Prime Services Indices

The SG CTA Index calculates the net daily rate of return for a pool of CTAs selected from the largest managers open to new investment. It is equal-weighted and reconstituted annually.

Bloomberg: NEIXCTA Index

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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

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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

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The SG Multi Alternative Risk Premia Index represents risk premia managers who employ investment programs diversified across multiple asset classes while utilizing multiple risk premia factors. These managers trade multiple asset classes such as equities, fixed income, currencies, and in many cases commodities, and aim to capture a diversity of discrete risk premia, including most prevalently value, carry, and momentum. These multi-asset, multi-risk premia strategies are typically systematic. Single asset class and risk premia programs are excluded. The SG Multi Alternative Risk Premia Index is an equally weighed, non-investable index of funds.

Bloomberg: NEIXMARP Index

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Methodology Note: Overview of Multi-Asset, Multi-Risk Premia Investment Program Universe: Americas | Asia | EMEA

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

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SG Macro Trading Index (Quantitative)

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SG Macro Trading Index (Discretionary)

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The SG Commodity Trading Index (Trading) is a broad based performance measure for constituents covering Commodity trading orientated strategies, typically involving the trading of physical commodity products and/or of commodity derivative instruments. Commodity funds utilize a variety of investment strategies to profit from price moves in commodity markets, typically either directional or relative value strategies.

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: NEIXCTIT Index

Downloads: Methodology | Historical Returns