The SGI European Dividend Constant Maturity 3Y Beta Hedged Index is a rules-based index that aims to track the performance of a long/short strategy based on a long position in the SGI European Dvd Constant Maturity 3Y Index, rolling futures on dividends of the Euro Stoxx 50 Price Return Index and beta hedged versus the equity market.
The Index is designed to provide the investor with the performance of a rolling long position on the third and fourth futures contracts of the Euro Stoxx 50 Dividend Futures Index, beta hedged by a short exposure on the SGI Futures Series – European Large Cap Equity Index (that rolls futures on the Euro Stoxx 50). The strategy is invested in the third and fourth futures contracts, so that the theoretical maturity of the strategy to the dividend futures is always equal to three years. The beta is calculated on one year using 3-day returns (capped at 150%).
The SGI European Dvd Constant Maturity 3Y Beta Hedged Index (EUR – Excess Return) is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG.