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SGI Market Timing Index

Index level: 112.96 as of 14/12/2017

Main characteristics

Bloomberg Code SGIXMTE
Inception Date 06/02/2012
Return Type Excess Return
Currency EUR
CALCULATED_BY Standard & Poor's

Objective

The SGI Market Timing is a systematic long only equity index which invests in a basket of 50 European stocks and optimizes market timing based on the “buy low” principle (i.e. mean-reversion mechanism).

Mechanism

The Index consists of 50 equally-weighted Intermediate Indices which only differ with respect to their underlying. The 50 stocks are selected among the members of the S&P Euro (Eurozone domiciled stocks) Index according to a systematic methodology. The Index implements a strategy based on past returns: the higher the stock price performance over the past 10 business days the lower the weight; the lower the stock price performance over the past 10 business days the higher the weight.

The SGI Market Timing  (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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