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Main characteristics

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

Objective

The SGI US Quality Ex-Overvalued Index aims to get an exposure to high quality stocks embedded in the S&P 500 Index with a value filter in order to avoid overvalued ones.

Mechanism

The SGI US Quality Ex-Overvalued 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 value (valuation ratios: PB, PE, FY 1 PE, EVEBITDA, PFCF) and quality (Piotroski score, Merton's Distance to default) scorings (quality scoring weighs for 5/7 and value scoring weighs for 2/7) . The 100 stocks with the best scoring are selected and equally weighted in the index. The rebalancing frequency is quarterly, smoothed on 5-business days.

The SGI US Quality Ex-Overvalued (EUR - NTR) (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.