A Strong Month With Different Winners
August brought gains for all seven indexes. September extended the recovery for most, but opened a much wider gap between them.
Six of the seven benchmarks finished positive, led by SG Trend at +4.3%, SG CTA at +4.1% and TTU at +3.8%. BTOP50 and Systematic Momentum each reported +3.0%, while IASG reported +1.2%. Classic Trend, August’s leader, was the only index to lose money at -0.6%.
The spread from first to last widened from 2.5 to 4.9 percentage points, the largest since June. August’s two strongest indexes, Classic Trend and IASG, became September’s two weakest.
A good month for trend following had produced very different results. The weekly sequence helps explain the conditions behind them.
The Barometer Rose Then Retreated
The TTU Trend Barometer traced 55, 59, 45 and 52 across September’s four weekly readings. It entered the favourable band in the second week, then fell 14 points before recovering part of that decline.
SG Trend’s estimated monthly return rose from +0.59% to +2.79%, +3.23% and +4.47%. Its final September return settled at +4.3%, slightly below the last weekly estimate.
The largest weekly gain came as the Barometer reached 59. The following week, when the reading fell sharply, the index added much less.
August’s improving environment had taken time to show through in returns. In September, the weekly changes in trend strength and estimated gains were more closely aligned.
Falling Markets Supplied Persistent Trends
In the week ending 11 September, only 14 of 49 markets finished higher. Yet the Barometer reached its strongest reading of the month, and SG Trend recorded its largest weekly gain.
Petroleum extended its advance, with WTI rising more than 9% for a second consecutive week. Elsewhere, Bonds fell across all four maturities, Metals across all five contracts and Equity Indices across all seven.
A market does not have to rise to provide a trend. Much of September’s persistence ran downward.
Those coordinated moves then fractured. Metals rebounded, Bonds split and Equity Indices moved in different directions. Later, petroleum gave back ground while precious metals and Bonds resumed their declines.
September offered profitable trends, but holding the right markets through that changing sequence mattered.
Headcount Did Not Explain the Ranking
The leaders occupied neither end of the constituent range. SG Trend has 10 constituents and SG CTA has 20. Classic Trend, with three, finished last. The much broader TTU and IASG ensembles also delivered substantially different results.
That makes constituent count a poor explanation for September’s order. Manager mix, market exposure and timing offer plausible explanations, but the published index data do not reveal the positions needed to establish the cause.
The completed quarter provides a broader comparison. SG Trend returned +6.1%, BTOP50 +5.8% and SG CTA +5.7%, against +2.4% for Classic Trend.
One quarter now covers a losing month, a recovery and a further month of gains. It is useful evidence, though still a short period against which to judge an index.
The Longer View
SG Trend now leads year to date at 15.8%, followed by SG CTA at 15.6% and BTOP50 at 14.8%. It also retains the twelve-month lead at 21.3%.
Classic Trend remains well ahead since January 2020, up 145.6% at a 14.2% CAGR. Its MAR of 0.90, Sharpe of 0.82 and Sortino of 1.35 lead the comparison.
BTOP50 retains the lowest maximum drawdown at 9.7%, the highest proportion of winning months at 63.0% and the strongest two-year return at 19.7%.
September widened the difference between recent leadership and long-run leadership. For allocators, both records matter. The latest winner tells us who captured this month’s conditions. The longer history shows how those outcomes have accumulated across many different environments.
Read the Full Report
The complete September 2026 Battle of the Trend Following Indexes covers all seven benchmarks, the weekly market sequence, the performance table and the long-run comparison. It also explains discrepancies between some reported monthly returns and their corresponding longer-period figures.
Read the full September report on the Aussie Turtles website.
Richard Brennan writes on systematic trading, complex adaptive markets, and the philosophical foundations of trend following at atstradingsolutions.com. His published books include The Fractals of Finance, Complex Adaptive Markets, Carved by Impossibility, and The Aussie Turtles Trend Following Guide, co-authored with Adam Havryliv. His forthcoming book, The Trend Following Manifesto, co-authored with Niels Kaastrup-Larsen, is coming soon.
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