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Main characteristics

Bloomberg Code SGEPQBU
Inception Date 19/01/2016
Return Type Net Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI US Quality Index aims to track an equity basket offering to their owners an exposure to high quality shares by taking long position on stocks embedded in S&P 500 Index.

Mechanism

The SGI US Quality Index is based on a 5 step selection methodology applied to the shares comprising the S&P 500 Index, corrected from stocks with an average daily volume below USD 3 millions. The stocks are ranked according to their Piotroski score (pofitability, leverage, liquidity and operating efficiency factors) and Merton's Distance to default (financials are excluded). The 100 highest quality stocks are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

The SGI US Quality 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.