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SGI Strategic Long Index

Index level: 137.73 as of 23/05/2017

Main characteristics

Bloomberg Code SGIXSLE
Inception Date 08/05/2012
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Strategic Long Index is a systematic long-only equity strategy which invests in a basket of 50 European stocks and optimizes market timing based on the “Trend Following” principle. The Index aims at benefiting from upward trends while mitigating the impact of a bear market.

Mechanism

Every month,50 European stocks are selected among the members of the S&P Euro Index, under liquidity constraints: large market cap and a daily turnover greater than EUR 5M. Every day, the weight of each stock is reassessed individually according to its past 100-day performance. The exposure is close to 0% on the worst performing stocks and close to 2% on the best performing stocks.


The SGI Tactical Short (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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