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 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.