SGAM Alternative Investments has launched the first ETF worldwide aiming to replicate the performance and risk profile of the global hedge fund universe. Called SGAM ETF T-Rex - Total Return Exposure - it debuts on NYSE Euronext’s Paris market.

Soc Gen's alternative asset management arm aims to replicate synthetically the performance of the hedge funds research index. The portfolio invests in the main asset classes - equities, bonds, currencies - and is managed dynamically using liquid financial instruments such as futures.

The allocation is based on a quantitative model created by SGAM AI’s structured asset management team. The model automatically calculates the allocation that optimises the correlation to the index, composed of over 2,000 hedge funds tracked in the HFR database. It aims to give 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 strategy was launched in a mutual fund format in August 2007 and has, the firm says, largely proven the effectiveness of the concept and the strength of the quantitative model.