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SGI World Value Beta Hedged Index

Index level: 1194.58 as of 26/10/2020

Main characteristics

Bloomberg Code SGEPVRW
Inception Date 18/03/2016
Return Type Excess Return
Currency EUR
Calculated By Solactive

Objective

The SGI World Value Beta Hedged aims to replicate a long position in the SGI World Value, beta-hedged with a short position (equal to 6-month beta) in MSCI WORLD Index, i.e. the Benchmark. The SGI World Value selects 350 stocks according to 5 Value criteria (P/E, P/B, Forward 1Y P/E...).

Mechanism

The Index is composed of a hypothetical long position in the Smart Beta Index and a hypothetical short position in the Benchmark Index. The Index aims use the short exposure as a beta hedge of the long exposure.
The hypothetical short exposure to the Benchmark Index is determined on a monthly basis by the Index Calculation Agent through a linear regression of the Smart Beta Index versus the Benchmark Index. The regression is performed on the seventh Calculation Date of each month and looks at each 3-day return over the 120 Calculation Dates preceding the Review Date.


The Index is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.

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