The SGI Tactic Neutral Index is a long/short strategy designed to capture relative value opportunities within a basket of stocks. The index has a constant neutral exposure (the sum of weights equal 0%).
The Index is a systematic long/short strategy which invests in a basket of 50 European stocks aiming to benefit from temporary price dislocations within the basket.
50 European stocks selected among the members of the S&P Euro Index:
Each month, the exposure to each of the 50 stocks ranges between -5% and 5% with a daily rebalancing.