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David Regan, Societe Generale

Societe Generale launches new SG Multi Alternative Risk Premia Index


Societe Generale Prime Services has launched a new SG Multi Alternative Risk Premia Index, a performance benchmark for alternative risk premia managers who employ investment programs diversified across multiple asset classes and multiple risk premia factors.

The new Multi Alternative Risk Premia Index is the fifth daily index designed and calculated by Societe Generale. The Prime Services daily indices are an industry leading suite of performance benchmarks, based on the largest, most representative programs in their respective strategies. The indices calculate the daily rate of return for an equally weighted group of managers that are open to new investment and provide daily data.
 
The new Multi Alternative Risk Premia Index became effective as of  1 January 2018 and includes the ten largest qualifying multi alternative risk premia managers. The constituents manage investment programs that are diversified across multiple asset classes and multiple risk premia factors. These managers often trade equity indices, fixed income, currencies, commodities, and single name equities. The managers aim to systematically capture a diversity of discrete risk premia, including value, carry, momentum, and equity style premia.
 
The SG Multi Alternative Risk Premia Index will commence with two years of performance history at inception, calculated by using a walk-forward qualification process identical to the methodology used in the selection of the 2018 constituents.
 
David Regan (pictured), Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “We are very excited to announce the addition of the new SG Multi Alternative Risk Premia Index to the suite of our daily indices. The multi alternative risk premia investment space has grown at an impressive pace over the last six years, with assets increasing more than ten-fold and exceeding $35 billion as of the end of 2017. We are delighted to present a multi-manager benchmark as a resource to investors and managers alike for this fast growing segment of alternative investments. We welcome the 2018 SG Multi Alternative Risk Premia Index constituents and thank them for all of their efforts in successfully launching the Index.”

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