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SG Prime Services Releases Its 2021 CTA Indices Constituents

There are two new constituents in Societe Generale's flagship SG CTA Index for 2021, with programs from ROW Asset Management and Quest Partners making the list. The SG Trend Index gets a re-entry for 2021, and two additions are made to the SG Short-Term Traders Index. The SG Multi Alternative Risk Premia Index, a proxy for the widely-followed Risk Premia universe, has one new addition. 

Tom Wrobel, Director of Capital Consulting at Societe Generale Prime Services and Clearing, said: “We are delighted to welcome two new additions to our SG CTA Index in 2021: ROW Asset Management and Quest Partners, whose recent growth has propelled them into the index. Quest Partners are now included in both the SG Short Term Traders Index and the larger CTA Index.

The two new constituents in the SG Short-Term Traders Index are Eckhardt Trading and Paris based ABC Arbitrage, reflecting their recent success raising assets; and Systematica will re-join the SG Trend Index, reflecting the changes in the evolving CTA asset landscape.

We are also delighted to include Fulcrum Asset Management again in the SG Multi Alternative Risk Premia Index, which continues to generate interest from institutional investors.” 

The asset cut-offs for inclusion in all the SG CTA Indices fell slightly for 2021, reflecting the turbulent year many groups have faced. The asset cut-off for the SG CTA Index constituent programs for 2021 was $1.22b, a decrease of nearly $500m since 2020. The SG Trend Index asset cut-off also fell to $1.66b in 2021, a significant decline and reversal of recent years.

The SG Short Term Traders Index cut-off was relatively stable at $230m for 2021, only a small fall from 2020, and the SG Multi-Alternative Risk Premia Index cut-off was $730m again a small reduction. 

The new constituents will be effective as of 1 January 2021.

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