Introduction
Systematic trend following performance in June 2026 turned negative for the first time this year. The benchmark declined -1.26 percent as risk-off conditions swept across asset classes and sharp reversals punished extended positioning. After months of consolidation and patience, the repricing arrived -and not all programs navigated it cleanly.
The trailing 12-month return eased to +21.00 percent as the rolling window absorbed the negative month. The five-year CAGR edged higher to 5.21 percent with the MAR ratio settling at 0.30. Maximum drawdown deepened to 17.42 percent. The universe expanded to 116 programs as two new programs joined the reporting cohort.
June delivered the sharpest dispersion of the year. The worst-performing program declined -26.00 percent -a magnitude that stands as a clear outlier and a reminder that leverage amplifies both gains and losses. At the other extreme, Bald Eagle Capital Strategies’ Osprey Plus gained +16.39 percent, demonstrating that opportunity remained for those positioned to capture it.
The monthly leaderboard reflected new leadership. Bald Eagle Capital Strategies claimed both top positions with Osprey Plus at +16.39 percent and Osprey at +13.59 percent. Welton Investment Partners’ Global Directional Portfolio followed at +6.67 percent. The programs that thrived found opportunity in the dislocation.
Welcome to Rising Stars and Trend Titans, where we track 116 globally diversified, rules-based programs with at least five years of verified performance. This month’s edition examines how managers navigated June’s risk-off repricing and what the dispersion reveals about architectural resilience.
Criteria for Inclusion
These criteria distinguish durable systematic processes from short-term performance artefacts.
The Rising Stars and Trend Titans report evaluates globally diversified systematic trend-following programs that meet 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 to ensure 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.
- Consistent Reporting – Verified monthly performance sourced from the Nilsson Hedge Database.
- Balanced Scope – Inclusion of both established managers and emerging programs that meet the five-year threshold.
For a full listing of the programs featured in this month’s report, click here.
Systematic Trend Following Performance Overview — June 2026
June delivered the first negative month of 2026 for the systematic trend-following universe. The benchmark, representing 116 reporting programs, declined -1.26 percent. The SG Trend Index closed June at -1.35 percent for the month, with year-to-date performance settling at +11.90 percent -still comfortably in double-digit territory despite the setback.
Risk metrics reflected the stress. Maximum drawdown deepened to 17.42 percent, the MAR ratio eased to 0.30, and skew shifted to +0.06. The VAMI absorbed the drawdown while the longer-term compounding trajectory remained intact.
Dispersion widened dramatically. The strongest program gained +16.39 percent, while the weakest declined -26.00 percent -a range that stands as the widest of the year. Standard deviation expanded to 4.56, up sharply from 2.40 in May.
This pattern reflects an environment where directional conviction was punished and risk management separated the resilient from the exposed.
Summary: June marked the first negative benchmark month of 2026. Risk-off conditions and sharp reversals tested trend-following architectures. The year-to-date remained positive, but the month exposed the cost of extended positioning without adequate risk controls.
Top 10 Trend Following Performance: June 2026
June’s leaderboard shows who found opportunity in the dislocation. The five-year tables show whose architecture has endured.
At the top of the leaderboard, Bald Eagle Capital Strategies’ Osprey Plus delivered +16.39 percent, capturing opportunity where others found only drawdown. The firm’s Osprey program followed at +13.59 percent, giving Bald Eagle both top positions for the month.
Welton Investment Partners’ Global Directional Portfolio contributed +6.67 percent. Lynx Asset Management’s 1.5x program added +5.20 percent and Purple Valley Capital’s Diversified Trend 1 delivered +5.13 percent.
TGCC’s M3 Momentum Fund returned +4.60 percent, Lynx (standard leverage) added +3.70 percent, and Absolute Return Capital Management’s Diversified Momentum Strategy contributed +3.63 percent.
Metori Capital Management’s Epsilon Global Trend returned +3.39 percent and Dynamic Beta Investments’ EUR added +3.37 percent to round out the top ten.
Takeaway: The leaderboard diverged sharply from the benchmark. Ten programs delivered gains exceeding +3.3 percent while the median program declined -1.40 percent. The month rewarded those positioned for the reversal.
Monthly Dispersion Summary: June 2026
June’s dispersion profile reflected the month’s stress and opportunity.
Key Statistics:
Max Return: +16.39 percent
Min Return: -26.00 percent
Mean: -1.26 percent
Median: -1.40 percent
Standard Deviation: 4.56
Reporting Programs: 116
Most programs clustered between -5 and +3 percent, with the distribution skewing negative. The right tail extended to Bald Eagle’s +16.39 percent. The left tail reached -26.00 percent -a loss magnitude that stands as the most extreme of the year and underscores the asymmetric risk that leverage introduces when trends reverse sharply.
Dispersion expanded sharply from May, with the standard deviation at 4.56 versus 2.40. This widening reflects the month’s character: directional conviction was tested, and the distance between winners and losers grew.
Allocator View:
- The first negative benchmark month of 2026 arrived.
- The -26 percent outlier loss is a reminder that leverage cuts both ways.
- Risk management and position sizing remain central to long-term survival.
Top 10 List: 5-Year CAGR — June 2026
The five-year lens distinguishes long-term compounders from episodic performers. Monthly leaderboards reveal who captured recent opportunity; five-year tables reveal whose architecture has endured.
Mulvaney Capital Management’s Global Diversified Program maintained its commanding lead with a 54.02 percent CAGR, down from 56.42 percent in May after a -11.59 percent monthly return. The drawdown is significant but does not alter the program’s structural position as the universe’s dominant long-term compounder.
Fieldhouse Capital’s Global Managed Futures followed with a 25.04 percent CAGR. CFM ISTrends 1.5X delivered 17.98 percent, demonstrating the effectiveness of diversification and measured leverage.
Institutional leaders including AQR Managed Futures HV Strategy at 16.65 percent, Bowmoor Capital’s Global Alpha Fund at 14.40 percent, and Lynx 1.5x at 12.86 percent anchored the upper tier.
AQR Managed Futures, CFM IS Trends, East Coast ECCM STF, and DUNN Capital Management’s Managed Futures Strategy rounded out the top ten.
The benchmark’s 5.21 percent CAGR highlights the degree of separation achieved by coherent long-term design.
Dispersion of 5-Year CAGR: Summary — June 2026
Five-year dispersion narrowed slightly as the leading program absorbed June’s drawdown.
Most programs clustered between +2 and +10 percent CAGR, forming the institutional core. The mean CAGR settled at 4.60 percent with a median of 4.09 percent. The right tail remains anchored by Mulvaney’s 54.02 percent CAGR, still a dramatic outlier despite two months of consolidation. The left tail extended to -8.89 percent, reflecting ongoing selection pressure on weaker designs.
Long-term compounding remained anchored in architecture, not regime.
Top 10 List: 5-Year MAR Leaders — June 2026
Efficiency stayed concentrated among programs combining return with controlled drawdowns.
Winton Capital Management’s Multi-Strategy led with a MAR of 2.42 and a maximum drawdown of just 4.10 percent. CFM IS Trends Fund and CFM ISTrends 1.5X followed with MARs of 1.92 and 1.88 respectively, demonstrating the effectiveness of diversification and measured leverage.
Programs such as AQR Managed Futures, Agility Trading, Fieldhouse, AQR HV Strategy, AQR Managed Futures UCITS, Bowmoor, and Bastiat Capital filled out the efficiency spectrum, each expressing a distinct balance between return ambition and risk governance.
Efficiency did not arise from avoiding drawdowns, but from surviving them without losing participation.
CAGR vs. Max Drawdown — Top 10 MAR Strategies
The top MAR scatterplot revealed clear efficiency regimes.
Low-volatility leaders occupied the lower-left region, demonstrating that exceptional risk-adjusted returns do not require large drawdowns. Institutional middle-ground strategies formed a dense centre, balancing competitive returns with moderate risk profiles. Higher-return designs extended into the upper-right, reflecting the trade-off between absolute performance and drawdown tolerance.
The benchmark sat well below most leaders, underscoring the efficiency achieved through coherent design.
CAGR% vs Max DD% Scatterplot: All Programs — June 2026
The full-universe scatterplot reaffirmed the industry’s shape.
Most programs clustered between 0 and 12 percent CAGR with drawdowns between 10 and 35 percent. A small group of right-tail outliers demonstrated the power of convexity, generating returns well above the core while accepting larger drawdowns. The left tail highlighted the cost of weak design, with several programs showing negative CAGRs alongside significant drawdowns.
Durability was common. Exceptional outcomes were rare.
Conclusion — June 2026
June tested trend-following architectures with risk-off conditions and sharp reversals. The benchmark declined -1.26 percent -the first negative month of 2026. Dispersion widened dramatically, with the worst performer declining -26 percent while the best gained +16 percent. The month exposed the asymmetric nature of leverage when trends reverse.
Long-term results remained intact. The industry core held, Mulvaney continued to consolidate after its extraordinary run, and efficiency leaders demonstrated that controlled drawdowns remain central to sustainability. The universe expanded to 116 programs as new entrants joined the cohort.
Allocator takeaway: Drawdowns are the price of admission. June was the reminder. The programs that will compound over the next five years are those that absorb months like this without abandoning their edge -and without suffering losses that impair their ability to participate in the next move.
Process held. Drawdowns were absorbed. And those who trusted their systems navigated the repricing without losing their structural position.
Congratulations to June’s Rising Stars and enduring Trend Titans for maintaining discipline through a challenging month.
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.
Want to explore why structure exists at all?
Carved by Impossibility: What Remains When Everything Else Is Eliminated
The book explores the architecture of constraint, emergence, and reality itself, and what it means for how we understand markets, life, and the universe.
Available now on Amazon in paperback, hardcover, and Kindle.
Want the theoretical foundation for why trend following works?
The Fractals of Finance: Determinism, Adaptation and the Geometry of Markets bridges complexity science with practical trading implementation. With a foreword by Jerry Parker, original Turtle Trader.
Available now on Amazon in paperback, hardcover, and Kindle.
Ready to put the theory into practice? The Aussie Turtles Trend Following Guide is the practical companion to systematic trend following, position sizing, risk management, and the disciplined process that captures the moves that matter.
Co-authored with Adam Havryliv. Available now on Amazon in paperback, hardcover, and Kindle.