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SGI European Value Quality Hedged Index

Index level: 1828.23 as of 17/10/2017

Main characteristics

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

Objective

The SGI European Value Quality Hedged Index aims to outperform its benchmark by tracking an equity basket of stocks embedded in Stoxx Europe 600, selected combining both value and quality factors. Combining the rankings in order to get a better basket leads to more robust results than combining the extremes.

Mechanism

The SGI European Value Quality Hedged Index aims to replicate a long position in the SGI European Value Quality Index, hedged with a short position in the Stoxx Europe 600 (the benchmark). The 120 stocks Value Quality selection is based on Value criteria (Book to Price ratio, Earnings to Price ratio EBITDA to Enterprise Value ratio…) and Quality criteria (Piotroski score and Merton’s Distance to default). The basket is equally weighted and reviewed on a quarterly basis. 

The SGI European Value Quality 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.