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SGI European Quality Ex-Overvalued Hedged Index

Index level: 1754.03 as of 22/11/2017

Main characteristics

Bloomberg Code SGEPQXAE
Inception Date 16/10/2015
Return Type Net Return
Currency EUR
CALCULATED_BY Solactive

Objective

The SGI European Quality Ex-Overvalued Hedged Index aims to outperform its benchmark by getting an exposure to high quality stocks embedded in the STOXX Europe 600 Index with a value filter in order to avoid overvalued ones.

Mechanism

The SGI European Quality Ex-Overvalued Hedged Index aims to replicate a long position in the SGI European Quality Ex-Overvalued Index, hedged with a short position in the Stoxx Europe 600 (the benchmark). The SGI European Quality Ex-Overvalued 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 value (valuation ratios: PB, PE, FY 1 PE, EVEBITDA, PFCF) and their quality (Piotroski score, Merton's Distance to default) scorings. Quality scoring weighs for 5/7 and value scoring weighs for 2/7. 120 high quality stocks avoiding the most expensive ones are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

The SGI European Quality Ex-Overvalued Hedged 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.