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The Newedge CTA indices are an industry leading suite of performance benchmarks, based on the largest CTA programs. The indices 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 constituents will be effective as of the 1st January 2016.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services commented: “We are delighted to have completed our annual constituent review process for our CTA Indices. To reflect changes in the evolving CTA industry landscape, there are seven changes to the constituents of the flagship Newedge CTA Index. One of these is returning to the index, ISAM; another is a rotation of strategy, FDO; whilst the other four, AlphaSimplex, FORT, QMS and Systematica we are delighted to welcome. The asset cut-off for 2016 was $980m.”

“There is also slightly above average turnover in the Newedge Short Term Traders Index, with three new constituents – Dynamic, Jefferies, Quest – and another rotation of strategy, QuantMetrics. The asset cut-off for 2016 was $203m.”