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.
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.