Battle of the Trend Following Indexes: March 2026

When Convexity Cuts Both Ways

After two consecutive months of universal gains across the trend-following peer group, March 2026 broke the streak. Every one of the seven benchmarks tracked in the Battle of the Trend Following Indexes finished the month in negative territory. The dispersion between them, however, was the widest of the year so far at 7.8 percentage points, and that dispersion is where the most important story sits.

A Three-Week Metals Repricing

March was not a single violent reversal. It was a sustained three-week repricing of the precious metals complex, the very positions that had powered January’s and February’s outsized returns. Silver gave back across each of the first three weeks, culminating in a 14.4% mid-March crash. Gold fell 9.6% in the same session, its largest weekly decline in recent history. Palladium and platinum followed similar arcs.

Energy moved in the opposite direction. WTI crude approached $100, Brent crude cleared $109, and heating oil reached $4.67 at its March peak. For portfolios with diversified long exposure across both complexes, the energy gains provided meaningful offset against the metals losses.

The Convexity Spectrum on Display

The range of March results across the peer group is a clean illustration of how different position-management philosophies respond to the same market environment. SG CTA finished as the most defensive at -0.8%, followed by BTOP50 (-1.4%), SG Trend and Systematic Momentum (both -1.6%), TTU TF (-2.3%), and IASG TF (-2.6%). Classic Trend Index gave back 8.6%, the deepest loss of the group.

That spread reflects different choices on what we think of as the convexity spectrum. Programs using dynamic position sizing and volatility scaling had been progressively reducing winning exposures as those positions grew, locking in profits along the way. Classic Trend trades with high convexity, aggressively redeploying unrealised equity into winning positions to swing for the fences when trends extend. The same design that produced the 5.3% February result is the design that surrendered the most in March.

Neither approach is wrong. They are different points on the spectrum, and March made that spectrum visible in the clearest terms of the year.

The Trend Environment Held

A notable feature of March was that the broader systematic environment did not deteriorate alongside the metals complex. The TTU Trend Barometer opened the month at 55%, held through the historic mid-March session, and accelerated to 66% by month-end with a Rising Moderately rate of change. That the environment could strengthen while a portion of the peer group was absorbing losses signals that March was a localised repricing of one asset class rather than a breakdown of trend conditions more broadly.

Long-Run Picture Unchanged

Despite March’s setback, the long-run scoreboard remains intact. Classic Trend Index now stands at +130.8% since January 2020, a CAGR of 14.3%, retaining leadership across every major risk-adjusted measure (MAR 0.91, Sharpe 0.83, Sortino 1.39). The cumulative advantage over the next-best benchmark still exceeds 66 percentage points. BTOP50 continues to anchor the peer group with the lowest drawdown at 9.7% and the highest winning month ratio at 62.7%.

Read the Full Report

The complete March 2026 Battle of the Trend Following Indexes covers individual benchmark performance, the full statistical table, the VAMI chart, and a detailed reflection on what March means for systematic allocators considering the trade-offs of high-convexity trend following.

Click on this link to read the full report