Societe Generale Prime Services today announces the result of its annual review of constituents for its range of CTA indices. There are three changes to the flagship SG CTA Index for 2017; one new constituent and two strategy rotations.
Tom Wrobel, Director of Alternative Investments Consulting at Societe Generale Prime Services, said: “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 programs for 2017 was $1.3b, a $320m increase from 2016.
The SG Trend Index shares the same three new constituents, and the asset cut-off for 2017 was $2.48b.
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 $274m.
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 $121m, an increase relative to the previous year.
The new constituents will be effective as of 1 January 2017.
SG CTA Index (* new for 2017)
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AQR Capital Mgmt. (Managed Futures Offshore) |
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AlphaSimplex Group (Managed Futures) |
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Aspect Capital (Diversified) |
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Campbell & Company (Campbell Managed Futures) |
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Cantab Capital Partners (CCP Quant Fund Aristarchus) |
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Crabel Capital Management (Multi-Product A) |
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FDO Partners (Global Quant Currency) |
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FORT LP (Global Contrarian) |
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First Quadrant LP (Tactical Currency Allocation L/S) |
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Graham Capital Mgmt. (Tactical Trend A)* |
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GSA Capital Partners (GSA Trend Fund)* |
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Informed Portfolio Management (IPM Systematic Macro) |
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ISAM LLP (Systematic Trend) |
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Lynx Asset Management (Lynx Bermuda D) |
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Man Investments (Man AHL Alpha)* |
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Millburn Ridgefield Corp (Diversified Program) |
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QMS Capital Mgmt. (Diversified Global Macro) |
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SEB Asset Mgmt. (SEB Asset Selection) |
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Systematica Investments (BlueTrend) |
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Transtrend BV (DTP Enhanced Risk) |
SG Trend Index (* new for 2017)
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AQR Capital Mgmt. (Managed Futures Offshore) |
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AlphaSimplex Group (Managed Futures) |
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Aspect Capital (Diversified) |
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Campbell & Company (Campbell Managed Futures) |
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Graham Capital Mgmt. (Tactical Trend A)* |
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GSA Capital Partners (GSA Trend Fund)* |
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Lynx Asset Management (Lynx Bermuda D) |
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Man Investments (Man AHL Alpha)* |
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Systematica Investments (BlueTrend) |
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Transtrend BV (DTP Enhanced Risk) |
SG Short-Term Trader Index (* new for 2017)
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Amplitude Capital (Klassik A) |
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Boronia Capital (Diversified) |
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Centurion IM (Short Term Systematic Trading Fund) |
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Crabel Capital Mgmt. (Multi-Product A) |
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Dynamic Capital Mgmt. (Dynamic Offshore Fund) |
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Jefferies Investment Advisers (Managed Futures Fund) |
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Kaiser Trading Group Pty Ltd (Trading Fund 2X SPC) |
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Quest Partners (AlphaQuest – Original Program) |
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R. G. Niederhoffer (Diversified) |
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Revolution Capital Mgmt. (Alpha Program)* |
SG CTA Mutual Fund Index
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AQR Managed Futures Strategy I (AQMIX) |
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Natixis ASG Managed Futures Strategy Y (ASFYX) |
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Equinox Campbell Strategy I (EBSIX) |
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LoCorr Market Trend I (LOTIX) |
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Longboard Managed Futures Strategy I (WAVIX) |
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PIMCO TRENDS Managed Futures Strategy I (PQTIX) |
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Aspen Managed Futures Strategy I (MFBTX) |
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Guggenheim Managed Futures Strategy I (RYIFX) |
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Balter Discretionary Macro Investments I (BGMIX) |
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American Beacon AHL Managed Futures Strategy I (AHLIX) |