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SGI European Carry Beta Hedged Index

Index level: 1132.34 as of 22/11/2017

Main characteristics

Bloomberg Code SGEPCRE
Inception Date 10/01/2016
Return Type Excess Return
Currency EUR
CALCULATED_BY Stoxx

Objective

The SGI European Carry Beta Hedged Index aims to replicate a long position in the SGI European Carry Index, beta-hedged with a short position in the Stoxx 600 (the benchmark). The SGI European Carry Index is based on a 5 step selection methodology applied to the stocks comprising the Stoxx Europe 600 Index, corrected from stocks with an average daily volume below 3 millions euros. The stocks are ranked according to their dividend yield over the last year. The 120 highest yielding stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

Mechanism

The Index takes long position in the SGI European Carry Index beta-hedged with a short position in Stoxx 600 Index. The SGI European Carry Index is based on a 5 step selection methodology applied to the stocks comprising the Stoxx Europe 600 Index, corrected from stocks with an average daily volume  below 3 millions euros. The stocks are ranked according to their dividend yield over the last year. The 120 highest yielding stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.


The SGI European Carry Beta Hedged Index is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG

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