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Main characteristics

Bloomberg Code SGEPQCBW
Inception Date 31/10/2015
Return Type Net Return
Currency EUR
CALCULATED_BY Solactive

Objective

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

Mechanism

The SGI World Quality Carry Index is based on a 5 step selection methodology applied to the shares comprising the MSCI World Index corrected from stocks with an average daily volume below 3 millions euros. The stocks are ranked according to an average between quality (Piotroski score, Merton's Distance to default) and carry (1-year dividend yield) scoring. The 350 stocks with the highest quality and carry score are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5 business days.

SGI World 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.