The SGI European ESG 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 Solactive Europe 675 Index, and selected on an innovative ESG (Environmental, Social and Governance) consensus rating based on Grizzly expertise.
Grizzly Responsible Investment is an independent ESG research firm with an innovative approach based on responsible investment consensus.
The SGI European ESG Quality Index is based on a 6 steps selection methodology applied to the stocks comprising the Solactive Europe 675 Index, corrected from stocks with an average daily volume below EUR 3 millions. The 120 highest quality stocks are ranked according to their Piotroski score (profitability, leverage, liquidity and operating efficiency factors), their Merton's Distance to default, and financials being excluded. The 100 top stocks are selected according to the Grizzly ratings and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.
The SGI European ESG 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.