CTA Index Performance Announcement: January

London 8th February 2016 -- Societe Generale Prime Services today announces the January performance data for its SG CTA indices.

All managed futures indices posted positive returns in the first month of the year, with the headline SG CTA Index leading performance. At 4.21% this is the highest monthly return for the index since 2015’s opening month. Short-term traders also made significant gains, ending up 3.73%.

The newly launched SG CTA Mutual Fund index made a strong start, completing its first live month up 2.64%.

The SG Trend Indicator mirrored the gains of the SG Trend Index, ending up 2.35%. Performance attribution from the Trend Indicator shows trend-followers benefitted from directional moves in Equity indices, Bonds and Currencies (contributing +1.19%, +1.14% and +0.69% respectively).

The Commodity sector had mixed performance in January. The Energy complex contributed +1.19% compared to all other commodity sectors, contributing negatively, and bringing the overall sector contribution down -0.34%.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services, said:

“There is currently a palpable uplift in the mood of the CTA industry. The turnaround compared to the end of last year is noticeable, and everyone will be hoping that the positive performance continues for some time yet.

"This month is a good example of the diversification benefits of CTAs, with all the SG CTA Indices posting gains amidst uncertain equity markets, oil prices and currencies.”

The SG CTA Index, which is equally weighted, calculates the daily rate of return for a group of the largest 20 CTAs that are willing to provide daily returns and are open to new investment.

The SG CTA Mutual Fund Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 CTA Mutual Funds that are willing to provide daily returns and are open to new investment.

The SG Trend Index, which is equally weighted, calculates the daily rate of return for a group of the largest 10 trend-following based CTAs that are willing to provide daily returns and are open to new investment.

The SG Short-Term Traders Index is designed to track the daily performance of a group of the largest 10 short-term, diversified CTAs that have a holding period shorter than 10 days, are willing to provide daily returns and are open to new investment. All three indices are rebalanced and reconstituted annually.

The SG Trend Indicator is a market based performance indicator designed to have a high and stable correlation to the returns of trend following strategies.

Societe Generale Prime Services is an innovator in providing investors with benchmarking tools that represent key hedge fund strategy styles. For further information regarding the calculation of the SG Prime Services indices please see www.sgcib.com.

Further information regarding the calculation of the SG Prime Services indices described herein, including a summary of the relevant index rules is available either online at www.sgcib.com or upon written request made to the Alternative Investments Consulting Team at Societe Generale Prime Services at the address stated in the document. The methodology used to calculate the SG Prime Services indices are based upon the index rules existing at this time and may be subject to change in the future. SG Prime Services indices are benchmarks made available for information only and may not be disclosed to, reproduced or used or relied upon by any other person or entity or used for any other purpose without the prior written consent of Societe Generale Prime Services.