Introduction
Systematic trend following performance in May 2026 cooled after April’s turbulence. The benchmark gained just +0.50 percent as two-way churn across energy and commodities left most programs treading water. After a month that traced the barometer from Strong to Moderately Weak and back, the directional clarity that had defined earlier 2026 gave way to consolidation.
The trailing 12-month return strengthened to +23.58 percent as the rolling window captured recent strength. The five-year CAGR settled at 5.12 percent with the MAR ratio at 0.32. The universe expanded to 114 programs as seven new programs joined the reporting cohort.
May unfolded across five distinct phases. The month opened with energy extending higher and the TTU Trend Barometer at 55 percent. Then diplomatic progress on Iran sent the petroleum complex reversing sharply, dropping the barometer to 43 percent. Mid-month saw energy surge again as President Trump rejected a proposed framework, lifting the barometer to 57 percent. By the fourth week, further de-escalation reversed energy once more, and the barometer slipped to 45 percent. The month closed with Brent down -11 percent in a single week, natural gas decoupling higher at +9 percent, and the barometer dropping to 32 percent—Moderately Weak territory for the first time in the cycle.
The monthly leaderboard reflected the rotation. QQFund.com’s Alpha Beta Program led with +17.08 percent, followed by Dynamic Beta Investments’ Managed Futures ex Commodities at +5.99 percent. The names that had dominated earlier months stepped back as new approaches captured the month’s narrow opportunities.
Welcome to Rising Stars and Trend Titans, where we track 114 globally diversified, rules-based programs with at least five years of verified performance. This month’s edition examines how managers navigated May’s consolidation and which approaches found opportunity in the churn.
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 — May 2026
May delivered a quiet month for the systematic trend-following universe as cross-sector churn replaced directional clarity. The benchmark, representing 114 reporting programs, gained +0.50 percent. The SG Trend Index closed May at +0.38 percent for the month and +10.55 percent year-to-date, giving back a portion of April’s gains but holding above the double-digit threshold.
Risk metrics held steady. Maximum drawdown edged to 16.24 percent, the MAR ratio settled at 0.32, and skew remained near neutral at +0.01. The TTU Trend Barometer traced a volatile path: 55 to 43 to 57 to 45 to 32 percent, closing the month in Moderately Weak territory as sector-level fragmentation replaced the coherent moves of earlier months.
The VAMI held its advance as rules-based processes absorbed the consolidation. The strongest program gained +17.08 percent, while the weakest declined -6.06 percent. Dispersion narrowed significantly with a standard deviation of 2.40, down from 3.44 in April.
This pattern reflects an environment where reversals outnumbered trends and patience outweighed aggression.
Summary: May tested trend-following patience with energy whipsaws and sector fragmentation. Petroleum reversed repeatedly on Iran diplomacy. Natural gas decoupled. Yet systematic managers held their ground. The year-to-date remained in double digits.
Top 10 Trend Following Performance: May 2026
May’s leaderboard shows who found opportunity in the churn. The five-year tables show whose architecture has endured.
At the top of the leaderboard, QQFund.com’s Alpha Beta Program delivered +17.08 percent, capturing opportunity where others found only noise. One exceptional month does not define manager quality, but the program’s ability to extract returns from a challenging environment demonstrates the value of architectural differentiation.
Dynamic Beta Investments dominated the next four positions with their suite of currency-hedged offerings: Managed Futures ex Commodities at +5.99 percent, EUR at +3.96 percent, GBP Hedged at +3.44 percent, and EUR Hedged at +3.18 percent.
EMC Capital Advisors’ Balance Program contributed +3.93 percent, DG Partners’ BH-DG Systematic Trading Fund added +3.69 percent, and SEB Group’s Asset Selection delivered +3.46 percent.
Fisch Asset Management’s Trend Navigator returned +2.97 percent and DIVAS Asset Management’s Trend Navigator added +2.71 percent to round out the top ten.
Takeaway: The leaderboard rotated. Names that dominated earlier months stepped back as the environment shifted. The programs that prospered found opportunity in sectors outside the energy churn or positioned to capture the two-way moves.
Monthly Dispersion Summary: May 2026
May’s dispersion profile reflected the month’s narrow opportunity set.
Key Statistics:
Max Return: +17.08 percent
Min Return: -6.06 percent
Mean: +0.50 percent
Median: +0.48 percent
Standard Deviation: 2.40
Reporting Programs: 114
Most programs clustered tightly between -1 and +3 percent, reflecting the narrow range of outcomes in a low-conviction environment. The right tail extended to QQFund’s +17.08 percent, a clear outlier. The left tail reached -6.06 percent, a wider loss than April’s worst performer as some programs absorbed the energy reversals.
Dispersion compressed sharply from April, with the standard deviation at 2.40 versus 3.44. This compression reflects the challenging environment: fewer programs achieved outsized gains, and the opportunity set narrowed.
Allocator View:
- The universe expanded with seven new programs joining the cohort.
- Dispersion narrowed as two-way churn limited directional opportunity.
- Patience and capital preservation were the dominant themes.
Top 10 List: 5-Year CAGR — May 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 56.42 percent CAGR, down from 58.82 percent in April after a -2.60 percent monthly return. Even the strongest architectures consolidate after extended runs, and the pullback frames the prior months’ extraordinary gains in proper context.
Fieldhouse Capital’s Global Managed Futures followed with a 26.46 percent CAGR. CFM ISTrends 1.5X delivered 17.63 percent, demonstrating the effectiveness of diversification and measured leverage.
Institutional leaders including AQR Managed Futures HV Strategy at 16.36 percent, Bowmoor Capital’s Global Alpha Fund at 14.20 percent, and AQR Managed Futures at 12.37 percent anchored the upper tier.
CFM IS Trends, East Coast ECCM STF, Lynx 1.5x, and Aspect Capital’s Diversified Program rounded out the top ten.
The benchmark’s 5.12 percent CAGR highlights the degree of separation achieved by coherent long-term design.
Dispersion of 5-Year CAGR: Summary — May 2026
Five-year dispersion narrowed slightly as the leading program consolidated.
Most programs clustered between +2 and +10 percent CAGR, forming the institutional core. The mean CAGR settled at 4.61 percent with a median of 4.32 percent. The right tail remains anchored by Mulvaney’s 56.42 percent CAGR, still a dramatic outlier despite the monthly pullback. The left tail extended to -9.43 percent, reflecting ongoing selection pressure on weaker designs.
Long-term compounding remained anchored in architecture, not regime.
Top 10 List: 5-Year MAR Leaders — May 2026
Efficiency stayed concentrated among programs combining return with controlled drawdowns.
Winton Capital Management’s Multi-Strategy led with a MAR of 2.43 and a maximum drawdown of just 4.10 percent. CFM IS Trends Fund and CFM ISTrends 1.5X followed with MARs of 1.88 and 1.85 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, Campbell, and Bowmoor 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 — May 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 — May 2026
May tested trend-following patience with energy whipsaws, Iran diplomacy reversals, and sector fragmentation. Petroleum traced repeated swings as geopolitical headlines dominated. Natural gas decoupled. The TTU Trend Barometer dropped to 32 percent—Moderately Weak territory—for the first time in the current cycle. Yet systematic managers held their ground. The benchmark gained +0.50 percent as the SG Trend Index maintained its year-to-date above +10 percent.
Long-term results remained intact. The industry core held, Mulvaney consolidated after its extraordinary run, and efficiency leaders demonstrated that controlled drawdowns remain central to sustainability. The universe expanded to 114 programs as new entrants joined the cohort.
Allocator takeaway: Not every month delivers directional clarity. May was a month for patience, not aggression. Rules-based processes absorbed the churn, preserved capital, and waited for the next opportunity. That is what systematic architecture is designed to do.
Patience held. Capital preserved. And those who trusted their systems navigated the consolidation without abandoning their edge.
Congratulations to May’s Rising Stars and enduring Trend Titans for maintaining process 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 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.
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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.
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