Societe Generale Prime Services has made three changes to its flagship SG CTA Index for 2017 – one new constituent and two strategy rotations – following its annual CTA indices review.
Tom Wrobel, director of alternative investments consulting at Societe Generale Prime Services, says: “We welcome GSA Capital Partners to both the SG CTA Index and SG Trend Index, whilst Graham Capital Management and MAN Investments have both substituted constituent programs, reflecting changes in the evolving CTA asset landscape. Whilst the turnover in index constituents is low, the industry is growing, and the asset cut-off for inclusion in all index categories has increased.”
The asset cut-off for the SG CTA Index constituent programmes for 2017 was USD1.3 billion, a USD320 million increase from 2016.
The SG Trend Index shares the same three new constituents, and the asset cut-off for 2017 was USD2.48 billion.
There was also a low level of constituent turnover in the SG Short Term Traders Index, with only one new constituent: Revolution Capital Management. The asset cut-off for 2017 was again slightly higher than 2016, at USD274 million.
There will be no changes to the SG CTA Mutual Fund Index, which was launched at the beginning of 2016. The asset cut-off for 2017 was USD121 million, an increase relative to the previous year.
The new constituents will be effective as of 1 January 2017.