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SGI European Quality Beta Hedged Index

Index level: 1745.99 as of 22/11/2017

Main characteristics

Bloomberg Code SGEPQ2RE
Inception Date 27/04/2016
Return Type Excess Return
Currency EUR
CALCULATED_BY Solactive

Objective

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

Mechanism

The Index takes long position in the SGI European Quality Index beta-hedged with a short position in Stoxx 600 Index. The SGI European Quality 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 Piotroski score (profitability, leverage, liquidity and operating efficiency factors) and Merton's Distance to default (financials are excluded). The 120 highest quality stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.


The SGI European Quality 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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