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SGI European Low Volatility Hedged Index

Index level: 1429.95 as of 30/10/2019

Main characteristics

Bloomberg Code SGEPLAE
Inception Date 16/10/2015
Return Type Net Return
Currency EUR
Calculated By Solactive


The SGI European Low Volatility Hedged Index aims to outperform its benchmark by getting an exposure to stocks embedded in the STOXX Europe 600 Index with a low historical volatility.


The SGI European Low Volatility Hedged Index aims to replicate a long position in the SGI EuropeanLow Volatility Index, hedged with a short position in the Stoxx Europe 600 (the benchmark). The SGI European Low Volatility Index is based on a 5 step selection methodology applied to the shares 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 realized volatility over the last 6 months. The 120 lowest volatility stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

The SGI European Low Volatility Hedged Index (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.