CTA Index Performance Announcement: April

London 5th May 2016 -- Societe Generale Prime Services today announces the April performance data for its SG CTA indices.

Managed futures strategies continued to decline throughout April, following the challenging market conditions that started taking effect in February, registering another month of negative returns.

Nevertheless the flagship SG CTA Index, that measures a broad range of managed futures strategies, remained positive so far this year at 1.82%.

The SG Short Term Traders Index continued to fare the best, down only slightly in April, but still up 5.11% so far this year.

The SG Trend Indicator outperformed the Trend Index, ending the month up 0.16% in April. Attribution data from the Trend Indicator suggested trend-followers experienced losses in four out of five sectors: Equity indices, Commodities, Bonds, and Interest Rates. Trends in Currencies, however, yielded positive returns, contributing 1.62% to the overall portfolio.

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

“Market conditions continue to be challenging for CTAs after the reversal in February, however, the currency markets provided some pronounced trends that CTAs were able to benefit from.

The Trend Indicator showed that directional moves in the Japanese Yen and Canadian Dollar (vs. the US Dollar) in particular, presented opportunities for trend-followers, and the Currency sector has been the largest performance driver so far this year, contributing 2.68%.”

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

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 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.

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.