Battle of the Trend Following Indexes: July 2026

When Movement Refuses to Become Trend

June was the month of the turn. July was the month when almost nothing stayed turned.

For the second consecutive month, every benchmark in the Battle of the Trend Following Indexes finished negative. But the character of the losses changed completely. BTOP50 held best at -0.6%, followed by Systematic Momentum at -0.9%, SG Trend at -1.1%, SG CTA at -1.3%, TTU TF at -1.6%, Classic Trend at -2.2% and IASG TF at -2.6%.

The spread from best to worst narrowed to just 2.0 percentage points. That compression is important. July gave the different index constructions far less opportunity to express what makes them different.

There was plenty of movement. What was missing was persistence.

A Barometer That Went Everywhere

The TTU Trend Barometer printed 64, 39, 50, 52, 30 across the five weeks, a remarkable 34-point journey from peak to trough.

But beneath those numbers was a market that repeatedly changed its mind.

Orange Juice surged 20.32% in the opening week, then fell 16.72% in the second. Cocoa jumped 20.43% in week two and dropped 8.77% in week three. Energy became the strongest coherent move of the month, led for two weeks, then reversed sharply in the final week. The grains rose across all eight contracts in week two and fell across all eight in week five.

This was not a quiet market.

It was a market full of beginnings that refused to become middles.

When the Construction Matters Less

June produced a fairly clean relationship between construction and outcome. Concentrated approaches suffered more as established trends reversed. Diversified approaches generally suffered less.

July scrambled that ordering.

The worst performer was a 50-constituent benchmark. The best was a 20-constituent benchmark. The most concentrated index sat between them. The relationship between concentration and monthly return largely disappeared.

That does not invalidate the framework. It tells us something more interesting about it.

Convexity is conditional.

A concentrated trend-following portfolio can carry the market’s strongest trends in greater size. When those trends persist, that concentration can amplify the payoff. When they reverse, it can amplify the loss. But first there has to be something persistent enough to amplify.

July rarely supplied it.

With constituent counts ranging from three to 163, seven very different constructions finished within two percentage points of one another. The market had temporarily removed much of the raw material their differences are designed to act upon.

Movement Is Not Persistence

Perhaps the clearest illustration came in the final two weeks.

In the week to 24 July, 23 of 49 markets finished higher. SG Trend gained approximately 2.2% for the week.

One week later, 24 of 49 markets finished higher. Almost identical breadth. Yet SG Trend lost approximately 2.7%.

What changed?

Not the number of markets moving.

In the first week, the moves largely continued positions that trend followers already held. In the second, many of those same moves reversed.

That distinction sits close to the heart of trend following. Direction alone tells us surprisingly little. Even breadth tells us surprisingly little. What matters is whether today’s movement extends yesterday’s trend.

Trend followers do not need markets to move. They need markets to keep moving.

Long-Run Picture, Same Leaders

Two consecutive losing months have changed the recent numbers without changing the longer-run hierarchy.

Classic Trend remains the standout since January 2020 at +134.6%, with a CAGR of 13.8%. Its MAR of 0.88, Sharpe of 0.80 and Sortino of 1.36 remain the strongest readings in the comparison. Importantly, its maximum drawdown remains at 15.8%, unchanged through both June and July.

BTOP50 continues to occupy the other end of the construction spectrum, with the lowest maximum drawdown at 9.7%, the highest proportion of winning months at 62.0%, and now the strongest two-year return at 11.1%. SG CTA narrowly holds the year-to-date lead at 8.0%, just one tenth of a percentage point ahead of SG Trend and BTOP50.

Classic Trend remains the compounding engine. BTOP50 remains the stabilising core.

July simply reminded us that no construction can manufacture the one ingredient trend following ultimately requires.

Persistence.

Read the Full Report

The complete July 2026 Battle of the Trend Following Indexes examines all seven benchmarks, the changing performance hierarchy, the full statistical comparison, the VAMI history and what July’s extraordinary sequence of reversals tells us about concentration, diversification and trend capture.

June showed us that trends forming are not necessarily trends held.

July added the next piece.

A market can move enormously and still go nowhere long enough for a trend follower to get paid.

Click on this link to read the full report