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SG Prime Services Indices

The Alternative Investments Consulting team is an innovator in providing investors with benchmarking tools that accurately represent key hedge fund strategy styles. The SG Prime Services family of indices represents a range of non-investable products that are highly relevant for demonstrating potential for diversification of returns.

Please contact the Alternative Investments Consulting team for more information about any of the SG Prime Services Indices or to inquire about requirements for inclusion of a fund into one of the indices.

SG Prime Services Indices

Daily Indices

Index
Date
Return
MTD
YTD
Details
SG CTA Index
Apr 23, 2015 -0.31% -0.69% 5.00% View

The SG CTA Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures performance benchmark. The index calculates the net daily rate of return for a pool of CTAs selected from the largest managers open to new investment.

Bloomberg: NEIXCTA Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns

SG CTA Mutual Fund Index
Apr 23, 2015 -0.28% -0.18% 7.33% View

The SG CTA Mutual Fund Index calculates the net daily rate of return for a group of the largest 10 CTA Mutual Funds. The SG CTA Mutual Fund Index is a key managed futures performance benchmark, selecting from the largest CTA Mutual Funds open to new investment. The index is equally weighted and rebalanced & reconstituted annually.

Bloomberg: NEIXCTAM Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns

SG Trend Index
Apr 23, 2015 -0.28% -0.18% 7.33% View

The SG Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers.

Bloomberg: NEIXCTAT Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns

SG Trend Indicator
Apr 23, 2015 -0.67% -2.29% 6.69% View

The SG Trend Indicator is a market based performance indicator designed to have a high correlation to the returns of trend following strategies.

Bloomberg: NEIXTRND Index

Performance Report: Performance Analysis Dashboard

Downloads: Methodology Summary | Historical Returns
Methodology Notes: Two Benchmarks for Momentum Trading: Global
Improvements to the Trend Indicator: Global
Re-evaluating Two Trend Indicator Assumptions: Americas | Asia | EMEA

SG Short Term Traders Index
Apr 23, 2015 0.03% -0.81% 1.87% View

The SG Short-Term Traders Index is designed to track the daily performance of a portfolio of CTAs and Global Macro managers executing diversified trading strategies with a less than 10-day average holding period.

Bloomberg: NEIXSTTI

Downloads: Methodology | Constituents | Monthly Report | Historical Returns

Monthly Indices

Index
Date
Return
YTD
Details
 
SG Macro Trading Index
Mar 2015 1.05% 4.19% View  
SG Macro Trading Index (Quantitative)
  1.18% 5.80%    
SG Macro Trading Index (Discretionary)
  0.95% 3.21%    

The SG Macro Trading Index is a broad based performance measure for constituents that trade Global Macro strategies. These managers may typically employ top-down fundamental research to forecast the effect of global macroeconomic and political events on the valuation of financial instruments and are frequently focused on a diversified basket of instruments.

In order to be eligible for inclusion as a constituent program, individual programs must predominately trade a relevant Global Macro strategy, provide monthly performance data, and have AUM greater than USD 30 million.

Bloomberg: NEIXMTI Index

Downloads: Methodology | Monthly Report | Historical Returns

SG Macro Trading Index (Quantitative)
A sub-index of the SG Macro Trading Index covering the quantitative and GTAA strategies.

Downloads: Historical

SG Macro Trading Index (Discretionary)
A sub-index of the SG Macro Trading Index covering the discretionary strategies.

Downloads: Historical

SG Commodity Trading Index
Mar 2015 -0.49% -0.32 View  
SG Commodity Trading Index (Trading)
  -0.37% -0.50%    
SG Commodity Trading Index (Equity)
  -0.98% 0.74%    

The SG Commodity Trading Index is a broad based performance measure for constituents that trade commodity-related strategies. Commodity funds utilize a variety of investment strategies to profit from price moves in commodity markets. In order to be eligible for inclusion as a constituent program, individual programs must predominately trade a relevant Commodity strategy, provide monthly performance data, and have AUM greater than USD 30 million.

Bloomberg: NEIXCTI Index

Downloads: Methodology | Monthly Report | Historical Returns

SG Commodity Trading Index (Trading)

A sub-index of the SG Commodity Trading Index covering trading orientated strategies, typically involving the trading of physical commodity products and/or of commodity derivative instruments in either directional or relative value strategies.

Downloads: Historical

SG Commodity Trading Index (Equity)

A sub-index of the SG Commodity Trading Index covering long/short equity strategies focused on commodity related stocks.

Downloads: Historical

SG Volatility Trading Index
Mar 2015 0.43% 1.25% View  

The SG Volatility Trading Index was the first ever performance measure for volatility trading within the Alternative Investment industry. Designed to increase awareness of volatility trading as a hedge fund strategy, and as a benchmark index for the strategy, the SG Volatility Trading Index is an equally weighed, non-investable index of funds that trades volatility as an asset class.

Bloomberg: NEIXVTI Index

Downloads: Methodology | Constituents | Monthly Report | Historical Returns