Introduction
Systematic trend following posted a second consecutive negative month in July 2026. The benchmark fell -1.24 percent, almost identical to June’s -1.26 percent. The headline numbers look the same. The path could hardly have been more different. June was a violent repricing that spread returns across a forty-two point range. July was built steadily into the fourth week, then largely surrendered in the fifth.
The reporting cohort narrowed from 116 programs to 99. That reflects reporting timing rather than a wave of closures, so the month-to-month benchmark comparison is best treated as directional rather than strictly like-for-like. Several programs that appeared in June’s leadership tables, including Winton Multi-Strategy and Lynx 1.5x, are absent from this month’s cohort.
That change in composition also explains an apparent contradiction in the table above. Maximum drawdown improved to 16.88 percent from 17.42 percent despite another losing month. There are two reasons. First, the five-year measurement window rolls forward each month, allowing an older peak-to-trough episode to fall out of the calculation regardless of July’s result. Second, the smaller reporting cohort changes the weight of the benchmark toward those programs that reported on time. Neither should be interpreted as evidence that conditions improved in July.
The trailing 12-month return eased to +20.20 percent, while the five-year CAGR settled at 5.04 percent and the MAR ratio held at 0.30. Five-year cumulative return moved to +27.88 percent.
Dispersion tells the more interesting story. July’s range ran from +6.77 percent to -15.93 percent, compared with June’s +16.39 to -26.00. Standard deviation contracted to 3.38 from 4.56, while the median program declined -0.76 percent against June’s -1.40 percent. June pulled the universe apart. July spread a much shallower loss across it. Most programs gave back a little. Very few gave back a lot.
FTC Capital’s FTC Futures Fund Classic led July at +6.77 percent, followed closely by Mount Lucas Management Corporation’s Managed Futures ETF at +6.50 percent and Quintik Capital’s Managed Futures at +4.85 percent. After June’s leaderboard was dominated by higher-leverage niche programs, July brought a return of more familiar institutional names.
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 that turned twice, and at what a much narrower dispersion profile tells us about the way the trend-following universe absorbed it.
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 — July 2026
July delivered a second consecutive negative month for the systematic trend-following universe. The benchmark, representing 99 reporting programs, declined -1.24 percent. The SG Trend Index finished July at -1.50 percent, leaving year-to-date performance at +7.49 percent.
The path is where the month becomes interesting. By 24 July, the SG Trend Index stood at +1.24 percent month to date. Crude had extended a two-week breakout, bonds were falling cleanly across the curve, and the dollar had strengthened against six of seven crosses. Then the final week reversed the picture. Brent retraced 7.08 percent and WTI 5.20 percent, the dollar index fell 1.49 percent as all seven remaining crosses rose, and every one of the eight grain contracts declined after four had advanced together the week before. In five sessions, the index surrendered 2.74 percentage points.
The trend environment traced the same arc. The TTU Trend Barometer recorded 64, 39, 50, 52, 30 across July’s five weekly readings, closing at 30 percent and Very Weak, ten points below the Neutral floor. Yet contract-level breadth barely changed across the final two weeks, with 23 of 49 contracts higher and then 24 of 49. Markets had not gone quiet. Established trends had simply stopped persisting.
The rolling-window metrics changed little. Maximum drawdown measured 16.88 percent, the MAR ratio held at 0.30, and skew registered +0.06. The VAMI absorbed a second shallow decline while the longer-term compounding path remained intact.
Dispersion contracted sharply. The strongest program gained +6.77 percent and the weakest declined -15.93 percent, producing a range less than half as wide as June’s. Standard deviation fell to 3.38 from 4.56.
Summary: July cost the universe roughly what June did, but it did so through attrition rather than dislocation. A promising month was assembled through the third and fourth weeks, then unwound in the fifth as crude, the dollar and grains turned together. Despite the reversal, year-to-date performance remained positive.
Top 10 Trend Following Performance: July 2026
The July leaderboard tells us who navigated the final-week reversal best. The five-year tables ask the harder question: whose architecture has endured.
FTC Capital’s FTC Futures Fund Classic led the month at +6.77 percent, taking its trailing 12-month return to +26.20 percent. Mount Lucas Management Corporation’s Managed Futures ETF followed at +6.50 percent, with Quintik Capital’s Managed Futures at +4.85 percent.
Michael J Frischmeyer’s Managed Account Program returned +4.78 percent. That is notable not only for the result, but for a program trading since January 1981 and carrying a correlation to the benchmark of just 0.14. Aspect Capital’s Diversified Program added +3.30 percent.
AQR Capital Management placed two programs in the top ten: Managed Futures UCITS at +2.81 percent and AQR Managed Futures HV Strategy at +2.39 percent. Aspect Core Trend HV Fund returned +1.88 percent, Graham Capital Management’s Tactical Trend +1.64 percent, and Winton Major-Market Trend completed the list at +1.58 percent.
One number set in this table deserves a closer look. FTC Futures Fund Classic topped the monthly leaderboard while carrying a five-year return of -11.45 percent, a five-year CAGR of -2.40 percent and a MAR ratio of -0.06. Maximum drawdown stands at 40.43 percent. A strong month and a durable long-term architecture are not the same thing. This report deliberately asks both questions.
Takeaway: A return of only +1.58 percent was enough to enter July’s top ten, compared with +3.37 percent in June. Large diversified managers returned to the leaderboard, with Aspect and AQR placing two programs each and Graham and Winton one apiece. In a month dominated by reversal, breadth of market coverage mattered more than concentrated conviction.
Monthly Dispersion Summary: July 2026
July’s dispersion profile narrowed sharply from June.
Key Statistics:
Max Return: +6.77 percent
Min Return: -15.93 percent
Mean: -1.24 percent
Median: -0.76 percent
Standard Deviation: 3.38
Reporting Programs: 99
Returns clustered tightly around a modest loss. The heaviest frequency bars sat between -3 and +1.5 percent, with eleven programs in the largest single bucket just below zero. The mean of -1.24 percent and median of -0.76 percent were close together, pointing to broad participation in a shallow decline rather than a handful of programs carrying the damage.
Both tails contracted. The right tail reached +6.77 percent versus June’s +16.39 percent, while the left tail stopped at -15.93 percent compared with June’s -26.00 percent. Standard deviation of 3.38 sits between June’s 4.56 and May’s 2.40. July was neither the compression of May nor the dislocation of June.
The monthly dispersion series reinforces the point. After June’s spike, the reading moved back toward its multi-year average band. The environment turned, but it did not fracture.
Allocator View:
- A second consecutive negative month, but one driven by attrition rather than dislocation.
- Narrower dispersion meant manager selection contributed less to outcomes than it did in June.
- A -1.24 percent benchmark month against a barometer closing at 30 percent was a relatively contained outcome for such a weak trend environment.
- The universe gave back roughly two percent across two months after a strong first half. The sign matters less without the path and the context.
Top 10 List: 5-Year CAGR — July 2026
The five-year lens separates durable compounders from episodic winners. Monthly leaderboards tell us who captured the latest opportunity. Five-year tables tell us who has kept compounding through changing regimes.
Mulvaney Capital Management’s Global Diversified Program retained a commanding lead with a 51.30 percent CAGR, easing from 54.02 percent in June after a -4.02 percent month. July marked a third consecutive month of consolidation following an extraordinary run. Even so, a five-year cumulative return of 692.77 percent and a trailing 12-month return of +186.89 percent still leave the program in a category of its own.
Fieldhouse Capital’s Global Managed Futures followed at 19.21 percent, but the 12-month column changes the interpretation. Its trailing return is -1.07 percent, which means the five-year CAGR was built entirely in years one through four. Unless recent performance improves, the rolling window will continue to pressure that number. It is a useful reminder that a five-year CAGR should be read alongside the recent path, not in isolation.
AQR Managed Futures HV Strategy moved to 18.28 percent following a positive month, edging ahead of CFM ISTrends (IST) 1.5X at 17.16 percent. AQR Managed Futures recorded 13.69 percent, while CFM IS Trends Fund stood at 11.85 percent.
AQR Managed Futures UCITS at 11.73 percent, Bowmoor Capital’s Global Alpha Fund Share Class D at 11.62 percent, East Coast Capital Management’s ECCM STF at 11.09 percent, and DUNN Capital Management’s Managed Futures Strategy (Arrow) at 11.03 percent completed the top ten.
Three AQR programs and two CFM programs sit in this table. That concentration is not accidental. Both firms operate broad, diversified and systematically governed processes at institutional scale, characteristics a five-year window has had time to expose.
Against that group, the benchmark’s 5.04 percent CAGR shows just how much separation the strongest long-term programs have achieved.
Dispersion of 5-Year CAGR: Summary — July 2026
Five-year dispersion moved only modestly, but the centre of the distribution shifted lower.
Most programs clustered between +2 and +8 percent CAGR, forming the institutional core. Mean CAGR eased to 4.53 percent from 4.60 percent in June, while the median fell more noticeably to 3.65 percent from 4.09 percent. The widening gap tells us that a small number of right-tail outliers are carrying more of the average.
Mulvaney continues to anchor the right tail at a 51.30 percent CAGR, sitting roughly thirty percentage points clear of the next program. At the other end, the left tail extended to -10.35 percent from -8.89 percent, with standard deviation at 7.08.
A falling median beside a relatively stable mean is a familiar shape: the middle of the distribution is absorbing pressure while the outliers hold their ground. Long-term compounding remains highly uneven across the universe.
Top 10 List: 5-Year MAR Leaders — July 2026
The MAR leaders remained concentrated among programs that combined return with comparatively contained drawdowns.
Capital Fund Management’s IS Trends Fund moved into first place with a MAR of 1.85, pairing an 11.85 percent CAGR with a maximum drawdown of just 6.41 percent. Its sister program, CFM ISTrends (IST) 1.5X, followed at 1.80, delivering a higher 17.16 percent CAGR against a 9.55 percent drawdown. The relationship between the two is a useful illustration of measured leverage applied to a stable underlying process.
AQR Managed Futures ranked third at 1.39, followed by Agility Trading’s Pattern Recognition Breakout Strategy at 1.33. Agility’s 5.87 percent maximum drawdown is the smallest in the table, while its benchmark correlation of 0.06 makes it the most distinct return stream in the group.
AQR Managed Futures UCITS at 1.19 and AQR Managed Futures HV Strategy at 1.17 extended AQR’s presence across the MAR table. Bastiat Capital’s Divergence Program at 0.98 and Campbell & Company’s Managed Futures at 0.94 each paired high-single-digit CAGRs with mid-single-digit drawdowns.
Mulvaney appears at 0.84 and Fieldhouse at 0.78. Both earn their place primarily through the magnitude of return rather than drawdown containment. Mulvaney’s 60.87 percent maximum drawdown is, by a wide margin, the largest in the table.
Winton Multi-Strategy, which led this table in June with a MAR of 2.42, is absent from July’s reporting cohort. Along with the other programs that did not report this month, its omission changes the composition of the table. It should not be read as evidence that the program itself has lost standing.
The lesson is not that strong programs avoid drawdowns. They do not. The distinction is whether the return generated over time has been sufficient to justify the drawdown path required to earn it.
CAGR vs. Max Drawdown — Top 10 MAR Strategies
The top MAR scatterplot separates the leaders into several distinct return and drawdown profiles.
Agility Trading, Campbell and Bastiat occupied the lower-left region, with CAGRs between 7.8 and 8.7 percent and drawdowns below 9 percent. Their position shows that strong return relative to drawdown does not require large peak-to-trough losses. The two Capital Fund Management programs and three AQR programs formed a dense institutional cluster between 11 and 18 percent CAGR, with drawdowns between 6 and 16 percent.
Fieldhouse sat further out at a 19.21 percent CAGR against a 24.61 percent drawdown. Mulvaney Capital Management occupied the far upper-right at 51.30 percent CAGR and 60.87 percent drawdown. One point stretches both axes and makes the trade-off impossible to miss.
The benchmark sat in the lower-left at a 5.04 percent CAGR against a 16.88 percent drawdown. Every program in the top MAR group plotted more favourably on those two dimensions. That separation is precisely why selection matters.
CAGR% vs Max DD% Scatterplot: All Programs — July 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. The densest region sat below 20 percent drawdown. Across the core of the sample, the stronger five-year compounders have generally also experienced more contained drawdowns, rather than simply accepting larger ones to generate higher returns.
The left tail is less forgiving. Roughly a dozen programs recorded negative CAGRs, several alongside drawdowns above 35 percent, with a cluster near -8 to -12 percent CAGR and drawdowns between 36 and 64 percent. Five years has been long enough for these programs to produce substantial pain, but not a positive compounded result.
Mulvaney remains isolated at the far right, with a 51.30 percent CAGR and 60.87 percent drawdown. The return is extraordinary. So is the path required to achieve it.
Durability was common. Exceptional outcomes were not.
Conclusion — July 2026
July cost the trend-following universe -1.24 percent, marking a second consecutive negative month and almost repeating June’s result. That is where the similarity ends. June scattered programs across a forty-two point range and produced a -26 percent outlier. July compressed the field, with standard deviation falling to 3.38 and the median program declining just -0.76 percent.
The month was built, then unwound. Through the third and fourth weeks, crude extended a breakout, bonds fell cleanly across the curve and the dollar strengthened broadly, lifting the SG Trend Index to +1.24 percent month to date by 24 July. In the final week, crude surrendered most of that move, the dollar reversed against the entire basket, and all eight grain contracts fell. The TTU Trend Barometer dropped twenty-two points to 30 percent and Very Weak. Participation had not disappeared. Persistence had.
Long-term numbers remained broadly intact. The five-year CAGR held at 5.04 percent, the MAR ratio at 0.30, and the year-to-date position stayed positive. Mulvaney continued to consolidate at a 51.30 percent CAGR, while the MAR leaders at Capital Fund Management, AQR and Agility Trading again showed how much the drawdown path matters to long-term compounding.
One qualification matters. Ninety-nine programs reported in July, compared with 116 in June. Anyone comparing the two editions should therefore attribute part of the movement in benchmark statistics, including the apparent improvement in maximum drawdown, to the narrower reporting base rather than to a change in market conditions.
Allocator takeaway: Two modest losing months after a strong first half are not, by themselves, a signal. They are part of the price trend followers pay for remaining exposed while markets repeatedly turn before trends have time to mature. The next durable move will not arrive with an announcement. Participation has to come first.
The process held. The reversals were absorbed. July was uncomfortable, but not disorderly, and the benchmark gave back little relative to the violence seen only a month earlier.
Congratulations to July’s Rising Stars and enduring Trend Titans for maintaining discipline through a month that turned twice.
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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