The SGI European Low Volatility Beta Hedged Index aims to replicate a long position in the SGI European Low Volatility Index, beta-hedged with a short position in the Stoxx 600 (the benchmark).
The Index takes long position in the SGI European Low Volatility Index, beta-hedged with a short position in Stoxx 600 Index. The SGI European Low Volatility Index is based on a 5 step selection methodology applied to the shares comprising the Stoxx 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 Beta Hedged 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.