Trend Following Performance Report: September 2026

The Returns Catch Up

August gave trend followers moves that lasted, but the returns arrived more slowly than the improving environment suggested.

In September, the returns caught up.

All three major trend benchmarks gained for a second consecutive month. The SG Trend Index rose 4.26%, the TTU Trend Following Index 3.77% and the BTOP50 3.03%. This time equities did not come along. The S&P 500 Total Return Index slipped 0.35%.

A Less Orderly Month, Steadier Returns

The TTU Trend Barometer rose in every week of August. September was more uneven:

55 → 59 → 45 → 52

The reading moved into the favourable band in the second week, its first time there since the late July low. It then fell 14 points before recovering half that loss.

The returns took a steadier path. The SG Trend Index gained in every week of the month:

+0.59% → +2.79% → +3.23% → +4.47%

It gave back 0.21 percentage points in the final three sessions and closed September at +4.26%.

The Best Week Had the Fewest Gainers

The second week produced the month’s most useful lesson.

Only 14 of the 49 contracts in our weekly market review finished higher. On a simple count, it looked like a poor week. Yet the Barometer rose to 59, and the SG Trend Index added 2.20 percentage points, its strongest week of the month.

Much of the persistence that week ran downward. Bonds fell across all four maturities. Metals fell on every contract for a third week. Orange Juice returned to the lows of a decline running most of the year. Meanwhile, the petroleum complex extended its advance, with WTI pressing toward 100.

A trend follower can profit from a falling market as readily as from a rising one. A week with few gainers can still be a strong trend environment.

Interruption, Then Recovery

The third week reversed the pattern. More contracts rose, yet the Barometer fell 14 points to 45. The coherent moves of the prior week broke up. Metals turned higher inside their decline, the bond curve lost its uniformity, and six of the ten largest moves on the board ran against the prevailing trend in their market.

The SG Trend Index added only 0.44 percentage points.

The last full week, to 25 September, looked like rotation, with six of ten sectors changing direction. Most of that turnover was the previous week’s interruptions reversing. The precious metals resumed declines running since February, Bonds set new lows across the curve and several Grains contracts reached the tops of their charts. Energy was the exception, falling sharply from its mid-month highs.

The Barometer recovered to 52, and the SG Trend Index added 1.24 percentage points.

Trend Pulls Ahead of Equities

September’s divergence from equities changed the year-to-date picture.

At the end of August, all three trend benchmarks trailed the S&P 500 Total Return Index for 2026. At the end of September, all three led it:

• SG Trend Index: +15.80%
• BTOP50: +14.81%
• TTU Trend Following Index: +14.16%
• S&P 500 Total Return: +12.75%

Trailing twelve-month returns eased across the board despite the strong month. September 2025 was a stronger month for each benchmark, and it has now left the rolling window.

The Benchmark Order Changes Again

The ranking among the trend benchmarks has now changed in each of the last three months. In July the TTU Index finished last, and in August it led. In September the SG Trend Index moved to first and the TTU Index to second, while the broader BTOP50 finished third.

There is a revision to note. Late reporting lifted the TTU Index’s August return from the provisional 3.63% to 3.86%. July had moved the other way, from -1.63% to -1.98%. Provisional figures can shift in either direction.

The TTU Index contained 52 active programs at the September cut-off, with 45 reporting. Seven programs are outstanding, so the September figure may still be revised.

The Serenity Selection Lags

The TTU Top 5 Serenity selection gained 1.21% in September. That was the weakest result among the trend composites in the report, though still 156 basis points ahead of the S&P 500.

The contrast with August is sharp. A month ago the selection gained 5.62% and led the field. Its year-to-date return of 21.64% remains the highest of the composites covered, and its trailing twelve-month return stands at 34.07%.

A five-program selection depends heavily on how those few programs were positioned in the markets that moved. That concentration worked in its favour in August and less so in September. Neither month alone describes its long-term behaviour.

What September Told Us

August showed returns lagging the Barometer as the trend environment improved. September showed them catching up, and then moving with the reading rather than behind it. The weekly gain shrank when the Barometer fell and recovered when it recovered.

The month also showed that the number of markets rising is a poor guide to the trend environment. The best week came when most markets fell, because many of those declines continued trends already in place.

The Barometer enters October at 52, three points below the favourable band. Bonds and the precious metals carry the clearest trends, and several Grains contracts sit near their highs.

Read the full Trend Following Performance Report here.