Riskalyze identifies investments as “managed futures” when they have a 0.70 (or greater) correlation to the SG Trend Index over (at least) the past 24 months. In cases where a full data set (at least June 2004-present) does not exist, Riskalyze will use the SG Trend Index data to derive the missing data.

### Methodology

We chose the SG Trend Index as the benchmark for a number of reasons:

- The SG Trend Index has ample history
- Many managed future asset managers use the SG Trend Index as their benchmark
- The standard deviation statistics of SG Trend Index closely aligned with that of the *SG CTA Mutual Fund index and a myriad of tests we ran

Additionally, we also incorporate our extrapolation methodology whereby we compare the volatility of returns between the managed futures investment and the SG Trend Index for as long as the managed futures investment has existed.

If the volatility of returns for the investment does not exceed the volatility of returns of the SG Trend index there will be no adjustments needed. However, In cases when the volatility of returns for the investment exceeds the volatility of returns of the SG Trend Index our system will extrapolate the volatility statistic for the managed futures investment unit for unit.

For example, since its 2012 inception Managed Futures Fund X has a 0.80 correlation to the SG Trend Index. With this qualifying level of correlation, we can use the SG Trend Index data from June 2004 up to Managed Futures Fund X's inception in 2012 at which time Managed Futures Fund X's performance will stand on its own.

Riskalyze then incorporates the extrapolation methodology comparing the volatility of returns between Managed Futures Fund X and the SG Trend Index during the epoch of which they both existed. The volatility of returns for Managed Futures Fund X exceeds the volatility of returns for the SG Trend Index by 6%, so Riskalyze adds 6% to the calculated standard deviation of Managed Futures Fund X.

* *SG CTA Mutual Fund Index doesn't have a full data set (inception was in 2013) or we may have considered it in place of the SG Trend Index.*