CTA Index Performance Announcement: June

London 29th June 2016 - Societe Generale Prime Services’ CTA Indices confirm positive performance for CTA managers in the two full days of trading after the referendum results - Friday 24 June and Monday 27 June.

In the immediate aftermath of the result on Friday, when falling markets were causing concern for many investors, 90% of the programs tracked by the SG CTA Index had posted positive returns by the end of the day, and 80% of Short Term Traders were positive. The strong performance continued into this week, with 75% of SG CTA Index constituents and 70% of Short Term Traders posting positive performance on Monday.

This returns the SG CTA Index to positive territory, up 2.81% YTD. Short Term Trading strategies lead performance YTD, up 6.26%. 

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

“CTA strategies have weathered the first two days of uncertain markets following the EU referendum results very well, benefitting from diversification across asset classes and positioning. Investors in these strategies will be feeling reassured that they have delivered non-correlated returns during this challenging period. In particular, short term strategies have performed well so far this year, and ongoing market movements could see these strategies well positioned to take advantage of market volatility in the coming period.”

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.