Societe Generale announces new SG Multi Alternative Risk Premia Index
January 12, 2018

Societe Generale Prime Services has today announced the creation of the new SG Multi Alternative Risk Premia Index, a performance benchmark for alternative risk premia managers who employ investment programmess diversified across multiple asset classes and multiple risk premia factors.

The new Multi Alternative Risk Premia Index is the fifth daily index designed and calculated by Societe Generale. The Prime Services daily indices are an industry leading suite of performance benchmarks, based on the largest, most representative programmess in their respective strategies. The indices calculate the daily rate of return for an equally weighted group of managers that are open to new investment and provide daily data.

The new Multi Alternative Risk Premia Index became effective as of January 1 and includes the ten largest qualifying multi alternative risk premia managers. The constituents manage investment programmes that are diversified across multiple asset classes and multiple risk premia factors. These managers often trade equity indices, fixed income, currencies, commodities, and single name equities. The managers aim to systematically capture a diversity of discrete risk premia, including value, carry, momentum, and equity style premia.

The SG Multi Alternative Risk Premia Index will commence with two years of performance history at inception, calculated by using a walk-forward qualification process identical to the methodology used in the selection of the 2018 constituents.

David Regan, Director of Alternative Investments Consulting at Societe Generale Prime Services, said: "The multi alternative risk premia investment space has grown at an impressive pace over the last six years, with assets increasing more than ten-fold and exceeding US$35 billion as of the end of 2017."

2018 SG Multi Alternative Risk Premia Index Constituents

ARP Alternative Risk Premia 2X Fund

BlackRock BSF Style Advantage Fund Class Z2 USD

CFM Institutional Systematic Diversified Fund Series 1.5x

GAM Systematic Alternative Risk Premia USD Instit

Graham Quant Macro Series B

Kepos Exotic Beta Fund Class A

LFIS Vision Premia Class IS USD

Lombard Odier Funds Alternative Risk Premia USD

Neuberger Berman Multi-Asset Risk Premia Fund USD Class I

Quoniam Funds Selection - Alternative Risk Premia EUR Class I





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Societe Generale Prime Services has today announced the creation of the new SG Multi Alternative Risk Premia Index, a performance benchmark for alternative risk premia managers who employ investment programmess diversified across multiple asset classes and multiple risk premia factors.

The new Multi Alternative Risk Premia Index is the fifth daily index designed and calculated by Societe Generale. The Prime Services daily indices are an industry leading suite of performance benchmarks, based on the largest, most representative programmess in their respective strategies. The indices calculate the daily rate of return for an equally weighted group of managers that are open to new investment and provide daily data.

The new Multi Alternative Risk Premia Index became effective as of January 1 and includes the ten largest qualifying multi alternative risk premia managers. The constituents manage investment programmes that are diversified across multiple asset classes and multiple risk premia factors. These managers often trade equity indices, fixed income, currencies, commodities, and single name equities. The managers aim to systematically capture a diversity of discrete risk premia, including value, carry, momentum, and equity style premia.

The SG Multi Alternative Risk Premia Index will commence with two years of performance history at inception, calculated by using a walk-forward qualification process identical to the methodology used in the selection of the 2018 constituents.

David Regan, Director of Alternative Investments Consulting at Societe Generale Prime Services, said: "The multi alternative risk premia investment space has grown at an impressive pace over the last six years, with assets increasing more than ten-fold and exceeding US$35 billion as of the end of 2017."

2018 SG Multi Alternative Risk Premia Index Constituents

ARP Alternative Risk Premia 2X Fund

BlackRock BSF Style Advantage Fund Class Z2 USD

CFM Institutional Systematic Diversified Fund Series 1.5x

GAM Systematic Alternative Risk Premia USD Instit

Graham Quant Macro Series B

Kepos Exotic Beta Fund Class A

LFIS Vision Premia Class IS USD

Lombard Odier Funds Alternative Risk Premia USD

Neuberger Berman Multi-Asset Risk Premia Fund USD Class I

Quoniam Funds Selection - Alternative Risk Premia EUR Class I



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