Battle of the Trend Following Indexes: June 2026

When Better Conditions Cost Money: The Month of the Turn

After May delivered the quietest month of the year and its narrowest dispersion, June reversed both. Every benchmark in the Battle of the Trend Following Indexes finished negative, where in May every one finished positive, and the spread widened from 1.1 points to 2.8. Once again the dispersion is where the story sits. What makes June unusual is that all of it happened while conditions for trend following were getting better.

A Barometer That Climbed All Month

The TTU Trend Barometer printed 43, 43, 45, 55 across the four weeks, recovering from May’s close at 32 and finishing at the threshold where Neutral gives way to a favourable environment. That is the strongest month-end reading since April.

The improvement was real, and almost all of it was built on the downside. The petroleum complex broke down and kept breaking down for three consecutive weeks, Brent falling 10.65% in the final week alone. The precious metals turned a spring pullback into a sustained decline, Silver off 10.63% in that same week. The equity indices ran to records through mid-month and then rolled over. Bitcoin extended a decline that has run since the winter. Each of those moves added trending markets to the count, and each ran against positioning the year’s advance had built.

The Convexity Spectrum, Inverted

The June results: SG CTA Index -1.0%, SG Trend -1.2%, TTU TF and IASG TF each -1.5%, BTOP50 and Systematic Momentum each -1.8%, Classic Trend Index -3.8%.

The same spectrum that explained April’s dispersion explains June’s, running the other way. Classic Trend’s larger decline is simply the downside of its greater convexity, the characteristic that allows it to outperform strongly when trends persist. A concentrated construction carries the market’s clearest trends in larger size than a diversified one, which is an advantage while those trends hold and a cost in the week they turn. June was that week, repeated four times. The quarter has now shown all three states of that design in sequence: amplification in April, dormancy in May, drawdown in June.

Trends Forming Are Not Trends Held

The defining feature of June was the gap between a rising barometer and a falling set of indexes. The barometer counts the share of markets generating medium-to-strong trends in either direction. It says nothing about whether those trends are the ones a portfolio already holds.

A new trend is rarely born into an empty market. It is born from the failure of the one before it. The barometer registers the new trend the moment it forms, while the book is still carrying its predecessor, so the climb from 32 to 55 was less a signal of returns to come than a tally of the reversals that were costing them. Opportunity arriving and opportunity captured are not the same thing, and the distance between the two is where trend following does most of its losing.

Long-Run Picture, Slightly Smaller

A losing month left the long-run rankings intact and every reading on them a little lower. Classic Trend Index now stands at +139.9% since January 2020, a CAGR of 14.4%, retaining leadership across every major risk-adjusted measure (MAR 0.91, Sharpe 0.83, Sortino 1.36). Its cumulative advantage over the next-best benchmark narrowed to roughly 71 percentage points, from 81 last month, while its maximum drawdown of 15.8% was unchanged. SG Trend took the trailing twelve-month lead at +24.1%. BTOP50 continues to anchor the peer group with the lowest drawdown at 9.7% and the highest winning-month ratio at 62.8%.

Read the Full Report

The complete June 2026 Battle of the Trend Following Indexes covers individual benchmark performance, the full statistical table, the VAMI chart, and a detailed reflection on why the months in which conditions turn favourable are often the worst-looking months in the record.

Click on this link to read the full report