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SGI European Profitability Beta Hedged Index

Index level: 1827.77 as of 16/11/2018

Main characteristics

Bloomberg Code SGEPPRE
Inception Date 27/04/2016
Return Type Excess Return
Currency EUR
Calculated By Solactive

Objective

The SGI European Profitability Beta Hedged Index aims to replicate a long position in the SGI European Profitability Index, beta-hedged with a short position in the Stoxx 600 (the benchmark).

Mechanism

The Index takes long position in the SGI European Profitability Index beta-hedged with a short position in Stoxx 600 Index. The SGI European Profitability 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 profitability ratios (ROE, ROA, ROIC and GPOA) relative to the sector. The 120 most profitable stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5 business days.


The SGI European Profitability 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.

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