Trend Followers Hold Their Gains as the Whipsaw Refuses to Resolve

May delivered a fifth consecutive month of gains across all three major trend-following benchmarks, though by the narrowest of margins, as one of the most volatile intra-month environments of the cycle ultimately cancelled itself out. Our latest TTU Trend Following Performance Report is now available.

The Headline Numbers

The SG Trend Index led the trend benchmarks with a 0.26 percent advance, while the TTU Trend Following Index gained 0.19 percent and the BTOP50 added 0.12 percent. The S&P 500 Total Return Index, by contrast, climbed 5.26 percent to fresh record highs, delivering the single clean and sustained trend of the period while the systematic complex netted out close to flat.

Despite the marginal monthly gains, the trailing twelve-month figures advanced to their strongest levels of the cycle as the soft readings from early 2025 continued to roll out of the window. The SG Trend Index now stands at 27.52 percent, the TTU TF Index 26.30 percent, and the BTOP50 18.65 percent. Both pure trend benchmarks held comfortably in double-digit year-to-date territory through the first five months of 2026.

A Round Trip to Nowhere

The near-flat monthly figures conceal a month of extraordinary intra-month movement that never settled into a trend. The Iran and Strait of Hormuz narrative swung repeatedly between escalation and de-escalation, driving the petroleum complex through a series of violent reversals, with Brent travelling from roughly 100 to 109, back to 103, and down toward 92 across successive weeks. Each reversal cut against the positioning the prior week had rewarded.

The TTU Trend Barometer tells the story best. It traced 55, 43, 57, 45 and 32 across the five weeks, crossing the 55 Strong threshold four times before resolving decisively to the downside and closing May at 32 in Moderately Weak territory, its first reading below the 40 boundary of the cycle. Where February and April each saw a mid-month shock give way to a powerful month-end recovery, May broke that template: the shock did not resolve, and sector after sector fractured into two-way internal splits as the breadth of clean trends collapsed into month-end.

The Defensive Read

The Serenity Top 5 composite posted a 0.84 percent loss, its first negative month of 2026 and a modest giveback after April’s standout 7.30 percent gain. The trailing twelve-month figure nonetheless rose to 44.68 percent, with the year-to-date return at 20.26 percent through five months, still one of the strongest starts to a calendar year in the composite’s history. May was the quieter, defensive face of the diversification argument: in a fracturing tape where few trends persisted, diversified systematic programs preserved the substantial gains accumulated through the first four months of the year rather than surrendering ground in an environment that had turned actively hostile to directional trading. The cycle that began in January has not been broken. May was simply the month in which it paused.

What the Report Covers

The full May 2026 report includes:

• Detailed performance breakdowns for the TTU TF Index, SG Trend Index, and BTOP50
• TTU Trend Barometer analysis and interpretation
• Top 10 rankings by CAGR, Serenity Ratio, and trailing 12-month returns
• Deep dive into the TTU Top 5 by Serenity Ratio
• Alternative 60/40 Portfolio comparison
• Updated long-term statistics including CAGR, maximum drawdown, and correlation metrics since 2000

Read the full Trend Following Performance Report here.