Societe Generale Prime Services has announced the result of the annual review of constituents for its range of CTA indices and for the first time since inception in 2000, there have been no changes to the flagship SG CTA Index and SG Trend Index.
Tom Wrobel (pictured), Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “There were no changes to our SG CTA Index and SG Trend Index in 2018, however, total assets under management continue to grow as these strategies continue to attract attention from institutional investors. The asset cut-offs for inclusion in all our CTA indices have increased, particularly the Trend Index, reflecting the changes in the evolving CTA asset landscape.”
The asset cut-off for the SG CTA Index constituent programs for 2018 was USD1.45 billion, a USD150 million increase from 2017. The SG Trend Index asset cut-off grew significantly to USD3.44 billion, the second consecutive year it has grown by approximately USD1 billion.
There was also a low level of constituent turnover in the SG Short Term Traders Index, with only one new constituent, the re-inclusion of QuantMetrics Capital Management LLP – QM Multi Strategy Fund. The asset cut-off for 2018 was again slightly higher at USD370m, a USD100m increase from 2017.
There were two changes to the SG CTA Mutual Fund Index, which was launched at the beginning of 2016. The two new constituents were: Credit Suisse Managed Futs Strat (CSAIX) and GS Managed Futures Strategy (GMSSX). The asset cut-off for 2018 was USD133m, a small increase relative to the previous year.
The new constituents were effective as of 1 January 2018.
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