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Main characteristics

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

Objective

The SGI US Quality Carry Index aims to track an equity basket selected combining both quality and carry factors from stocks embedded in S&P 500 Index. Combining the rankings in order to get a better basket leads to more robust results than combining the extremes.

Mechanism

The SGI US Quality Carry 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 an average between quality (Piotroski score, Merton's Distance to default) and carry (1-year dividend yield) rankings. The 100 stocks with the highest quality and dividend yield are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

The SGI US Quality Carry 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.