February 2025 Result

February dealt a tough blow across the battlefield, with every trend-following index retreating for the month. The Classic Trend Index, usually a dominant force, saw its largest setback in recent memory, falling -3.8%. Market chop and a lack of sustained trends weighed heavily on systematic models.

Performance Highlights

Not a single index escaped February unscathed, with losses ranging from -1.3% to -3.8%. The Classic Trend Index remains the standout performer on a long-term basis, boasting a 16.3% CAGR and continuing to lead in Sharpe, Sortino, and MAR ratios. The Barclay BTOP50 Index again proved its defensive credentials, suffering the smallest decline and holding the lowest drawdown overall.

Here’s how each index fared:

• Classic Trend Index – Declined -3.8%, but remains the long-term leader with a CAGR of 16.3%, Sharpe of 1.04, and Sortino of 2.58. Its 12-month return is still a positive 4.7%.

• SG Trend Index – Fell -3.2%, bringing its YTD return to -3.0%. Its long-term CAGR stands at 6.8%.

• Barclay BTOP50 Index – The most resilient this month, down only -1.3%, and continues to show the lowest max drawdown at 8.7%.

• TTU Trend Following Index – Dropped -3.3%, maintaining moderate long-term stats with a 5.7% CAGR and 12.3% drawdown.

• IASG TF Index – Lost -2.7%, but continues to show consistent profile metrics, including a 7.0% CAGR.

• SG CTA Index – Down -2.5%, maintaining relatively soft numbers across all measures.

• Systematic Momentum CTA Index – Also fell -2.5%, reflecting the challenges faced by pure momentum strategies.

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