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SGI Price Momentum Europe Index

Index level: 110.84 as of 23/06/2017

Main characteristics

Bloomberg Code SGBVPMEU
Inception Date 06/07/2015
Return Type Total Return
Currency EUR
CALCULATED_BY Bloomberg

Objective

The SGI Price Momentum Europe Index aims to outperform the market by taking long and short positions in the best and worst performing European stocks. The Index is hedged to mitigate directional risks.

Mechanism

The Index aims to benefit from the well-documented equity behavioral bias by buying the best performers against the worst performers on a basket of European stocks. The Index is rebalanced monthly according to a systematic model that selects the best and worst performing European stocks under
liquidity constraints. The long/short position is then hedged to limit exposure to the main sources of directional risk.


Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with Société Générale and do not approve, endorse, review, or recommend the SGI Price Momentum Europe Index. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI Price Momentum Europe Index.  Bloomberg makes no warranty, express or implied, as to the SGI Price Momentum Europe Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto.  To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages—whether direct, indirect, consequential, incidental, punitive, or otherwise—arising in connection with the SGI Price Momentum Europe Index or any data or values relating thereto—whether arising from their negligence or otherwise.

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