programs, advanced +5.87 percent in September. The strong rebound trimmed prior losses, bringing the index to −3.29 percent year-to-date and −5.34 percent over the trailing twelve months. Despite this year’s volatility, the TTU TF Index continues to lead the trend-following universe over the long run, delivering a CAGR of 7.29 percent since 2000 with a maximum drawdown of 20.92 percent.

Its construction methodology, which selects programs based on proven longevity and validated track records rather than AUM, remains its defining strength. This approach continues to produce superior long-term outcomes, even through extended drawdown phases, by emphasizing process integrity and robustness over scale. September’s performance reaffirmed this principle, as the ensemble responded strongly when trending conditions improved across key sectors.

The TTU TF Index maintains high correlations with its institutional counterparts (0.95 to the SG Trend Index and 0.93 to the BTOP50 Index) but consistently outperforms both in long-term risk-adjusted terms. This underscores the advantage of focusing on strategies with enduring persistence rather than transient popularity.

For comparison, the S&P 500 Total Return Index rose +3.65 percent in September, bringing its year-to-date gain to +14.83 percent and its twelve-month return to +17.60 percent. Since 2000, the S&P 500 TR has delivered a CAGR of 7.95 percent but with a maximum drawdown of 50.95 percent. The contrast continues to highlight the enduring value of trend-following as a diversifier, particularly in environments where equity valuations and risk premia remain stretched.

TTU Trend Barometer

The TTU Trend Barometer closed September at 36, marking an improvement from August’s reading of 30 and signalling a slightly more constructive environment for trend followers. The uptick reflects a modest expansion in trend participation across global markets, although breadth remains fragile.

The Barometer, which measures the persistence of price trends across 44 global futures markets, showed that opportunities became more balanced during the month. Strength emerged in equity indices, precious metals, and select agricultural contracts, while energy and fixed income continued to display mixed behaviour. Although short- and medium-term signals remain uneven, September’s rise indicates that trend conditions are beginning to stabilise after a prolonged period of narrow opportunity.

It is worth noting that the Barometer reflects end-of-month conditions and may not fully capture the intra-month volatility. Even so, the improvement suggests that systematic programs are finding more traction as directional persistence begins to rebuild across major asset classes.

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 +5.91 percent in September 2025, marking a strong continuation of the recovery phase. Despite ongoing volatility across markets, the composite narrowed its year-to-date decline to −6.00 percent and sits −5.93 percent over the trailing twelve months. The improvement reflected solid contributions from several long-standing programs, demonstrating the advantage of systematic diversification within the Serenity framework.

Following the annual reconstitution earlier this year, Mulvaney Capital’s Global Diversified Program continues to be a key source of variability within the Serenity portfolio. Its high-convexity profile amplifies performance swings, yet also provides meaningful upside capture when market trends extend. September’s gains illustrate that effect clearly, with the program adding notable lift to the overall composite.

The Serenity Ratio remains a powerful tool for identifying managers that combine durability with controlled drawdowns. By emphasising long-term consistency and capital preservation, it highlights funds that can sustain performance across diverse market regimes. While no filter can completely neutralise short-term volatility, September’s result reinforces the method’s strength in balancing robustness with recovery potential.

Across the full reporting period, the Serenity portfolio has achieved a CAGR of 4.86 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. This continues to validate its role as a structural diversifier within multi-asset portfolios, providing steady contribution through both expansionary and contractionary market phases.

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.