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SGI European Value Ex-Junk Hedged Index

Index level: 1728.52 as of 19/10/2017

Main characteristics

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

Objective

The SGI European Value Ex-Junk Hedged Index aims to outperform its benchmark by getting an exposure to undervalued stocks embedded in the STOXX Europe 600 Index with a quality filter in order to avoid junk ones.

Mechanism

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

The SGI European Value Ex-Junk 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.