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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

The information, opinions, estimates and forecasts contained in this document have been arrived at or obtained from sources believed to be reliable and in good faith which has not been independently verified
and no warranty, express or implied, is made as to their accuracy, completeness or correctness. This document is not an offer to sell or a solicitation to acquire or dispose of an interest in investment
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otherwise be interested in, transactions in or any investment instruments directly or indirectly the subject of this report.

SG TREND INDEX
PRIME SERVICES

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

Europe & ME:


Americas:

James Skeggs, Tom Wrobel, Alex Hill


Alex Skorniakov, Lianyan Liu, David Regan
PRM.Indices@sgcib.com

Prime Services | Capital Introductions


Societe Generale
T(EU): +44 (0)20 7676 8504
T(US): +1 312 762 1125
T(HK): +852 2848 3368

Europe & ME:


Americas:
Asia:

Duncan Crawford, Tara Browne, Oliver Druce, Saleha Osmani,


Daniella Ridler
Daniel Rizzuto, Mike Boss, Matt McCarthy, Rick Ryan, Edward
Tan, Kristin Scherer
Rebekah Pang, Kenji Yamauchi
PRM.CapIntro@sgcib.com

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