SGAM AI Launches “SGAM ETF T-Rex” On Euronext Paris, The First ETF Worldwide Aiming To Replicate The Performance Of Hedge Funds

SGAM Alternative Investments (SGAM AI) announced today the launch of the first ETF worldwide aiming to replicate the performance and risk profile of the global hedge fund universe, SGAM ETF T-Rex (Total Return Exposure), on NYSE Euronext’s Paris market.

Based on the concept of Alternative Beta^*, SGAM ETF T-Rex aims to replicate synthetically the performance of the Hedge Funds Research Index (HFRI). The portfolio invests in the main asset classes (equities, bonds, currencies) and is managed dynamically using liquid financial instruments such as futures.

The allocation process of the SGAM ETF T-Rex portfolio is based on a quantitative model, created by SGAM AI’s Structured Asset Management team. The model automatically calculates the allocation which optimizes the correlation to the index, composed of over 2000 hedge funds tracked in the HFR database. In order to maintain this high degree of correlation, positions are reviewed every month.

This approach is intended to deliver the performance of a diversified investment in the hedge fund universe. It can be considered as a way to obtain exposure to this asset class or as a liquid and transparent complement to a standard hedge fund allocation.

SGAM ETF T-Rex gives investors access to a financial product with a risk/return profile close to the hedge fund universe, with no minimum subscription, real-time liquidity and total transparency.

The SGAM AI T-Rex strategy was also launched in a mutual fund format in August 2007 and has largely proven the effectiveness of the concept and the strength of the quantitative model. The launch of the strategy in an ETF format offers investors the choice between the subscription/redemption channel of a traditional fund and the flexibility of a real-time stock market negotiation via the ETF.

^*Alternative Beta: replication of estimated hedge fund allocations in traditional asset classes. Academic studies show that hedge fund investments can on the whole be broken down into long/buy positions and short/sell positions in traditional asset classes. Applying this approach, it is possible to build a portfolio of dynamic strategies designed to replicate the overall allocations in the hedge funds industry, and thus attempt to replicate performances by taking up equivalent positions in these asset classes.

The allocations per asset class of the SGAM ETF T-Rex portfolio are revised on a monthly basis and published on www.sgametf.com.