SG TREND INDEX

PRIME SERVICES
Prime Services | Alternative Investments Consulting
Societe Generale
T: +44 (0)20 7676 8225

Europe & ME:
James Skeggs, Tom Wrobel, Alex Hill
Americas:
Alex Skorniakov, David Regan, Lianyan Liu
PRM.Indices@sgcib.com

The SG Trend Index (f.k.a. SG Trend-Sub Index) is designed to track the 10 largest (by AUM) trend following CTAs and be representative
of the trendfollowers in the managed futures space. Managers must meet the following criteria:
- Must be open to new investment
- Must report returns on a daily basis
- Must be an industry recognized trend follower as determined at the discretion of the SG IndexCommittee
- Must exhibit significant correlation to trend following peers and the SG Trend Indicator
The SG Trend Index is equally weighted, and rebalanced and reconstituted annually.

Monthly Return for: Aug 2016

RETURNS ARE COMPRISED OF DAILY MANAGER ESTIMATES

Bloomberg

SG Trend Index

Since Inception

NEIXCTAT

-3.39%

172.62%

Performance Table Since Inception: SG Trend Index
Year

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

2016

3.76%

2.41%

(2.92%)

(3.67%)

(2.69%)

5.36%

1.72%

(3.39%)

Sep

Oct

Nov

Dec

Year

2015

5.12%

(0.21%)

2.60%

(3.91%)

(0.89%)

(4.86%)

4.01%

(2.13%)

2.29%

(2.60%)

3.41%

(2.17%)

0.04%

2014

(4.51%)

0.64%

(2.08%)

1.08%

2.96%

1.39%

(1.07%)

5.51%

3.33%

1.77%

7.29%

2.35%

19.70%

2013

2.68%

(0.90%)

1.89%

3.86%

(3.66%)

(2.87%)

(0.79%)

(2.53%)

(0.59%)

2.55%

2.70%

0.65%

2.67%

2012

1.06%

1.54%

(2.25%)

0.72%

2.95%

(4.74%)

5.18%

(2.00%)

(2.07%)

(4.86%)

0.11%

1.27%

(3.52%)

2011

(1.15%)

1.86%

(4.08%)

4.74%

(5.01%)

(3.34%)

4.76%

(1.18%)

(1.08%)

(4.66%)

(0.13%)

1.66%

(7.93%)

2010

(3.83%)

1.97%

4.90%

2.03%

(4.50%)

(0.54%)

(1.62%)

5.45%

2.64%

4.95%

(3.88%)

5.67%

13.13%

2009

(0.31%)

0.54%

(2.97%)

(2.46%)

0.49%

(3.12%)

0.19%

1.57%

2.40%

(2.94%)

5.17%

(3.09%)

(4.80%)

2008

2.61%

7.17%

(1.38%)

(1.72%)

2.59%

5.39%

(5.05%)

(2.90%)

0.98%

7.31%

2.82%

2.11%

20.88%

2007

1.71%

(4.01%)

(2.32%)

5.16%

5.84%

2.31%

(4.85%)

(6.95%)

6.13%

6.04%

(0.96%)

1.32%

8.58%

2006

1.61%

(1.87%)

3.60%

4.14%

(2.13%)

(1.81%)

(2.79%)

0.88%

(0.25%)

1.70%

2.42%

2.75%

8.24%

2005

(6.09%)

0.86%

0.42%

(3.82%)

2.94%

3.62%

0.28%

1.66%

(0.00%)

(0.45%)

4.24%

(2.39%)

0.75%

2004

1.39%

6.88%

(1.96%)

(7.67%)

(2.46%)

(4.60%)

(1.88%)

(0.22%)

2.16%

5.11%

6.34%

0.62%

2.68%
11.91%

0.13%

2003

7.64%

7.41%

(9.12%)

0.76%

7.35%

(5.36%)

(1.54%)

2.86%

(4.37%)

3.26%

(0.14%)

4.18%

2002

(0.71%)

(3.92%)

0.32%

(2.49%)

5.04%

13.10%

7.34%

3.86%

5.84%

(6.78%)

(5.41%)

9.35%

26.12%

2001

1.00%

1.09%

8.33%

(8.37%)

1.03%

(2.35%)

(2.90%)

2.85%

4.04%

7.21%

(13.60%)

3.85%

(0.06%)

2000

1.97%

(2.40%)

(3.03%)

(3.40%)

(1.15%)

(2.98%)

(2.38%)

3.18%

(6.78%)

3.23%

12.62%

14.41%

11.67%

Performance Chart Since Inception: SG Trend Index
$350
$300

Title

$250
$200
$150
$100
$50
$0
Jun-16

Dec-15

Jun-15

Dec-14

Jun-14

Dec-13

Jun-13

Dec-12

S&P 500 Total Return

Jun-12

Dec-11

Jun-11

Dec-10

Jun-10

Dec-09

Jun-09

Dec-08

Jun-08

SG CTA Index

Dec-07

Jun-07

Dec-06

Jun-06

Dec-05

Jun-05

Dec-04

Jun-04

Dec-03

Jun-03

Dec-02

Jun-02

Dec-01

Jun-01

Dec-00

Jun-00

Dec-99

SG Trend Index

J.P. Morgan World Gov't Bond Index

Frequency Distribution of Returns
15
10
5
> 20%

18.5 to 19

17 to 17.5

15.5 to 16

14 to 14.5

12.5 to 13

9.5 to 10

8 to 8.5

6.5 to 7

5 to 5.5

11 to 11.5

Return range (%)

3.5 to 4

2 to 2.5

0.5 to 1

-1 to -0.5

-2.5 to -2

-4 to -3.5

-5.5 to -5

-7 to -6.5

-8.5 to -8

-10 to -9.5

-11.5 to -11

-13 to -12.5

-14.5 to -14

-16 to -15.5

-17.5 to -17

-19 to -18.5

0
< -20%

Montly Period

20

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