Introduction
Systematic trend following performance in August 2026 returned to positive territory. The benchmark gained +3.02 percent, reversing the back-to-back losses of June and July and lifting the benchmark equity curve to a new high on its five-year VAMI. The month began badly. In the first week the SG Trend Index, a separate and annually reconstituted index of large trend-following managers, fell 0.75 percent as metals and sugar broke upward in moves that few established trends had anticipated. The following three weeks rebuilt the trend environment one sector at a time, first in energy, then across the wider commodity complex, then in grains.
The reporting count is unchanged at 99, but membership has changed. Winton Multi-Strategy and Lynx 1.5x, both absent in July, have returned to this month’s tables, which means other programs have rotated out, so month-to-month comparisons of benchmark statistics should be read with that in mind.
Two figures in the table moved against the grain of the month. Maximum drawdown rose to 17.24 percent from 16.88 percent in a month when the benchmark gained more than three percent, and the trailing 12-month return eased to +19.17 percent from +20.20 percent. A positive month cannot by itself deepen the historical drawdown of an unchanged group of programs, so the higher reading is consistent with the change in membership, although revisions to historical data could also play a part. The 12-month figure is also affected by the rolling window, which has now dropped August 2025 from the calculation.
The longer-term measures improved, reflecting August’s gain together with the rolling five-year window and the change in membership. The five-year CAGR rose to 5.84 percent from 5.04 percent, the MAR ratio lifted to 0.34 from 0.30, and the five-year cumulative return climbed to +32.82 percent from +27.88 percent.
Dispersion narrowed again, and the whole distribution shifted to the right. August’s range ran from +15.05 percent to -2.19 percent, against July’s +6.77 to -15.93. Standard deviation fell to 2.87 from 3.38, while the median program gained +2.35 percent compared with July’s -0.76 percent. The weakest program in the universe lost barely two percent. Gains were widespread, and losses were both small and rare.
Melissinos Trading’s Eupatrid Commodity led August at +15.05 percent, followed by Mulvaney Capital Management’s Global Diversified Program at +14.60 percent and Majestic Asset Management’s Global Diversified at +11.86 percent. After a July leaderboard filled with large diversified managers, August’s leaders included several programs with substantial five-year drawdowns.
Welcome to Rising Stars and Trend Titans, where we track globally diversified, rules-based programs with at least five years of verified performance. This edition looks at a month in which trend strength recovered well ahead of returns, and at what happened once the two finally converged.
Criteria for Inclusion
The purpose of these criteria is simple: to separate durable systematic processes from short-lived performance artefacts.
Rising Stars and Trend Titans evaluates globally diversified systematic trend-following programs against clear standards of durability, transparency and relevance.
Programs included must satisfy the following criteria:
- Validated Track Record – A minimum of five years of performance history, providing exposure to multiple market regimes.
- Global Diversification – Demonstrated exposure across equities, fixed income, commodities and currencies.
- Systematic Framework – Fully rules-based execution, removing discretionary decision-making from the process.
- Consistent Reporting – Verified monthly performance sourced from the Nilsson Hedge Database.
- Balanced Scope – Inclusion of established managers and emerging programs that have crossed the five-year threshold.
For a full listing of the programs featured in this month’s report, click here.
Systematic Trend Following Performance Overview - August 2026
August ended a run of two consecutive losing months for the systematic trend-following universe. The benchmark, representing 99 reporting programs, gained +3.02 percent. The SG Trend Index, which is tracked separately from this report’s benchmark, stood at +1.66 percent month to date on 28 August according to weekly data, and year-to-date figures published after the close of the month imply that the index finished August close to +3 percent, broadly in step with the benchmark, and at roughly +11 percent for the year.
The month did not start that way. In the first week metals rose as a block, with Silver up 9.89 percent and Gold 7.13 percent, Sugar broke out of a range it had held since the spring with a 12.21 percent gain, and the equity indices pressed to new highs led by the Nasdaq 100 at +5.04 percent. Most of those moves ran against the direction of recent trends, which made them difficult for trend followers to capture in their first week. Crude extended its late-July reversal, with WTI falling a further 7.67 percent, and the SG Trend Index opened August at -0.75 percent.
The second week turned the month. Energy reversed its two-week slide with all six contracts higher, led by Heating Oil at +9.75 percent, while grains put seven of eight contracts higher. More importantly, established trends paid: the VIX extended its decline, the meats fell again and the equity indices added a fourth weekly advance. The index moved to +0.83 percent month to date. In the third week the commodity complex rallied together, with energy, metals, softs and grains each gaining more than 1.9 percent as the US Dollar Index fell 0.83 percent. Bitcoin jumped 21.86 percent inside a decline that has run all year. The index added only modestly, to +1.13 percent, with much of that movement running counter to established trends.
The fourth week was the quietest of the month and one of the most productive. Grains swept all eight contracts higher, with Wheat up 12.12 percent and Oats 9.02 percent, travelling in the direction their charts had pointed for a fortnight, and the index reached +1.66 percent. Month-end figures suggest the final trading day, 31 August, added another substantial gain.
The trend environment traced a complete recovery. The TTU Trend Barometer recorded 34, 39, 50 and 55 across August’s four weekly readings, climbing from July’s closing 30 percent to the 55 percent threshold that marks a favourable environment. Every point lost in the late-July collapse was recovered, with three more added. Contract-level breadth moved the other way, running 34, 31, 31 and then 21 of 49 contracts higher. The barometer reached its highest reading of the sequence in the week when the fewest markets rose, because the moves that did occur were persistent.
The barometer recovered steadily, while index returns arrived unevenly and strengthened at month-end. A five-point rise in the barometer in the second week coincided with roughly 1.70 percentage points of year-to-date improvement in the SG Trend Index, while an eleven-point rise in the third week coincided with only about 0.32. Trend strength describes the persistence available in markets, and returns depend on how much of that persistence portfolios were positioned to capture.
The benchmark VAMI moved to a new high, closing the drawdown opened in June and July. Maximum drawdown measured 17.24 percent, the MAR ratio rose to 0.34 and skew registered -0.01.
Dispersion narrowed further. The strongest program gained +15.05 percent and the weakest declined just -2.19 percent, with standard deviation falling to 2.87 from 3.38.
Summary: August recovered what June and July had taken and lifted the benchmark to a new equity high. The recovery was assembled sector by sector, with energy leading in the second week, the broad commodity complex in the third and grains in the fourth. Trend strength recovered steadily through the month, while returns arrived unevenly and finished strongly.
Top 10 Trend Following Performance: August 2026
The August leaderboard shows who gained most from the month’s recovery. The five-year tables ask whether that force has proven durable.
Melissinos Trading’s Eupatrid Commodity led the month at +15.05 percent, lifting its trailing 12-month return to +72.36 percent. The program trades a diversified futures portfolio, and returns alone do not reveal which sectors drove its August result. Mulvaney Capital Management’s Global Diversified Program followed at +14.60 percent, ending three consecutive months of consolidation, and Majestic Asset Management’s Global Diversified returned +11.86 percent.
TGCC’s M3 Momentum Fund gained +10.00 percent with a benchmark correlation of just 0.33. FTC Capital’s FTC Futures Fund Classic returned +7.89 percent, a second consecutive top-ten appearance after leading July, and its trailing 12-month return has risen to +31.89 percent. QQFund.com’s Alpha Beta Program added +7.87 percent and Estlander & Partners’ Freedom +7.76 percent.
East Coast Capital Management’s ECCM STF returned +7.04 percent. Michael J Frischmeyer’s Managed Account Program gained +6.86 percent, also a second consecutive top-ten month, for a program trading since January 1981 with a benchmark correlation of 0.14. Welton Investment Partners’ Global Directional Portfolio completed the list at +6.85 percent.
The five-year columns deserve as much attention as the monthly one. Three of the top ten carry negative five-year returns: FTC Futures Fund Classic at -2.69 percent, Estlander Freedom at -29.67 percent and QQFund.com’s Alpha Beta Program at -50.89 percent. Six of the ten have five-year CAGRs below 3.5 percent, and six carry maximum drawdowns above 40 percent: Mulvaney, QQFund.com, Melissinos, TGCC, Welton and FTC. Only Mulvaney and ECCM STF also appear in the five-year CAGR top ten. Several of this month’s leaders pair a strong month with a difficult five-year path, which is why this report examines both horizons.
Takeaway: The threshold to enter the top ten rose to +6.85 percent from +1.58 percent in July. The large diversified managers that filled July’s table gave way to a group that includes several programs with substantial five-year drawdowns. The month’s strongest returns and long-term durability remain separate questions.
Monthly Performance Dispersion: August 2026
August’s dispersion profile narrowed for a second consecutive month and moved almost entirely into positive territory.
Key Statistics:
Max Return: +15.05 percent
Min Return: -2.19 percent
Mean: +3.02 percent
Median: +2.35 percent
Standard Deviation: 2.87
Reporting Programs: 99
The distribution peaked sharply between +2 and +3 percent, with fourteen programs in the largest single bucket, and the bulk of the universe fell between 0 and +5 percent. Only a handful of programs finished the month below zero, and none lost more than -2.19 percent.
The mean of +3.02 percent sat above the median of +2.35 percent, pulled higher by a thin right tail in which four programs gained ten percent or more. The left tail stopped at -2.19 percent, compared with -15.93 percent in July and -26.00 percent in June. Standard deviation of 2.87 is the lowest reading since May’s 2.40.
The monthly dispersion series stepped down from July. A narrow distribution centred on a gain is consistent with a broad, shared tailwind, with few programs suffering meaningful losses.
Allocator View:
- A broad recovery. Nearly every program gained, and the worst result in the universe was -2.19 percent.
- Narrow dispersion again limited the contribution of manager selection to monthly outcomes, although the right tail rewarded a small group of programs, several with substantial five-year drawdowns.
- The benchmark reached a new equity high after two losing months, showing how quickly shallow drawdowns can be recovered once trends persist.
- The barometer recovered steadily while index returns arrived unevenly and strengthened at month-end. Anyone judging the strategy on the first week of August would have drawn the opposite conclusion to the month’s outcome.
Top 10 List: 5-Year CAGR - August 2026
The five-year lens separates durable compounders from episodic winners. In August it rewarded both scale and persistence, and two long-standing programs returned to the table.
Mulvaney Capital Management’s Global Diversified Program extended its lead with a 54.72 percent CAGR, up from 51.30 percent in July after a +14.60 percent month. The five-year cumulative return rose to 786.48 percent and the trailing 12-month return to +204.01 percent, bringing three months of consolidation to a decisive end.
AQR Managed Futures HV Strategy moved into second place at 19.34 percent, overtaking Fieldhouse Capital’s Global Managed Futures, which slipped to 18.16 percent from 19.21 percent. Fieldhouse’s trailing 12-month return deteriorated further to -2.72 percent from -1.07 percent, and a flat +0.16 percent month did little to offset the rolling window. The pressure on its five-year number flagged last month is now visible in the ranking.
CFM ISTrends (IST) 1.5X held fourth at 17.04 percent, with AQR Managed Futures fifth at 14.36 percent. East Coast Capital Management’s ECCM STF climbed to sixth at 12.54 percent from 11.09 percent, and DUNN Capital Management’s Managed Futures Strategy (Arrow) rose to 12.26 percent from 11.03 percent.
AQR Managed Futures UCITS recorded 12.25 percent. Lynx Asset Management’s Lynx 1.5x returned to the table at 12.18 percent after its absence from July’s cohort, supported by a trailing 12-month return of +46.92 percent. DUNN Capital Management’s WMA program, trading since November 1984, entered at 11.83 percent after a +6.37 percent month.
CFM IS Trends Fund and Bowmoor Capital’s Global Alpha Fund Share Class D dropped out, and the entry threshold rose to 11.83 percent from 11.03 percent. AQR now places three programs in the table and DUNN two, all of them operating broad, diversified processes that a five-year window has had ample time to test.
Against that group, the benchmark’s 5.84 percent CAGR is roughly half that of the tenth-placed program.
Dispersion of 5-Year CAGR: Summary - August 2026
The five-year distribution moved to the right in August, with both the mean and the median rising by roughly 0.8 percentage points.
Most programs clustered between +1 and +11 percent CAGR, with the single largest bucket at +5 percent. Mean CAGR rose to 5.37 percent from 4.53 percent in July and the median to 4.44 percent from 3.65 percent. The gap between the two held close to one percentage point, so the improvement was shared across the middle of the distribution rather than concentrated among the outliers.
Mulvaney anchors the right tail at a 54.72 percent CAGR, more than thirty-five percentage points clear of the next program, while a small group between 17 and 20 percent forms the rest of the upper tail. At the other end, the left tail extended to -13.26 percent from -10.35 percent, and standard deviation widened slightly to 7.19 from 7.08.
The centre improved while the lower bound moved further out. Programs at the bottom of the distribution remain a long way from repairing their five-year records, even as the institutional core compounds steadily.
Top 10 List: 5-Year MAR Leaders - August 2026
The MAR table reshuffled at the top as Winton Multi-Strategy returned to the reporting cohort.
Winton Capital Management’s Winton Multi-Strategy reclaimed first place with a MAR of 2.38, pairing a 9.76 percent CAGR with a maximum drawdown of just 4.10 percent, the smallest in the table by a clear margin. Its absence from July’s cohort was a reporting matter, and it has returned to the position it held in June.
Capital Fund Management’s IS Trends Fund ranked second at 1.84, with its sister program CFM ISTrends (IST) 1.5X at 1.78. AQR Managed Futures improved to 1.45 from 1.39.
Agility Trading’s Pattern Recognition Breakout Strategy ranked fifth at 1.28 and was the only program in the table to lose money in August, at -1.29 percent. Its 0.07 correlation to the benchmark shows how rarely its returns have tracked the wider universe, so a loss in a month when most programs gained is less surprising than it first appears, although correlation alone does not explain the result. Positive skew of 0.67 and a 5.87 percent maximum drawdown keep it firmly among the leaders.
AQR Managed Futures HV Strategy and AQR Managed Futures UCITS both registered 1.24. Campbell & Company’s Managed Futures improved to 1.06 after a +3.90 percent month, and Bastiat Capital’s Divergence Program to 1.05. Mulvaney completed the table at 0.90, up from 0.84, while Fieldhouse dropped out.
Three programs in the table carry positive skew above 0.6: Bastiat at 0.74, Agility at 0.67 and Campbell at 0.66. Each also holds a maximum drawdown below 9 percent. Mulvaney’s 60.87 percent maximum drawdown remains the clear exception, and it earns its place through the size of its return rather than the containment of its losses.
CAGR vs. Max Drawdown — Top 10 MAR Strategies
The top MAR scatterplot shows how differently the leaders have earned their ratios.
Winton sits lowest on the drawdown axis at 4.10 percent against a 9.76 percent CAGR, with Agility Trading nearby at a 7.52 percent CAGR and 5.87 percent drawdown. Campbell and Bastiat form a pair at just over 9 percent CAGR with drawdowns below 9 percent. The two Capital Fund Management programs and three AQR programs spread from 11.77 to 19.34 percent CAGR, and only AQR Managed Futures HV Strategy exceeds a 10 percent drawdown, at 15.58 percent.
Mulvaney Capital Management again occupies the far upper-right at a 54.72 percent CAGR and 60.87 percent drawdown, stretching both axes on its own.
The benchmark plotted at a 5.84 percent CAGR and a 17.24 percent drawdown. Nine of the ten programs delivered a higher CAGR with a smaller drawdown than the benchmark. Mulvaney delivered a far higher return in exchange for a far deeper drawdown.
CAGR% vs Max DD% Scatterplot: All Programs - August 2026
The full-universe scatterplot shows the broader shape of the industry.
Most of the 99 programs clustered between 0 and 12 percent CAGR, with drawdowns between 10 and 35 percent. Within that core, the stronger compounders generally show more contained drawdowns, which is the relationship that makes the MAR ratio a useful screen. A small group near 18 to 20 percent CAGR sits clear of the main body with drawdowns between 15 and 25 percent.
Roughly ten programs recorded negative five-year CAGRs, most with drawdowns between 25 and 40 percent.
The two extreme points make an instructive pair. Mulvaney sits at the far right with a 54.72 percent CAGR and a 60.87 percent drawdown. QQFund.com’s Alpha Beta Program sits at the far left with a -13.26 percent CAGR and a 58.27 percent drawdown. Close to sixty-eight percentage points of annual compounding separate them. Similar maximum drawdowns accompanied very different five-year outcomes.
Conclusion - August 2026
August returned +3.02 percent to the trend-following universe and ended a two-month losing run. The benchmark VAMI reached a new high, the five-year CAGR rose to 5.84 percent and the MAR ratio to 0.34. Dispersion narrowed to a standard deviation of 2.87, the median program gained +2.35 percent and the weakest lost only -2.19 percent.
The recovery arrived in stages. The first week cost the SG Trend Index 0.75 percent as metals, sugar and equities surged in moves that ran against recent trends. Energy reversed higher in the second week, the commodity complex rallied together in the third as the dollar weakened, and grains swept all eight contracts in the fourth. Over the same four weeks the TTU Trend Barometer climbed from 30 to 55 percent, reaching the threshold of a favourable environment in the quietest week of the month.
The leaderboards told two different stories. The monthly table was led by a group that includes several programs with substantial five-year drawdowns, with Melissinos Trading, Mulvaney and Majestic each gaining more than eleven percent, while three of the top ten carry negative five-year returns. The five-year tables rewarded consistency. Mulvaney extended its CAGR lead to 54.72 percent, AQR placed three programs among the top CAGR performers, and Winton Multi-Strategy returned to lead the MAR table at 2.38.
One qualification applies. The reporting count held at 99, but its membership changed, and the rise in maximum drawdown during a strong month is consistent with that change rather than with August’s market conditions.
Allocator takeaway: August showed why trend following is judged over full months and longer. The barometer recovered steadily, index returns arrived unevenly and strengthened at month-end, and two losing months were recovered in one. Anyone who judged the strategy on the first week would have drawn the wrong conclusion.
Congratulations to August’s Rising Stars and enduring Trend Titans for holding their positions through a difficult first week and collecting in the weeks that followed.
Richard Brennan writes on systematic trading, complex adaptive markets, and the philosophical foundations of trend following at atstradingsolutions.com. His books include The Fractals of Finance and Complex Adaptive Markets. The forthcoming Carved by Impossibility completes the trilogy.
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