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Societe Generale announces the new SG CTA Mutual Fund Index

Tuesday, January 12, 2016
Opalesque Industry Update - Societe Generale Prime Services today announced the creation of the new SG CTA Mutual Fund Index, a performance benchmark for 1940 Act U.S. registered mutual funds that pursue managed futures strategies.

The new CTA Mutual Fund Index is the fourth daily index designed and calculated by Societe Generale. The Prime Services daily 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 CTA Mutual Fund Index was effective as of the 1st January 2016 and includes the ten largest CTA Mutual Funds. The constituents are single manager programs and include both directly managed and sub-advised mutual funds. The constituents’ programs are diversified futures and/or currency based strategies and may include both systematic and discretionary management styles.

The CTA Mutual Fund 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.

James Skeggs, Global Head of Alternative Investments Consulting at Societe Generale Prime Services commented: “We are excited to announce the addition of the new SG CTA Mutual Fund Index to the suite of our daily indices. 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 $22 billion 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. We welcome the 2016 SG CTA Mutual Fund Index constituents and thank them for their help in the Index launching process.”

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