Societe Generale Prime Services has announced the constituents for its range of 2019 CTA indices, following an annual review.
There are three additional constituents to the flagship SG CTA Index, one re-entry to the SG Trend Index for 2019, and one re-entry to the SG Short-Term Traders Index for 2019.
Tom Wrobel (pictured), Director of Alternative Investments Consulting at Societe Generale Prime Services, says: “We are delighted to welcome two new additions to our SG CTA Index in 2019: ADG Capital Management and Capital Fund Management (CFM), whose recent growth has propelled them into the index. Further, we are re-including Quantitative Investment Management (QIM) in the SG CTA Index and Short-Term Traders Index, and International Standard Asset Management (ISAM) in the SG Trend Index, reflecting the changes in the evolving CTA asset landscape.”
The asset cut-offs for inclusion in the SG CTA and Trend Indices have increased, as total assets under management in CTAs, or managed futures, strategies continue to attract attention from institutional investors.
The asset cut-off for the SG CTA Index constituent programs for 2019 was USD1.76 billion, a USD850m increase from 2018. The SG Trend Index asset cut-off also grew to USD3.6 billion in 2019, albeit at a slightly slower pace than previous years.
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 Quantitative Investment Management. The asset cut-off for 2019 is broadly level with last year at USD390m.
The new constituents will be effective as of 1 January 2019.
SG CTA Index (* new for 2019)
ADG Capital Mgmt. (Systematic Macro) *
AQR Capital Mgmt. (Managed Futures Offshore)
AlphaSimplex Group (Managed Futures)
Aspect Capital (Diversified)
Campbell & Company (Campbell Managed Futures)
Capital Fund Mgmt. (CFM Systematic Trends) *
FORT LP (Global Contrarian)
First Quadrant LP (Tactical Currency Allocation L/S)
Graham Capital Mgmt. (Tactical Trend A)
GSA Capital Partners (GSA Trend Fund)
Informed Portfolio Management (IPM Systematic Macro)
ISAM LLP (Systematic Trend)
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Alpha)
Millburn Ridgefield Corp (Diversified Program)
QMS Capital Mgmt. (Diversified Global Macro)
Quantitative Investment Management (QIM Global Program)*
SEB Asset Mgmt. (SEB Asset Selection)
Systematica Investments (BlueTrend)
Transtrend BV (DTP Enhanced Risk)
SG Trend Index (* new for 2019)
AQR Capital Mgmt. (Managed Futures Offshore)
AlphaSimplex Group (Managed Futures)
Aspect Capital (Diversified)
Graham Capital Mgmt. (Tactical Trend A)
GSA Capital Partners (GSA Trend Fund)
ISAM LLP (Systematic Trend) *
Lynx Asset Management (Lynx Bermuda D)
Man Investments (Man AHL Alpha)
Systematica Investments (BlueTrend)
Transtrend BV (DTP Enhanced Risk)
SG Short-Term Traders Index (* new for 2019)
Amplitude Capital (Klassik A)
Centurion IM (Short Term Systematic Trading Fund)
Crabel Capital Mgmt. (Multi-Product A)
Jefferies Investment Advisers (Managed Futures Fund)
Kaiser Trading Group Pty Ltd (Trading Fund 2X SPC)
Quantitative Investment Management (QIM Global Program)*
QuantMetrics Capital Management LLP (Multi Strategy Fund)
Quest Partners (AlphaQuest – Original Program)
R. G. Niederhoffer (Diversified)
Revolution Capital Mgmt. (Alpha Program).
