Chapter 1Overview of the Index

1.1Introduction

The Inception Systematic Trend Index Enhanced (the "Index") is a daily, market-based index that captures the principal driver of Commodity Trading Advisor (CTA) and managed-futures behaviour using a single, continuous trend factor applied systematically across a broad universe of 138 global futures and currency contracts.

The Index is designed, calculated and published by Inception Technology SAS (the "Index Administrator"). It is intended to serve two complementary purposes: first, to provide a transparent, rules-based proxy of the managed-futures industry's aggregate return; second, to decompose the positioning variation observed in regulatory disclosures of speculative market participants. By compressing the full Systematic Trend investment process into a single continuous signal—bounded between −1 (maximum short exposure) and +1 (maximum long exposure)—the Index provides market participants with a common, actionable language to describe trend-following flow, capacity and directional risk across asset classes.

This Methodology (the "Methodology") sets out the rules and risk factors applicable to the Index. It is publicly available at lab.inception.technology and is updated periodically. Any material change to the rules described herein is announced in advance in accordance with Section 6.7 and is reflected in the change log in Appendix F.

1.2Index Objective

The Index is designed to simultaneously achieve two quantitative objectives with respect to the managed-futures industry:

1.2.1Return correlation objective

The Index targets a statistically significant rolling correlation between its daily total return and the daily total return of the Société Générale CTA Index (the "Performance Benchmark"), the most widely-referenced benchmark of the managed-futures industry composed of the ten largest trend-following programs open to investment. Specifically, the design aim is to preserve a rolling 3-month coefficient of determination (R²) of the Index return against the Performance Benchmark return of at least 0.60, net of all modelled costs and fees, on a through-the-cycle basis.

1.2.2Positioning correlation objective

At the individual-asset level, the Index targets a statistically significant rolling correlation between its implied net position and the net position reported by the CFTC Commitments of Traders (COT) "Managed Money" category (for commodity futures) or "Leveraged Funds" category (for financial futures), as applicable. The design aim is to preserve a rolling 26-week median correlation of weekly position flows of at least 0.50 across the universe of markets for which COT disaggregated data is published by the U.S. Commodity Futures Trading Commission.

1.3Construction Principles

The value of the Index is computed on the basis of hypothetical, theoretical investments in a basket of futures and currency contracts. The design of the Index embodies five principles, which are applied in each step of the methodology described in Chapter 2:

(a) Holistic coverage

The Index draws its signal from 138 liquid futures and currency contracts spanning four asset classes—Commodities, Equity Indices, Currencies and Fixed Income—so that no single market, group of markets or asset class can dominate the overall signal. This broad coverage is consistent with the investable universe of representative large-scale CTAs and ensures that the Index captures sources of trend-following return that are genuinely diversified.

(b) Parsimony

The Index rests on a single continuous trend estimator rather than a basket of partially correlated signals. This parsimony is a deliberate design choice: a well-specified single factor can capture the majority of the common variation in CTA positioning and returns while avoiding the over-fitting and interpretation ambiguity that plague multi-signal ensembles.

(c) Orthogonality

The trend signal is designed to be orthogonal to other common systematic equity and bond factors (value, carry, low-volatility) as well as to the broad market return. The Index therefore provides incremental information content relative to existing factor and beta benchmarks.

(d) Actionability

All rules described herein are calibrated such that the Index is replicable by a market participant with institutional-grade execution capability. Position sizing is constrained by published liquidity measures (open interest, average daily volume and two-year COT Managed Money variation; see Section 2.5), and daily rebalancing is implemented through a cascading buffer that smooths execution across multiple trading sessions (Section 2.6).

(e) Transparency & calibration disclosure

This Methodology describes every rule, data source and structural parameter employed by the Index Administrator. Position limits, sector budgets, fee assumptions and all other commercial terms are fully disclosed in Appendix C. The numerical values of the model-internal calibrated parameters — trend and volatility EWMA spans, scaling factors, execution speed and the per-asset volatility target — are treated as proprietary research output of the Index Administrator and are not disclosed in this version of the Methodology. They are made available, together with the worked computational examples of Appendix B, to qualified institutional counterparties on signature of a non-disclosure agreement. Reproduction of the Index level by a counterparty therefore requires either (i) execution of an NDA with the Index Administrator or (ii) calibration of the relevant parameters by the counterparty itself within the disclosed model structure.

1.4Benchmark Governance

1.4.1Index Administrator

Inception Technology SAS, a French société par actions simplifiée with registered office at 12 avenue Alphand, 75116 Paris, France, is the sole administrator of the Index. In its capacity as Index Administrator, it is responsible for:

• the determination, publication and ongoing maintenance of the Index;
• the sourcing and validation of input data from its data providers;
• the application of all rules set out in this Methodology;
• the exercise of expert judgment (see Section 6.4) where rules are silent or where input data is disrupted or unavailable;
• the review and approval of material changes to the Methodology.

1.4.2Index Committee

The Index Administrator maintains an internal Index Committee (the "Committee") composed of representatives of the Research, Product and Compliance functions. The Committee convenes at least annually, and on an ad-hoc basis when circumstances require, to review:

• the annual reset of the theoretical assets-under-management baseline (see Section 2.5);
• the eligibility of each market in the Universe and any proposed additions, deletions or contract substitutions;
• the calibration of all model parameters and position-limit constraints;
• material errors, restatements and disruption events (see Section 6.5);
• any proposed amendment to this Methodology.

Decisions of the Committee are recorded in a decision log, which is retained by the Index Administrator for a minimum period of five years and is made available upon written request to authorised regulators.

1.4.3Conflicts of interest

Inception Technology is an independent index administrator and does not manage investment products referencing the Index on a discretionary basis. Where a product referencing the Index is contemplated or launched, the Index Administrator implements information barriers between its index-administration activities and any commercial activity that could benefit from advance knowledge of Index-level changes. Members of the Index Committee are required to disclose any personal or third-party financial interest in products referencing the Index.

1.5Limitations and Risks

Although the Index is designed to be representative of the markets it measures and to align with its stated objectives, it may not be representative in every case or achieve its stated objectives in all instances. The Index is designed and calculated strictly to follow the rules of this Methodology, and any Index level or other output is limited in its usefulness to such design and calculation. The following paragraphs are illustrative and non-exhaustive.

1.5.1Trend-following risk and regime sensitivity

Trend-following strategies generate positive expected return through the persistence of directional price moves. When prices mean-revert rapidly or oscillate within a range (a "whipsaw" regime), the Index can experience protracted drawdowns as the trend estimator reverses direction after being fully engaged. The Index does not contain a regime-switching mechanism and is therefore exposed to such regime sensitivity by design.

1.5.2Volatility targeting and leverage

The Index operates with an ex-ante volatility target of 20% annualised per individual asset. This target is achieved through implicit leverage: the gross notional exposure of the Index may exceed its theoretical assets under management by a multiple that varies with realised volatility across the Universe. A sudden expansion of realised volatility (a "vol shock") may lead to rapid deleveraging and to transaction costs materially above those modelled in Section 3.4.

1.5.3Liquidity and capacity risk

Position sizing is capped at an asset-by-asset level by published liquidity measures. When a cap is binding, excess exposure is reallocated to the most strongly correlated markets with remaining capacity. This reallocation introduces controlled deviations from pure equal-risk contribution within sectors and may reduce the correlation between the Index return and the Performance Benchmark return in periods of industry-wide capacity pressure.

1.5.4Data sourcing and calculation risks

The Index relies on input data sourced from third-party providers including settlement prices from relevant futures exchanges, spot foreign-exchange rates from Bloomberg, CFTC COT reports and the Barclay CTA Managed-Futures Assets series (see Chapter 5). Errors, delays, revisions or cessation of supply of such input data may affect the Index level. The Index Administrator applies the error and restatement policy described in Section 6.5. Notwithstanding the reasonable efforts of the Index Administrator, not every data discrepancy will be detected or corrected.

1.5.5Back-tested vs. live performance

Index values prior to the Launch Date disclosed on the cover of this Methodology are back-tested. Back-test assumptions are described in Chapter 7. Back-tested performance is inherently hypothetical and does not reflect actual trading. Past performance—whether back-tested or live—is not indicative of future results.

1.5.6Market disruption

Futures and currency markets occasionally experience disruptions including limit-price events, exchange closures, trading halts, failures to publish settlement prices and force-majeure events. The Index Administrator addresses such events through the procedures set out in Section 3.6 and Section 6.1. Despite these procedures, disruption events may adversely affect the Index level or the manner in which it is calculated.

1.5.7Administrator discretion

The provisions and procedures set out in this Methodology grant the Index Administrator a degree of discretion in a number of respects, including the application of expert judgment where rules are silent, the determination of whether a Market Disruption Event or Index Adjustment Event has occurred and the selection of substitute input data. The Index Administrator exercises such discretion as it determines to be most appropriate in order to preserve the stated objective of the Index.

Chapter 2Index Construction

2.1Construction Overview

The calculation of the Index follows a deterministic pipeline that transforms daily settlement prices into a daily index level. The pipeline can be summarised in six stages, each described in detail in the subsequent sections of this Chapter.

1. Universe selection — 138 eligible futures and currency contracts are grouped into four asset-class sectors (§2.2).
2. Single trend estimator — each market's settlement-price series is transformed into a continuous trend score bounded in $(-1, +1)$ through exponentially-weighted filtering (§2.3).
3. Volatility estimator — each market's realised volatility is estimated via an exponentially-weighted standard deviation of log-returns and scaled to the daily volatility target (§2.4).
4. Annual portfolio construction — a theoretical assets-under-management baseline is reset once per calendar year, allocated across four sectors at equal risk and further allocated across markets within each sector subject to liquidity and positioning caps (§2.5).
5. Daily rebalancing — positions are adjusted each trading day to track the target notional implied by the trend signal, using a cascading execution buffer to smooth market impact (§2.6).
6. Futures roll — each futures position is rolled to the next contract according to a rule based on open interest and last trading date (§2.7).

2.2Market Universe

2.2.1Eligibility criteria

A futures contract or currency forward is eligible for inclusion in the Universe if, on the annual Index Review Date:

1. a continuous settlement-price series of at least ten calendar years is available from a reputable market-data provider;
2. the average daily dollar-volume over the twelve months preceding the Index Review Date exceeds USD 50 million;
3. the contract is listed on an established exchange or, in the case of currency forwards, is quoted by at least three independent dealers on a continuous basis;
4. the contract settles in a currency which is, on the Index Review Date, freely convertible to USD at prevailing market rates;
5. the contract is not subject to permanent or imminent delisting, and its inclusion does not introduce a material duplication with a contract already in the Universe (as judged by the Index Committee).

2.2.2Sector classification

Each eligible market is assigned to exactly one of four asset-class sectors. The sector composition as at the most recent Index Review Date is as follows:

The complete list of contracts, including exchange, contract size, price multiplier and settlement currency, is provided in Appendix A. Any proposed addition, deletion or sector reclassification is reviewed at the annual Index Review and announced in advance through the procedures described in Section 6.6.

2.3Single Trend Estimator

The core of the Index is a single, continuous trend estimator that produces, for each market and each Index Business Day, a scalar signal bounded in the interval $(-1, +1)$. The signal is constructed through a five-step transformation of the settlement-price series.

2.3.1Log-returns

Let $P^{(m)}_t$ denote the continuous-contract settlement price of market $m$ on Index Business Day $t$. The daily log-return is defined as:

The continuous-contract series is constructed from the nearest-to-delivery listed contract, adjusted for rolls according to Section 2.7. Returns are computed on the settlement price, in the contract's listing currency. Currency translation to USD is applied at the portfolio-level aggregation stage, not at the signal level.

2.3.2Exponentially-weighted volatility

The realised volatility of market $m$ on day $t$ is estimated through an exponentially-weighted moving standard deviation of the log-return series:

where $\mathrm{EWMStd}$ denotes the exponentially-weighted moving standard deviation as implemented by the pandas convention (with bias correction), and the calibrated parameters are:

Volatility span

τ_σ = [under NDA]

Half-life

[under NDA]

Scaling factor

γ = [under NDA]

Min. history

[under NDA]

The scaling factor $\gamma$ applies a small upward correction calibrated to account for the systematic underestimation of tail volatility by finite-sample exponentially-weighted estimators. The minimum-history requirement means that $\sigma^{(m)}_t$ is treated as not-a-number for the first observations of insufficient history in a new market's series, and that market is excluded from portfolio construction until sufficient history is available.

2.3.3Risk-adjusted returns

Log-returns are normalised by the prior-day volatility estimate to produce a unit-variance risk-adjusted return series:

The use of prior-day volatility is deliberate: it prevents look-ahead bias in the signal and mimics the information set available to a market participant implementing the Index in real time.

2.3.4Trend score

The risk-adjusted return series is smoothed by an exponentially-weighted moving average (the "trend filter") and scaled by the square root of the trend span:

The calibrated parameters of the trend filter are:

Trend span

τ = [under NDA]

Half-life

[under NDA]

Scaling

√τ [under NDA]

The $\sqrt{\tau}$ scaling produces an approximately unit-variance trend score $s^{(m)}_t$ under a null hypothesis of zero persistent drift, which enables meaningful cross-market aggregation without further per-market calibration. A derivation and heuristic interpretation of this scaling is given in Appendix B.1.

2.3.5Bounded signal

The trend score is mapped through a hyperbolic tangent to produce a bounded continuous signal:

The $\tanh$ mapping has three desirable properties for the Index: it is symmetric about zero (the long/short sign of the signal is preserved), it is monotonic (stronger trends produce stronger positions), and it is saturating (positions are bounded, preventing unbounded leverage in extreme-trend regimes). The signal values $-1$ and $+1$ correspond to a "strong short" and "strong long" state respectively; a value of zero corresponds to the absence of directional conviction.

2.4Volatility Estimator and Target

The volatility estimator introduced in §2.3.2 serves two distinct purposes in the Index: (i) it normalises log-returns in the trend filter, and (ii) it governs per-asset position sizing such that each individual market contributes a target level of ex-ante risk to the portfolio.

The per-asset daily volatility target is:

Vol target

σ_target = 20% p.a.

Daily equiv.

≈ 1.26% / √252

The scaling factor applied to the bounded signal $\tilde{s}^{(m)}_t$ when translating it into a position size is proportional to $\sigma_{\text{target}}/\sigma^{(m)}_t$, so that a signal of magnitude one produces an individual position whose ex-ante daily P&L has a standard deviation equal to the target (subject to the position-limit constraints described in §2.5).

2.5Portfolio Construction — Annual Procedure

The parameters governing the Index's gross capital baseline, sectoral allocation and per-market capacity are reset once per calendar year on the Index Review Date (the last business day of January). The following four sub-sections describe the annual procedure.

2.5.1Theoretical AUM baseline

The Index operates on a notional capital baseline equal to the theoretical assets under management of the managed-futures industry as reported by the BarclayHedge CTA Managed Futures quarterly time series, taking the fourth-quarter reading of the preceding calendar year:

This anchoring to an industry-wide AUM series ensures that the position-limit constraints defined in §2.5.4 bite in a manner that is economically meaningful: when the industry is large, per-market caps relax; when the industry contracts, caps tighten. The baseline applies for the entire calendar year $y$ and is not re-estimated intra-year.

2.5.2Sector risk budget

The Index allocates an equal share of total ex-ante portfolio volatility to each of the four asset-class sectors:

The 25% sector budget is enforced through notional allocation, not through realised-volatility balancing. Within-sector reallocation preserves the sector budget at all times (see §2.5.3).

2.5.3Equal-risk contribution within sector

Within each sector, the target allocation to each market is computed such that, at the time of the annual reset, all markets in the sector contribute the same expected volatility to the Index. Given a sector $s$ with $n_s$ eligible markets, each market's target gross notional $N^{(m),\,\star}_y$ satisfies:

where $\bar{\sigma}^{(m)}_y$ denotes the average realised volatility of market $m$ over the twelve months preceding the Index Review Date. The proportionality is resolved by constraining the sum of gross notional within the sector to equal $w^{\mathrm{sector}}_s \cdot \mathrm{AUM}_y$.

2.5.4Position limits

The per-market gross notional computed in §2.5.3 is then capped by the following three liquidity constraints, taken as the smallest of the three:

Currency forwards are not subject to the open-interest cap but remain subject to the volume cap, adapted to over-the-counter turnover as reported by the BIS Triennial Survey. When a market's unconstrained ERC target exceeds one of the caps, the excess gross notional is reallocated to the markets, within the same sector, with which the capped market exhibits the highest rolling 52-week return correlation and which have remaining unused capacity.

2.6Daily Rebalancing

2.6.1Signal-to-position mapping

On each Index Business Day $t$, the target gross notional position in market $m$ is given by:

where $b^{(m)}_t$ is the buffered signal described in §2.6.2 below, $N^{(m),\,\star}_y$ is the per-market annual target of equation (2.8) (subject to the caps of Table 2.2), and $\lambda$ is a global scaling parameter defined as:

The calibration $\lambda = 0.01/\sqrt{\tau}$ is a normalising convention ensuring that, when the buffered signal is at unit magnitude and realised volatility matches its target, the per-asset position contributes approximately 1% of annualised portfolio standard deviation before aggregation.

2.6.2Cascading execution buffer

Rather than executing the full signal-implied change in position on a single trading day, the Index applies a first-order infinite-impulse-response filter to the bounded signal $\tilde{s}^{(m)}_t$ in order to smooth execution across multiple days:

with the initial condition $b^{(m)}_{-1} = 0$. The execution speed $\alpha$ controls the share of the signal-to-position gap that is closed on each trading day and therefore the half-life of the execution buffer. The first-order filter is computed using a standard digital-filter algorithm equivalent to scipy.signal.lfilter with coefficients $b = [\alpha]$ and $a = [1, -(1-\alpha)]$.

Execution speed α

[under NDA]

Half-life

[under NDA]

90%-complete

[under NDA]

2.6.3Execution and pricing convention

The signal is updated at the daily settlement price published by the relevant exchange for each market. Where a market settles before the close of another market, the signal is nonetheless synchronised to the cut-off time of the last settlement price received on day $t$. Orders implied by the buffered-signal change are assumed to be filled, for Index-calculation purposes, at the subsequent-day settlement price; transaction-cost assumptions are described in Section 3.4.

2.7Futures Roll Rule

Because the Index holds futures positions, each individual futures position must periodically be "rolled" from the nearest-to-delivery contract to a deferred contract to avoid physical delivery and to maintain a continuous directional exposure. The Index applies a uniform roll rule across all futures markets:

1. Primary trigger — open-interest cross-over. On each Index Business Day $t$, the open interest of the front-month contract $\mathrm{OI}^{\mathrm{front}}_t$ is compared to the open interest of the next deferred contract $\mathrm{OI}^{\mathrm{def}}_t$. The roll is triggered on day $t+1$ (the trading day following the cross-over) if:
   $$\mathrm{OI}^{\mathrm{def}}_t \;>\; \mathrm{OI}^{\mathrm{front}}_t$$ (2.12)
2. Secondary trigger — last-trade-date deadline. If the primary trigger has not been activated by the fifth business day preceding the front-month's last trade date (as published by the exchange or, where unavailable, the first notice date), the roll is forced on that day.
3. Execution of the roll. The roll is executed at the settlement price of both the front-month and deferred contracts on the roll day; the Index level is computed so as to be continuous across the roll (no roll-day level discontinuity).
4. Disruption handling. If the roll day coincides with a Market Disruption Event affecting either leg of the roll, the roll is postponed to the next Index Business Day on which no disruption is continuing. Cross-leg disruption is handled in accordance with Section 3.6.

Chapter 3Calculation of the Index

3.1Gross and Net Return Series

The Index is published in two return variants: a Gross Return series and a Net Return series. Both are computed from the same underlying position time series described in Chapter 2 but differ in their treatment of modelled fees.

For each Index Business Day $t$, the Gross Return is:

The Net Return is obtained by applying the fee structure of §3.2 on a daily-accrual basis.

3.2Fee Structure

The Net Return series reflects the application of a standard CTA-fund fee structure designed to approximate the average fee load faced by end-investors in managed-futures programs:

The performance fee accrues only on incremental return above the prior high-water mark ("HWM"). When the NAV is below the HWM, no performance fee is accrued; the HWM itself is not reduced. On each calendar quarter-end (31 March, 30 June, 30 September, 31 December) any accrued and unpaid performance fee is crystallised, reducing the NAV and resetting the HWM at that crystallised level. Between crystallisations, accrued but unpaid fees are reflected in the Net Return through a continuous daily deduction.

3.3Cash Management

The portion of $\mathrm{AUM}_t$ not deployed as futures margin or as currency forward notional is assumed to be invested in 3-month U.S. Treasury Bills and is credited with the corresponding yield on a daily-accrual basis:

where $\mathrm{TBill}^{3M}_{t-1}$ is the most recent weekly auction high-rate for the 13-week U.S. Treasury Bill (Bloomberg ticker USB3MTA Index; source: TreasuryDirect) and $\Delta t$ is the number of calendar days between Index Business Days $t-1$ and $t$.

A 25% haircut is applied to the T-Bill collateral for the purpose of computing available margin. That is, only 75% of the T-Bill market value is counted toward the variation margin required to support the Index's gross futures exposure. The haircut is a conservative margin-risk assumption and does not affect the cash return credited in equation (3.2).

3.4Trading Costs

The Index applies a sector-specific, roll-turnover-dependent transaction cost to each daily rebalance. For each market $m$ and each Index Business Day $t$, the cost charged to the Index is:

where $\Delta N^{(m)}_t = N^{(m)}_t - N^{(m)}_{t-1}$, $s(m)$ is the sector assignment of market $m$, and $\kappa_s$ is a sector-level cost coefficient calibrated from observed bid-ask spreads, exchange fees, clearing-house fees, and an empirically-derived slippage estimate. The calibrated values are:

The total cost charged to the Index on day $t$ is the sum across all markets of the individual market costs, scaled by gross AUM to produce a return-unit cost $c^{\mathrm{tc}}_t$ applied as in equation (3.1).

3.5Rounding

Intermediate quantities (signals, positions, volatility estimates) are calculated to double-precision floating-point accuracy (approximately 15 decimal digits). Published Index levels are rounded to four decimal places (e.g., 1234.5678) and published percent returns are rounded to four decimal places in percentage-point terms (e.g., 12.3456%). Rounding is applied only to published outputs and does not propagate into the subsequent day's calculation.

3.6Market Disruption Events

A Market Disruption Event ("MDE") is the occurrence, on any Index Business Day, of any of the following with respect to a market $m$ in the Universe:

1. the termination or suspension of, or material limitation or disruption in, the trading of the relevant listed contract;
2. the settlement price of the relevant contract reaching the daily maximum permitted price change, as set by the exchange, from the previous day's settlement price (a "limit move");
3. the failure of the relevant exchange or other official source to publish an official settlement price for the relevant contract by the cut-off time applied by the Index Administrator;
4. the settlement price of the relevant contract falling at or below zero;
5. an unscheduled closure of the relevant exchange or trading venue for a duration that prevents the orderly publication of a settlement price.

The determination of whether an MDE has occurred is made by the Index Administrator, acting in good faith. When an MDE is determined to have occurred on day $t$ with respect to market $m$:

• the prior-day settlement price $P^{(m)}_{t-1}$ is carried forward as the day-$t$ settlement price for the purpose of Index calculation;
• the scheduled position change $\Delta N^{(m)}_t$ is deferred to the next Index Business Day on which no disruption is continuing;
• if the MDE is continuing on the next Index Business Day, the carry-forward is repeated; when the MDE ceases, the cumulative deferred position change is executed on the first undisrupted day at that day's settlement price, and the Index level is back-calculated on the disrupted days using the first undisrupted settlement price, in accordance with Section 6.1.

3.7Index Adjustment Events

An Index Adjustment Event is a non-recurring event that affects the economic characteristics of a market $m$ in the Universe in a manner not addressed by the MDE rules of §3.6. Examples include:

• the permanent delisting of a listed contract without a clear successor;
• a material change to contract specifications (contract size, tick size, delivery month cycle) implemented by the exchange;
• a fundamental restructuring of the underlying reference asset (e.g., a currency re-denomination, a country's adoption of a single-currency regime);
• a regulatory prohibition on trading a specific contract.

Upon the occurrence of an Index Adjustment Event, the Index Committee determines, at its next convening, the appropriate treatment: this may include substituting a successor contract, removing the market from the Universe with inter-sector reallocation, or suspending the specific market's contribution to the Index until a clean successor is available. Any such adjustment is announced in advance via the procedures of Section 6.2.

Chapter 4Benchmarks, KPIs & Performance Reporting

4.1Return Benchmark — SG CTA Index

The Société Générale CTA Index (Bloomberg: NEIXCTA Index) is the primary return benchmark for the Index. The SG CTA Index is a daily, equally-weighted and reconstituted composite of the ten largest trend-following and systematic CTA programs, as measured by prior-year assets under management, that are open to new investment and that report net-of-fee daily returns (source: SG Prime Services, SG Trend Index Methodology, January 2013).

The Index Administrator computes, and publishes monthly, the following statistics with respect to the return comparison:

• rolling 3-month $R^2$ of daily Index returns versus daily SG CTA Index returns;
• rolling 12-month realised tracking error (annualised standard deviation of the daily return difference);
• cumulative compound return difference from the Index's Inception Date.

4.2Positioning Benchmark — CFTC COT

The CFTC Commitments of Traders report (the "COT Report") provides a weekly breakdown, as of Tuesday's close, of the aggregate net positions held by various trader categories in futures markets under the jurisdiction of the U.S. Commodity Futures Trading Commission. The Index Administrator uses the Disaggregated COT Report for commodity markets and the Traders in Financial Futures ("TFF") Report for financial markets.

For each COT-covered market in the Universe, the Index Administrator computes the implied net position of the Index on each Tuesday, translates it to the same notional unit as the COT report (number of contracts, long minus short) and measures the rolling correlation between the Index's weekly position change and the COT series' weekly position change for the relevant category:

• Commodity futures: "Managed Money" category of the Disaggregated COT;
• Financial futures: "Leveraged Funds" category of the TFF Report.

4.3Academic and Industry Model Comparisons

To facilitate inter-model comparison, the Index Administrator publishes and maintains, on a best-efforts basis, reference time series for three widely-cited academic and industry trend/momentum models constructed from the same 138-market universe where feasible:

These comparison models are not part of the Index itself; they are published separately as auxiliary research series for the purposes of contextualising Index performance. Any methodological differences between our reproductions of these models and the original authors' implementations are documented in Appendix G of this document.

4.4Key Performance Indicators

The Index Administrator reports the following KPIs on a monthly basis to facilitate model-quality assessment and cross-benchmark comparison.

4.4.1Risk Explained (R²)

The rolling 3-month coefficient of determination between daily Index returns and a reference benchmark's returns. Values are reported separately for the SG CTA Index and each reference comparison model of §4.3.

4.4.2Flow Correlation

The rolling 26-week Pearson correlation of weekly position flows between the Index and the CFTC COT Managed-Money / Leveraged-Funds series. A positive flow correlation indicates that the Index is adjusting its positions in the same direction as the benchmarked investor population. Flow correlation is computed per market and aggregated to a cross-sectional median across the COT-covered Universe.

4.4.3Tracking Error

The annualised standard deviation of the daily return difference between the Index and the SG CTA Index, computed on a rolling 12-month window. A decreasing tracking error indicates improving alignment; a persistent upward drift may signal regime change warranting Committee review.

4.4.4Directional Consistency

The fraction of trading days, in a rolling 6-month window, on which the sign of the Index's daily return matches the sign of the SG CTA Index's daily return. A consistently high directional consistency (≥ 70%) indicates reliable sign-following of the benchmark even when magnitudes diverge.

4.5Publication Cadence and Display Conventions

Index values are published once per Index Business Day, at approximately 18:00 UTC, following the close of the last settlement price received from the exchange calendar. Historical Index values, KPI series and benchmark cross-references are available on the Index Administrator's research platform (lab.inception.technology). Published values are final on the second Index Business Day following publication; prior to that date, the published value is subject to revision per §6.5.

Chapter 5Definitions & Reference Data

5.1Glossary

The following terms, when capitalised in this Methodology, have the meanings set out below:

AUM

Assets Under Management. In the context of this Methodology, the theoretical capital baseline of the Index, reset annually per §2.5.1.

Barclay CTA Managed-Futures

The quarterly assets-under-management series published by BarclayHedge for the managed-futures / CTA industry, used as the theoretical AUM baseline of the Index.

BMR

Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016 on indices used as benchmarks in financial instruments and financial contracts, as amended.

CFTC COT Report

The Commitments of Traders report published weekly by the U.S. Commodity Futures Trading Commission, in its Legacy, Disaggregated and Traders-in-Financial-Futures variants.

CTA

Commodity Trading Advisor, as defined under the U.S. Commodity Exchange Act; by extension, the broader systematic managed-futures industry referenced by the SG CTA Index.

Designated Contract

With respect to a market $m$, the futures or forward contract selected by the Index Administrator as the reference contract from which settlement prices and trading-volume data are obtained for the purpose of Index calculation; see Appendix A.

EMA

Exponentially-weighted moving average. Where an EMA span $\tau$ is specified, the weight of observation $t-k$ relative to observation $t$ decays as $(1 - 2/(\tau+1))^k$.

ERC

Equal Risk Contribution. The within-sector allocation principle by which each market in the sector is sized such that its ex-ante contribution to portfolio volatility is equalised.

FX Rate

The spot foreign-exchange rate used to translate settlement prices from a contract's listing currency to the Index's base currency (USD). FX rates are sourced from Bloomberg at 16:00 New York time.

High-Water Mark (HWM)

The prior all-time-high net-of-fee net asset value of the Index, reset after each performance-fee crystallisation per §3.2.

Index

The Inception Systematic Trend Index Enhanced, as defined in §1.1.

Index Administrator

Inception Technology SAS, per §1.4.1.

Index Business Day

A day on which the Index Administrator publishes an Index value. The Index Business Day calendar excludes weekends and the union of closure days across the exchanges on which a material share of the Universe's volume trades.

Index Committee

The internal committee of the Index Administrator responsible for methodology review, annual parameter resets and adjudication of errors and restatements, per §1.4.2.

Index Inception Date

31 December 1999, the date from which the Index level is back-calculated to a base level of 100.00.

Index Review Date

The last Index Business Day of January of each calendar year, on which the annual portfolio-construction parameters are reset per §2.5.

IOSCO

The International Organization of Securities Commissions, whose Principles for Financial Benchmarks (July 2013) provide the international framework for benchmark administration.

Launch Date

1 January 2025, the first date on which the Index Administrator commenced publication of daily Index values to subscribers on a production (non-back-test) basis.

Managed Money

The trader category in the CFTC Disaggregated COT report corresponding to registered commodity pool operators, commodity trading advisors and unregistered funds whose clients are pre-dominantly speculative in nature.

Market Disruption Event (MDE)

Any of the events specified in §3.6.

Net Return Index

The variant of the Index that reflects the application of the fee structure of §3.2.

Settlement Price

For each Designated Contract and a given day, the official settlement price published by the futures exchange or forward dealer quotation panel on which the contract trades.

SG CTA Index

The Société Générale CTA Index (Bloomberg: NEIXCTA Index), used as the return benchmark for the Index.

Trend Span (τ)

The calibrated span of the exponentially-weighted moving average used in the trend-signal computation (§2.3.4); span $\tau$ [under NDA].

Volatility Span (τ_σ)

The calibrated span of the exponentially-weighted moving standard deviation used in the volatility estimator (§2.3.2); span $\tau_\sigma$ [under NDA].

5.2Abbreviations

5.3Data Sources

Chapter 6General Rules

6.1Consequences of a Market Disruption Event

If, on any Index Business Day, a Market Disruption Event occurs or is continuing and the Index Administrator determines, in its sole discretion, that such MDE materially affects the Index, the Index Administrator may:

1. defer or suspend the calculation and publication of the Index value, and any other information relating to the Index, until the next Index Business Day on which the MDE is not continuing;
2. make such determinations and adjustments in relation to the methodology used to calculate the Index, or to the Index value itself, as the Index Administrator considers necessary to preserve the underlying objectives of the Index, including (without limitation) using the prior-day settlement price with respect to the disrupted market, interpolating a fair settlement value from correlated markets, or calculating a substitute value based on the last undisrupted settlement price;
3. designate that the next Index Business Day on which no MDE is continuing replaces the originally-scheduled Index Business Day for the purposes of any scheduled rebalancing or roll;
4. if the MDE persists for five consecutive Index Business Days immediately following the original day of occurrence, convene the Index Committee to determine further action, which may include material methodology adjustment or suspension of the Index.

6.2Consequences of an Index Adjustment Event

Upon the occurrence of an Index Adjustment Event affecting one or more markets in the Universe, the Index Administrator may, at its discretion:

1. make such determinations and adjustments in relation to the methodology used to calculate the Index, or to the Index value itself, as it considers necessary to preserve the underlying objectives of the Index;
2. select, in its sole good-faith discretion, a successor contract for the affected market;
3. defer or suspend publication of the Index value and any other information relating to the Index until no Index Adjustment Event is continuing;
4. discontinue publication of the Index, subject to the Index Administrator's termination policy set out in §6.3, if it determines that the foregoing measures are not feasible or would produce results inconsistent with the objectives of the Index.

6.3Termination

The Index Administrator may elect to discontinue publication of the Index only after providing at least 180 calendar days' prior notice to known subscribers, third-party data distributors and the public website. Notice is given in writing and via the Index Administrator's research platform. Prior to termination, the Index Administrator will, where practicable, identify and communicate to subscribers a replacement benchmark or a transition plan. Termination shall not be motivated by the commercial interests of the Index Administrator acting in a capacity other than that of benchmark administrator.

6.4Expert Judgment

Where this Methodology is silent, ambiguous, or requires a determination of fact (including the determination of whether a Market Disruption Event or Index Adjustment Event has occurred), the Index Administrator applies expert judgment. The application of expert judgment is:

• transparent — each material application of expert judgment is documented in the Index Committee's decision log;
• consistent — the Index Administrator maintains internal standards such that similar circumstances are treated similarly across time;
• proportionate — the exercise of discretion is calibrated to the economic significance of the event;
• reviewable — upon written request by a person with a legitimate interest, the Index Administrator may disclose the rationale for a specific application of expert judgment, subject to the Index Administrator's confidentiality obligations to third parties.

6.5Errors and Adjustments

Errors in the calculation or publication of the Index are handled as follows:

1. Minor errors — an error that produces a deviation of less than one basis point (0.0001) in the published Index level, and that is discovered within two Index Business Days of publication, is corrected prospectively without republication of historical values;
2. Material errors — an error that produces a deviation of one basis point or more, or that is discovered more than two Index Business Days after publication, triggers a restatement procedure: the Index Administrator publishes a corrections notice on its research platform, re-publishes affected historical Index levels, and retains all prior-vs-corrected values in an auditable archive;
3. Data-vendor errors — where the source of an error is an input-data-vendor correction, the Index Administrator applies the correction as of the date the vendor correction is received, and republishes affected historical values.

6.6Index and Data Reviews

The Index Administrator conducts the following scheduled reviews:

• Annual Index Review — end of January each year. Scope: Universe eligibility, AUM baseline reset, position-limit recalibration, data-vendor benchmarking. Any changes are announced no later than the first Index Business Day of February.
• Quarterly Data Review — end of each calendar quarter. Scope: input-data-series quality, anomaly detection, pending vendor restatements.
• Ad-hoc Committee Review — convened upon the occurrence of a Market Disruption Event persisting for more than five Index Business Days, upon any Index Adjustment Event, and upon request of any member of the Index Committee.

6.7Methodology Changes

Material changes to this Methodology are subject to the following procedure:

1. the proposed change is reviewed by the Index Committee, which assesses the rationale, the expected impact on the historical Index level, and the continuity of the stated Index objectives;
2. the proposed change is published on the Index Administrator's research platform for a consultation period of no less than 30 calendar days, during which third-party comments may be submitted in writing;
3. on considering any comments received, the Index Committee decides to implement, modify or withdraw the proposed change;
4. implemented changes are reflected in the Methodology with an updated Publication Date on the cover, a corresponding entry in the change log (Appendix F), and an announcement via the research platform no less than 10 Index Business Days before the effective date.

Non-material changes (e.g., clarificatory amendments, correction of typographical errors, expansion of definitions without substantive effect) may be made without the consultation period but are nonetheless recorded in the change log.

6.8Availability and Publication of Index Values

Index values are published, subject to successful input-data acquisition and calculation, on each Index Business Day at approximately 18:00 UTC. Published values are disseminated via:

• the Index Administrator's research platform (lab.inception.technology);
• the Index Administrator's public Data Query API (authenticated subscribers only);
• third-party data distributors as appointed by the Index Administrator from time to time.

Historical Index levels, from Index Inception Date, are available on the research platform. The Index Administrator accepts no liability to any person for publishing, or not continuing to publish for any period of time, an Index value at any particular place or any particular time.

6.9Index Administrator Authority

Subject to the other provisions of this Methodology, all determinations made by the Index Administrator will be made by it (a) acting in good faith and with reasonable reference to such factors as the Index Administrator deems appropriate, and (b) will be final, conclusive and binding in the absence of manifest error.

6.10Reinvestment of Dividends and Coupons

The markets in the Universe are predominantly futures or forward contracts which do not pay dividends or coupons to the position-holder. For completeness, the Index Administrator notes that:

• equity-index futures' settlement prices reflect the impact of dividends paid by the underlying constituents on the respective ex-dividend dates; no adjustment is made by the Index Administrator;
• bond-futures' settlement prices reflect the underlying bond's accrual of coupons on the respective coupon dates; no adjustment is made by the Index Administrator;
• the 3-month T-Bill return accrued on cash per §3.3 is the only explicit yield component reflected in the Net Return.

Chapter 7Backtest Assumptions

7.1Inception Date and Launch Date

The Index has two dated milestones. The Index Inception Date is 31 December 1999; this is the earliest date from which an Index level is made available, back-calculated from the rules of this Methodology applied retrospectively to the historical settlement-price and open-interest data of the Universe. The Launch Date is 1 January 2025; this is the first date on which the Index Administrator published the Index value on a live, production basis.

Index values prior to the Launch Date are back-tested. Index values from the Launch Date onward are live. The user of the Index is invited to pay particular attention to the distinction when evaluating historical performance.

7.2Data Completeness and Proxies

A subset of markets in the Universe was not listed, or did not have sufficient liquidity for inclusion, for the entire period from Index Inception Date. In such cases, the Index Administrator has applied the following conventions:

• Absent market — for dates preceding the listing of a market, the market's target gross notional is set to zero, and the sector allocation is redistributed proportionally across then-active markets in the sector;
• Insufficient-history exclusion — a market with fewer than 500 daily observations available on a given Index Business Day is excluded from Index calculation on that day, per §2.3.2;
• Currency-proxy substitutions — where a CME-listed currency future was not available for the entire back-test period but a corresponding OTC spot-forward has been continuously quoted, the spot-forward is used as a proxy; these cases are documented in Appendix E.

7.3Simulated Costs and Fees

For dates preceding the Launch Date, all transaction costs and fee items applied to the Index are simulated using the calibrated parameters of this Methodology as currently in force. No attempt is made to reconstruct historical bid-ask spreads, exchange fees or clearing-house fees on a through-time basis. The current calibrations are deliberately conservative relative to the historical average cost structure; nevertheless, users should be aware that back-tested cost-adjusted returns may differ from what a contemporaneous investor would actually have experienced.

7.4Out-of-Sample Disclosure

The calibration of the Index parameters (trend span, volatility span, scaling factors, position limits, execution speed) was completed prior to the Launch Date using the back-test dataset. The Index Administrator notes that the distinction between in-sample and out-of-sample performance is material: back-tested performance may therefore be subject to in-sample bias, despite the fact that no explicit parameter fitting was performed on a look-forward basis. From the Launch Date onward, performance is strictly out-of-sample. Users are encouraged to evaluate the Index's merits primarily on live performance from the Launch Date.

Chapter 8Regulatory & ESG Disclosure

8.1IOSCO Principles for Financial Benchmarks

The Index Administrator has considered the IOSCO Principles for Financial Benchmarks (FR07/13, July 2013) in the design and administration of the Index. The following cross-reference identifies the principal means by which this Methodology addresses each of the 19 IOSCO principles that are applicable to non-regulated-entity administrators of non-critical benchmarks.

A formal statement of compliance with the IOSCO Principles, including the scope and limitations of such statement, is published separately on the Index Administrator's research platform.

8.2EU Benchmarks Regulation (BMR)

The Index is not, as at the Publication Date of this Methodology, registered as a benchmark with the European Securities and Markets Authority (ESMA) or any national competent authority under Regulation (EU) 2016/1011 (the "Benchmarks Regulation" or "BMR"). Until such registration is in force, the Index may not be used as a benchmark in financial instruments or financial contracts within the scope of the BMR by supervised entities in the European Union.

The Index Administrator has nonetheless structured this Methodology to address the informational content requirements of BMR Article 27 (Benchmark Statement). The following cross-reference illustrates the mapping:

8.3ESG Disclosure

The Inception Systematic Trend Index Enhanced does not pursue environmental, social or governance ("ESG") objectives. ESG factors are not explicitly incorporated in the eligibility criteria for markets, the signal-computation methodology, the position-sizing rules or the benchmark governance framework described herein. The Index is accordingly designated as not pursuing ESG objectives within the meaning of Article 27(2a) of the BMR and Article 13 of the EU Sustainable Finance Disclosure Regulation (Regulation (EU) 2019/2088, "SFDR").

Users requiring ESG-conforming exposure to the managed-futures industry should consult a financial advisor. The Index Administrator notes that several constituent markets (notably CO₂ emissions allowances, palm oil, coal and some livestock contracts) are considered to have environmental or social externalities; their inclusion in the Universe is based exclusively on liquidity and representativeness criteria.

Appendix ADesignated Contracts (138 markets)

The following tables enumerate the 138 Designated Contracts composing the Universe of the Index as at the Publication Date of this Methodology. The codes in the first column are the internal tickers used by the Index Administrator; the long name, exchange, settlement currency and price multiplier are as published by the respective exchange or dealer panel. Any change to the Universe is announced per §6.6.

A.1 Commodities (67 contracts)

A.1.1 Energy (15)

A.1.2 Metals (19)

A.1.3 Agriculture, Softs & Livestock (33)

A.2 Equity Indices (28 contracts)

A.3 Currencies (23 contracts)

A.4 Fixed Income (20 contracts)

Appendix BWorked Examples

B.1Trend Estimator — 20-day computation on a single asset

This example illustrates the computation of equations (2.1) through (2.5) for a single market $m$ over 20 consecutive Index Business Days. For illustration we use synthetic log-returns drawn from a stationary distribution with mean 0% and annualised volatility set at the per-asset target volatility (value [NDA] — see Appendix C).

The table illustrates how the bounded signal converges towards an equilibrium value of approximately $+0.62$ as the asset traverses a sustained but modest uptrend. The equilibrium is the value at which the exponentially-decayed contribution of recent-positive returns to $L_\tau(t)$ balances out under a constant underlying drift.

B.2Volatility-targeted position sizing

Consider a market with an estimated annualised volatility $\sigma^{(m)}_t = 24\%$ on day $t$, a bounded signal $\tilde{s}^{(m)}_t = 0.80$, and an annual target gross notional $N^{(m),\,\star}_y = \$100$M. Applying equation (2.9):

The resulting position scales upward with signal strength and downward with realised volatility relative to the per-asset volatility target. The exact percentage of target annual gross notional depends on the calibrated values of $\tau$ and $\sigma_{\mathrm{target}}$ disclosed under NDA.

B.3Futures roll through a Market Disruption Event

Consider a futures market $m$ whose primary-trigger open-interest cross-over occurs on day $t$ such that the roll is scheduled for day $t+1$. On day $t+1$, however, the deferred contract is subject to a limit-price event (an MDE per §3.6(b)). The Index Administrator applies the following sequence:

1. On day $t+1$, the roll is deferred. The front-month position is preserved; both the front-month and deferred settlement prices are marked at the prior-day settlement for Index-level computation;
2. On day $t+2$, the MDE is no longer in effect. The roll is executed at the day-$t+2$ settlement prices of both the front-month and deferred contracts;
3. The day-$t+1$ Index level is re-calculated using the day-$t+2$ settlement prices as required by §3.6 and re-published per §6.5.

Appendix CFormula Summary

The following single-page reference consolidates the calibrated parameters and the equations referenced throughout this Methodology.

C.1Calibrated Parameters

C.2Core Equations

Appendix DIndex Information

All variants are published on each Index Business Day at approximately 18:00 UTC via the Index Administrator's research platform and Data Query API.

Appendix EBacktest Caveats Registry

The following registry documents specific adjustments, proxies and data limitations applicable to the back-tested Index levels prior to the Launch Date.

Appendix FChanges to this Document

Appendix GBenchmark Cross-Reference

This appendix discloses the implementation choices made by the Index Administrator when reproducing the three reference comparison models of §4.3 — AQR Time-Series Momentum, GS Futures Trend Beta and CFM DAO Convexity — and identifies, for each model, the points at which the Inception reproduction diverges from the original published implementation. It is published in this document (rather than upon request) so that any sophisticated reader may audit the comparison set without further enquiry.

The three reproductions share a number of design choices that follow from being embedded in the Inception calculation pipeline rather than being run as standalone academic backtests:

• the investable universe is the Inception Universe of 138 designated contracts (Appendix A), not the original universe of each paper, which materially affects historical cross-section size and sector mix;
• price data is the same single back-adjusted continuous series used by the Index, with the same roll convention and the same proxy treatment for contracts whose history begins after 31 December 1999;
• volatility scaling, when applied, uses the Inception ex-ante volatility estimator described in §2, not each paper's bespoke estimator, in order to keep the cross-model comparison on a single risk axis;
• position aggregation follows the Inception sector and Index-level aggregation rules; per-contract weights are clipped to the same risk budget as the Index (Appendix C);
• execution costs and fees are the same modelled stack used by the Index itself; no attempt is made to apply each paper's original cost assumption.

Within those shared conventions, the model-specific differences are set out in the table below. None of the comparison models is intended to be a perfect restatement of the reference paper; they are calibrated reproductions designed to provide a like-for-like positioning signal under the Inception data and costing conventions.

The Index Administrator does not represent that any of these reproductions matches the live performance of the corresponding manager or research desk. Each reference series is provided for cross-model interpretability only and should not be construed as a benchmark of, nor as an investable surrogate for, the original strategy.

Where the reproduction of a reference model would require a non-public data input not held by Inception Technology, the model is omitted from the comparison set rather than approximated. No proprietary signals from any third-party manager are used in any of the reproductions.

ImportantDisclaimer

This Methodology and the Inception Systematic Trend Index Enhanced (the "Index") have been prepared by Inception Technology SAS (the "Index Administrator") for informational purposes only and are made available to qualified professional investors and institutional clients only. This document does not constitute investment advice, a recommendation, or personal investment guidance and should not be relied upon as such. Nothing contained herein constitutes a solicitation, offer, opinion, or recommendation by the Index Administrator to buy or sell any security, enter into any transaction, or adopt any investment strategy.

The information contained in this Methodology is based upon sources believed to be reliable, but neither its accuracy nor its completeness is guaranteed. Any views, commentary, forecasts, estimates or performance information (whether live or simulated back-tested) are subject to change without notice and reflect assumptions and methodologies utilised by the Index Administrator, which may differ from those of other industry participants. Historical or simulated past performance is not, and should not be interpreted as, indicative of future results.

Investments in derivatives, futures, forward contracts or related products involve substantial risk, including the potential loss of all or a substantial portion of principal. Investors must thoroughly assess their financial situation, investment objectives, risk tolerance and regulatory obligations and should consult their own professional advisers before making any investment decision related to the Index or any product referencing it. The Index Administrator assumes no liability for any direct, indirect or consequential losses resulting from reliance on, or use of, this document or its contents, except to the extent such liability may not be excluded or limited by applicable law.

This Methodology is the intellectual property of Inception Technology SAS. The Index Administrator and its licensors own the copyright and all other intellectual property rights in and to this Methodology and the Index. Unauthorised reproduction or distribution, in whole or in part, without the prior written consent of the Index Administrator, is prohibited. References to third-party benchmarks (including the Société Générale CTA Index and the CFTC COT reports) are for illustrative comparison only and do not constitute endorsement by the respective benchmark administrators.

The distribution of this Methodology may be restricted by law or regulation in certain jurisdictions. Persons in possession of this document must inform themselves about, and comply with, any such restrictions. By accepting this document, the recipient agrees to be bound by the foregoing terms.

© 2026 Inception Technology SAS. All rights reserved.

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