CTA · Core
SG CTA and SG Trend Indexes
The industry tape: SG CTA Index for a broad managed-futures peer set, SG Trend for the large trend-followers — the benchmarks allocators actually quote.
Definition
Equal-weight (with rules) baskets of large CTAs. Trend is a subset that is style-pure-ish. They are peer indexes, not investable without a product that tracks them. Replication ETFs try to match the return, not the exact holdings.
Why it matters
A manager’s ‘alpha’ is often vs these, not vs cash. High correlation to SG Trend means you bought the category cheaply or expensively depending on fees.
Case
A boutique that hugs SG Trend at 0.95 after fees. The LP paid 2-and-20 for an index they could have approximated.
How to read it
ρ and beta to SG Trend, and residual. If residual is noise, negotiate fees or buy a replicator.
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