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SGI EFS 130/30 US Index

Index level: 172.60 as of 22/05/2017

Main characteristics

Bloomberg Code SGIEFSUS
Inception Date 04/09/2012
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones

Objective

The SGI EFS 130/30 US Index aims to track the performance of a long/short basket of American liquid stocks using the Equal Factor Sensitivity methodology. 

Mechanism

The model identifies and ranks the main independent risk factors of the Equity market. Consequently, the model chooses weights based on the allocation of the same amount of variance to each risk factor, together with taking into account usual portfolio management constraints (130/30, monthly rebalancing…)


The SGI EFS 130/30 US Index (the “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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