Battle of the Trend Following Indexes: May 2026

When Convexity Has Nothing to Cut: The Quiet Month

After April delivered the strongest trend-following month of 2026 and the year’s widest dispersion, May delivered the reverse of both. It was the quietest month of the year at the index level, and the narrowest, with every benchmark in the Battle of the Trend Following Indexes finishing inside roughly one percentage point of the others. The dispersion was 1.1 points, against April’s 4.7, and once again the spread is where the story sits, this time because there was so little of it.

A Four-Week Whipsaw, Then a Break

May was not a trending month in either direction. The TTU Trend Barometer printed 43, 57, 45, 32 across the four weeks, testing the Neutral and Strong thresholds and then breaking below 40 into Weak-environment territory for the first time in the current sequence, with its rate of change classified as Falling Rapidly.

The path was driven, as in April, by the Iran and Strait of Hormuz cycle, but this time it never resolved. A de-escalation framework sent energy sharply lower in the first week. A rejected framework and a hawkish Fed repricing reversed it higher in the second. A called-off strike pulled it back down in the third, and a steady normalisation of supply drove the petroleum complex down again in the fourth, even as Natural Gas decoupled higher. Energy reversed direction in three of the four weeks, each move undoing the one before it.

The Convexity Spectrum, Compressed

The May results: Classic Trend Index +1.2%, Systematic Momentum and SG Trend each +0.3%, SG CTA and TTU TF each +0.2%, BTOP50 and IASG TF each +0.1%. Classic Trend led for a second consecutive month, but the margin was a fraction of April’s.

The same convexity spectrum that explained March’s and April’s dispersion explains May’s compression. Convexity amplifies persistent trends, and May offered almost none to amplify. April was the upside expression of Classic Trend’s concentrated, leveraged design and March the downside; May was neither. When the trend environment loses cohesion, the distance between a high-convexity construction and a diversified one narrows, because neither has clean direction to capture or to miss.

The Trend Environment Broke Down

The defining feature of May was that markets moved violently and almost none of it persisted. Equities ran the month’s one clean trend, the S&P 500 logging consecutive weekly gains to fresh records while the VIX drained steadily lower. Everywhere else, sector after sector resolved into two-way splits: grains reversed after six positive weeks, soft commodities pulled in opposite directions, metals stalled. Volatility was abundant and opportunity was scarce, because the two are not the same thing. Persistence, not movement, is the raw material of trend following, and in May it was the rarest commodity in the market.

Long-Run Picture, Stronger Still

A quiet month did little to the long-run scoreboard except extend it. Classic Trend Index now stands at +149.3% since January 2020, a CAGR of 15.3%, retaining leadership across every major risk-adjusted measure (MAR 0.97, Sharpe 0.89, Sortino 1.39) and taking the lead on the trailing twelve months at +28.4%. Its cumulative advantage over the next-best benchmark now sits at roughly 81 percentage points, up from 76 last month. BTOP50 continues to anchor the peer group with the lowest drawdown at 9.7% and the highest winning-month ratio at 63.6%.

Read the Full Report

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

Click on this link to read the full report