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SGI European Momentum Hedged Index

Index level: 1396.09 as of 18/01/2018

Main characteristics

Bloomberg Code SGEPMAE
Inception Date 30/10/2015
Return Type Excess Return
Currency EUR
CALCULATED_BY Solactive

Objective

The SGI European Momentum Hedged Index aims to outperform its benchmark by getting an exposure to stocks which have recently well performed and embedded in the STOXX Europe 600 universe.

Mechanism

The SGI European Momentum Hedged Index aims to replicate a long position in the SGI European Momentum Index, hedged with a short position in the Stoxx Europe 600 (the benchmark). The SGI European Momentum Index is based on a 5 steps 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 the 11-month residual Return Lagged by 1-month. The 120 best performing stocks are selected and equally weighted in the index. The rebalancing frequency is monthly smoothed on 5-business days.

The SGI European Momentum 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.