Introduction
Systematic trend following extended its recovery in September 2026. The benchmark of 97 reporting programs gained +3.21 percent, its second consecutive positive month, and the five-year VAMI closed at a new high. The largest weekly gain of the month for the SG Trend Index, a separate index of large trend-following managers, came in the week ending 11 September, when only 14 of 49 tracked contracts rose. Crude oil rallied while bonds, metals and equity indices fell, a mix in which falling markets can offer as much opportunity as rising ones to strategies that trade in both directions.
The reporting group fell to 97 programs from 99. The database shows that two of August’s programs have not reported September returns: Winton Multi-Strategy, which led August’s MAR table, and QQFund.com’s Alpha Beta Program, which held the lowest five-year CAGR in August at -13.26 percent. The benchmark’s five-year history is rebuilt each month from the programs currently reporting, so its past returns change when membership changes. That is relevant to two figures that moved against the month’s gain. Maximum drawdown rose to 17.78 percent from 17.24 percent even though the benchmark set a new equity high, and the trailing 12-month return eased to +18.03 percent from +19.17 percent. The higher historical maximum drawdown is consistent with the benchmark’s recalculated history, despite September’s new equity high. The trailing 12-month return also reflects September 2026 replacing September 2025 in the rolling window. The published aggregates do not isolate the effects of membership changes, revisions and the rolling window.
Lynx Asset Management’s Lynx 1.5x led September at +13.90 percent, followed by Lynx at +10.04 percent and Welton Investment Partners’ Global Directional Portfolio at +9.27 percent. August’s leaderboard included several programs with deep five-year drawdowns. September’s was led by established diversified programs with benchmark correlations between 0.71 and 0.94.
Welcome to Rising Stars and Trend Titans, where we track globally diversified, rules-based programs with at least five years of reported performance. This edition looks at a month in which the most profitable week coincided with the fewest rising markets, and at the established programs that led the tables.
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:
- Established 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 – Monthly performance as reported to 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 - September 2026
The benchmark, representing 97 reporting programs, returned +3.21 percent in September. The SG Trend Index, which is tracked separately from this report’s benchmark, finished September at +4.26 percent, about a percentage point ahead of the benchmark, taking its year-to-date return to roughly +15.8 percent.
The month opened with energy. In the week to 4 September all six energy contracts rose, led by Crude Oil WTI at +9.69 percent and Brent at +9.28 percent, while bonds fell across all four maturities. In the second week WTI added a further 9.37 percent to close near 99.99, Heating Oil rose 9.23 percent and Brent 8.65 percent. Bonds fell across the curve again, with all four maturities at the lowest levels on their charts, and all five metals contracts and all seven equity indices declined. The SG Trend Index’s month-to-date return rose from +0.59 percent to +2.79 percent that week, the largest weekly gain of the month.
Only 14 of 49 contracts rose in that second week, the narrowest upside breadth of the period. A count of rising markets measures the balance between rising and falling prices. It does not measure the opportunity available to strategies that hold short positions as readily as long ones, and falling bonds, metals and equity indices can offer that opportunity just as rising crude can. The strongest week showed why counting rising markets is a poor measure of opportunity for strategies that can trade in both directions.
The third week was more difficult. The TTU Trend Barometer fell 14 points to 45 percent, soft commodities lost 5.19 percent with all six contracts lower, led by Cocoa at -10.64 percent, and WTI traded through 100 before closing near 95.47. The index still edged higher, from +2.79 to +3.23 percent month to date. In the week to 25 September the Barometer recovered to 52 percent, bonds fell across all four maturities to new chart lows, the US Dollar Index rose against seven of the eight currencies tracked and the Nasdaq 100 set a new high, while Heating Oil fell 7.72 percent. The index’s month-to-date return rose to +4.47 percent, its seventh consecutive weekly gain, before the final three trading days trimmed the September result to +4.26 percent.
The Barometer recorded 55, 59, 45 and 52 across the month’s four weekly readings, finishing at 52 percent, within the Neutral band. Many of the month’s largest moves, in crude oil, bonds and precious metals, extended trends already in place, which is consistent with favourable conditions for established trend positions. The tables in this report show program returns rather than positions, so they cannot confirm which markets drove any individual result.
The benchmark VAMI moved to a second consecutive new high. Maximum drawdown measured 17.78 percent, the MAR ratio rose to 0.37 and skew registered -0.04. Monthly dispersion widened slightly, with returns ranging from +13.90 percent to -4.95 percent and standard deviation rising to 2.93 from 2.87.
Summary: September extended August’s recovery and lifted the benchmark to a second consecutive equity high. Crude oil rose while bonds and precious metals fell, and the most profitable week for the SG Trend Index came when most prices were falling.
Top 10 Trend Following Performance: September 2026
The September leaderboard was led by established diversified programs, a clear change from August.
Lynx Asset Management’s Lynx 1.5x led at +13.90 percent, lifting its trailing 12-month return to +57.75 percent, and the standard Lynx program followed at +10.04 percent. The ratio between the two results, about 1.4 to 1, is close to what the 1.5x designation would suggest. Welton Investment Partners’ Global Directional Portfolio returned +9.27 percent, its second consecutive top-ten month.
AQR Managed Futures HV Strategy gained +9.15 percent and is the only program to appear in all three of this month’s leader tables. Sterling Partners Quantitative Investments’ SPQI Select returned +8.71 percent, Tudor Investment Corp’s Tudor Momentum Fund +8.39 percent and Capital Fund Management’s CFM ISTEC Fund +8.32 percent. Graham Capital Management’s K4D-15V, Goldman Sachs Management’s Alternative Trend and AlphaSimplex Group’s Adaptive Trend Fund completed the table with returns between +7.59 and +6.62 percent.
All ten programs carry positive five-year returns, from +9.84 percent for Welton to +153.67 percent for AQR Managed Futures HV Strategy, and two carry maximum drawdowns above 40 percent, compared with six in August. Two of the younger programs, SPQI Select and CFM ISTEC, began trading in 2019 and have five-year returns of +50.32 and +48.28 percent.
Takeaway: The threshold to enter the top ten eased to +6.62 percent from +6.85 percent. The month’s largest market moves came in crude oil, government bonds and precious metals, core sectors for diversified trend programs, although the tables do not show how each program was positioned.
Monthly Performance Dispersion: September 2026
September’s dispersion profile moved further to the right, although both tails extended slightly from August.
Key Statistics:
Max Return: +13.90 percent
Min Return: -4.95 percent
Mean: +3.21 percent
Median: +3.10 percent
Standard Deviation: 2.93
Reporting Programs: 97
The distribution peaked at +5 percent, with eleven programs in the largest single bucket, and a second cluster formed between +1.5 and +2.5 percent. The bulk of the universe fell between +1 and +6 percent. Roughly a tenth of programs finished flat or lower, and two sat well below the rest of the distribution, the weakest at -4.95 percent.
The mean of +3.21 percent sat close to the median of +3.10 percent, a much smaller gap than August’s 0.67 points, so the right tail did less to lift the average. Four programs gained more than nine percent. The monthly dispersion series has held close to 3 since June, near the middle of its five-year range of roughly 1.4 to 5.8.
Allocator View:
- A second broad gain. The median program returned +3.10 percent, and only around a tenth of the universe finished flat or lower.
- The upside spread was wider than the downside. The leader finished nearly 11 percentage points above the median, and the weakest program about 8 points below it.
- The leaders mostly carried benchmark correlations above 0.7. Their high benchmark correlations suggest substantial common exposure. Pairwise correlations would be needed to assess the diversification available from combining them.
- Breadth was a poor guide to return. The SG Trend Index’s largest weekly gain came in the week when the fewest contracts rose.
Top 10 List: 5-Year CAGR - September 2026
The five-year lens separates durable compounders from episodic winners. In September the table held steady, with the same ten programs as in August appearing in a different order.
Mulvaney Capital Management’s Global Diversified Program retained first place with a 50.27 percent CAGR, down from 54.72 percent in August. A -4.95 percent month reduced its five-year cumulative return to 666.33 percent from 786.48 percent, and its trailing 12-month return fell to +151.62 percent from +204.01 percent.
AQR Managed Futures HV Strategy held second at 20.46 percent, up from 19.34 percent. Fieldhouse Capital’s Global Managed Futures stayed third and improved to 19.80 percent from 18.16 percent, despite a -1.77 percent month and a trailing 12-month return that weakened to -6.26 percent. The explanation lies at the other end of the window: September 2021, which has now dropped out, was a loss of -8.31 percent. Fieldhouse’s benchmark correlation of 0.00 remains the lowest in the table.
CFM ISTrends (IST) 1.5X ranked fourth at 16.80 percent, slightly below August’s 17.04 percent, and AQR Managed Futures fifth at 14.89 percent. Lynx 1.5x rose to sixth from ninth, its CAGR climbing to 14.78 percent from 12.18 percent. AQR Managed Futures UCITS followed at 13.12 percent, DUNN Capital Management’s Managed Futures Strategy (Arrow) at 12.68 percent and its WMA program at 12.04 percent. East Coast Capital Management’s ECCM STF moved to tenth from sixth at 11.89 percent after a -1.52 percent month.
The entry threshold edged up to 11.89 percent from 11.83 percent, and AQR again places three programs and DUNN two. The benchmark’s 6.53 percent CAGR is a little over half that of the tenth-placed program.
Dispersion of 5-Year CAGR: Summary - September 2026
The five-year distribution tightened in September, with the lower tail pulling in and the centre moving to the right.
Most programs clustered between +1 and +12 percent CAGR, with the single largest bucket, at +6 percent, holding fifteen programs. Mean CAGR rose to 6.07 percent from 5.37 percent and the median to 5.61 percent from 4.44 percent. The median rose further than the mean, and the gap between the two halved to 0.46 percentage points.
Mulvaney anchors the right tail at a 50.27 percent CAGR, close to thirty percentage points clear of the next program, while a small group between 16 and 21 percent forms the rest of the upper tail. At the other end, the left tail contracted to -8.06 percent from -13.26 percent. That change reflects membership rather than performance: QQFund.com’s Alpha Beta Program, which set August’s lower bound, did not report for September, and the new lower bound belongs to Incline Investment Management’s Crystal Bay Ubitrend. Six programs now show negative five-year CAGRs, and standard deviation narrowed to 6.74 from 7.19.
Top 10 List: 5-Year MAR Leaders - September 2026
Capital Fund Management’s IS Trends Fund moved into first place with a MAR of 1.86, pairing an 11.89 percent CAGR with a maximum drawdown of 6.41 percent. Its sister program CFM ISTrends (IST) 1.5X ranked second at 1.76, with a higher 16.80 percent CAGR and a deeper 9.55 percent drawdown. Winton Multi-Strategy, which led in August, does not appear this month.
AQR places three programs in the middle of the table, and all three improved. AQR Managed Futures rose to 1.51 from 1.45, AQR Managed Futures UCITS to 1.33 from 1.24 and AQR Managed Futures HV Strategy to 1.29 from 1.24.
Agility Trading’s Pattern Recognition Breakout Strategy held at 1.28 after a +0.30 percent month, and its 0.07 correlation to the benchmark is again the lowest in the table. Campbell & Company’s Managed Futures improved to 1.21 from 1.06, while Bastiat Capital’s Divergence Program eased to 0.98 from 1.05 after a -1.01 percent month.
Two programs entered the table. Catalyst Capital Advisors’ Millburn Hedge Strategy Fund ranked ninth at 0.95, with a 9.41 percent CAGR and a 9.94 percent maximum drawdown. Graham Capital Management’s Proprietary Matrix completed the list at 0.83, pairing a 5.39 percent CAGR with a 6.46 percent drawdown. Mulvaney’s MAR slipped to 0.83 from 0.90, level with Graham at two decimal places, and it fell just outside the table.
Three programs carry positive skew above 0.5: Bastiat at 0.74, Agility at 0.66 and Campbell at 0.58, each with a maximum drawdown below 9 percent. Graham Proprietary Matrix has the most negative skew in the table at -0.91, so a small drawdown and a favourable return distribution do not always go together. No program in the table carries a maximum drawdown above 16 percent.
CAGR vs. Max Drawdown - Top 10 MAR Strategies
The top MAR scatterplot is more compact this month, because the program that stretched both axes in August is no longer in the table.
Agility Trading sits lowest on the drawdown axis at 5.87 percent against a 7.50 percent CAGR. CFM IS Trends Fund at 6.41 percent and Graham Proprietary Matrix at 6.46 percent sit close beside it on that axis but far apart on return, at 11.89 and 5.39 percent CAGR. Campbell, Bastiat and Millburn form a group between 8.7 and 10.4 percent CAGR with drawdowns between 8.6 and 10 percent, and AQR Managed Futures HV Strategy occupies the upper-right corner at a 20.46 percent CAGR and a 15.86 percent drawdown.
The benchmark plotted at a 6.53 percent CAGR and a 17.78 percent drawdown. Every program in the table recorded a smaller drawdown than the benchmark, and nine of the ten a higher CAGR. Graham Proprietary Matrix compounded a little over one percentage point a year less than the benchmark with roughly a third of its drawdown.
CAGR% vs Max DD% Scatterplot: All Programs - September 2026
Most of the 97 programs clustered between 0 and 12 percent CAGR, with drawdowns between 8 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. Two programs near 20 percent CAGR sit clear of the main body: AQR Managed Futures HV Strategy with a 15.86 percent drawdown and Fieldhouse Capital’s Global Managed Futures with 24.61 percent.
Six programs recorded negative five-year CAGRs, most with drawdowns between 27 and 40 percent, and two programs with low positive CAGRs carry drawdowns above 50 percent. At the extremes, Mulvaney sits at the far right with a 50.27 percent CAGR and a 60.87 percent drawdown, while Incline Investment Management’s Crystal Bay Ubitrend at the far left combines a -8.06 percent CAGR with a 66.85 percent drawdown, the deepest in the universe. Close to fifty-eight percentage points of annual compounding separate two programs that have both been through drawdowns above 60 percent.
Conclusion - September 2026
September returned +3.21 percent to the trend-following universe and lifted the benchmark VAMI to a second consecutive high, with the five-year CAGR at 6.53 percent and the MAR ratio at 0.37. The median program gained +3.10 percent.
Crude oil rose more than 8 percent in each of the first two weeks, bond futures fell in every week and finished at new lows across the curve, and precious metals extended declines that began in February. The SG Trend Index’s largest weekly gain came in the week when only 14 of 49 contracts rose. For strategies that trade in both directions, falling markets count as much as rising ones.
Established diversified programs led the monthly table, all ten with positive five-year returns. The five-year CAGR table kept the same ten names, led by Mulvaney at 50.27 percent, and Capital Fund Management’s IS Trends Fund took first place in the MAR table at 1.86.
Allocator takeaway: September’s market moves were consistent with favourable conditions for established trend positions, and the programs that led were mostly those with high correlations to the benchmark. A count of rising markets would have given the wrong impression of the month’s most profitable week.
Congratulations to September’s Rising Stars and enduring Trend Titans.
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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