CORRELATION SIX SEVEN

CONFIDENTIAL PRESENTATION JULY 2026

TRACK RECORD MILESTONES FOR SG TREND INDEX AND SG TREND INDICATOR The beginning of 2026 marked the 15-year live track record anniversaries for each of the daily SG Trend Index and SG Daily Trend Indicator. Each of these trend-following indices were born out of our team’s 2010 paper Two Benchmarks for Momentum Trading1, which developed their construction methodologies and established their initial bivariate correlation of 0.67. Launching live in 2011, each has provided utility in its own unique way despite evolving divergences in attributes.

The SG Trend Index (“CTAT”) was created to provide a daily performance reference for the largest trend following CTAs open to new investment. The SG Daily Trend Indicator (“DTI”), by contrast, was created as a transparency tool for market practitioners. DTI simulates a prototypical trend-following portfolio with positioning for each market traded. Its public webpage displays DTI’s current and historical positions, trades, and performance attribution (see URL 2).

The two benchmarks were launched live at the beginning of 2011. Returns for the period of 2000 to 2010 were backfilled for each. CTAT backfilled returns using the subset of trend-following constituents pre-existing in the CTA Index, which had live data dating to 2000. CTAT adopted the same inclusion criteria as the CTA Index and therefore the selection process was backwards-compatible. To backfill DTI, returns were simulated using market data from 2000 through 2010, applying the parameters codified in the 2010 paper. As such, DTI’s early results are affected by known look-ahead bias stemming from market selection and trading model speed decisions.

By design, DTI’s construction is simple and steadfast. DTI’s trading model has remained unchanged since its inception while CTAT readjusts its set of constituents annually. Only DTI’s cost and risk models were updated (20123, 20164) to better reflect industry conventions. Even with DTI’s minimalistic approach, it intends to stand as an informative trend-following proxy by maintaining sufficiently high correlation with CTAT. This reflective relationship is referred to in the Two Benchmarks paper as the “spirit” of the indicator. With more than a quarter century of data now available, we reflect on the evolving statistical relationship between the two indices and assess whether that spirit remains intact.

David Regan, CFA FOR INSTITUTIONAL INVESTOR USE ONLY - NOT FOR RETAIL CUSTOMERS. GLOBAL MARKETS CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY - PLEASE SEE IMPORTANT LEGAL NOTICE AT THE END OF THE DOCUMENT. If you are a “U.S. Person” (as defined by the U.S. Commodity Futures Trading Commission), please visit for important information with respect to derivative products. By transacting with Société Générale, you are deemed to acknowledge that you have read and accepted the information contained in the disclosure documents on this website. This material is a product of Sales or Trading in the Global Markets Division of Société Générale (SG). This document is not a product of Société Générale’s research department and should not be regarded as a research report. For Canadian investors: This document is for information purposes only and is intended for use, in Canada, by Permitted Clients (as defined under National Instrument 31-103) and Accredited Investors (as defined under National Instrument 45-106). Furthermore, availability of derivative products in Canada may be limited to persons that are Accredited Counterparties (as defined under the Derivatives Act (Québec)) or, in certain Canadian provinces, "Qualified Parties" (as defined under applicable provincial rules or orders). For APAC investors: For any complaint you may have, please contact us using the following link: claim/apac/

1 Newedge AlternativeEdge Note: “Two Benchmarks for Momentum Trading”, August 2010 2

3 Newedge AlternativeEdge Note: “Improvements in the Newedge Trend Indicator”, December 2011

4 Newedge AlternativeEdge Note: “Re-Evaluating Two Trend Indicator Assumptions”, December 2015

CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY - PLEASE SEE IMPORTANT LEGAL NOTICE AT THE END OF THE DOCUMENT

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