Société Géneralé’s Prime Services division has launched the new SG CTA (commodity trading advisor) Mutual Fund Index, a performance benchmark for 1940 Act US-registered mutual funds that pursue managed futures strategies.
It is the fourth daily index to be designed and calculated by the bank. The Prime Services daily indices are a suite of performance benchmarks, based on the largest CTA programmes. They calculate the daily rate of return for an equally weighted group of the largest CTAs (by assets) that are open to new investment and provide daily data.
The new CTA Mutual Fund Index was introduced on 1st January 2016 and includes the ten largest CTA Mutual Funds. The constituents are single manager programmes and include both directly managed and sub-advised mutual funds. The constituents’ programmes are diversified futures and/or currency-based strategies and may include both systematic and discretionary management styles. Index values will be based on the performance of the institutional share classes with dividends reinvested, and three years of performance history will be provided at inception.
“We are excited to announce the addition of the new SG CTA Mutual Fund Index to the suite of our daily indices,” said James Skeggs, global head of alternative investments consulting at Société Géneralé’s Prime Services.
“The 40 Act CTA mutual fund space has grown at an impressive pace, increasing more than five-fold in the last five years to exceed US$22bn in assets under management by the end of 2015. We are delighted to present the new Index as a benchmark for the fast growing liquid alternatives CTA strategies.”
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