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SGI Tactical Neutral

Index level: 102.02 as of 13/08/2018

Main characteristics

Bloomberg Code SGIXTNE
Inception Date 08/05/2012
Return Type Excess Return
Currency EUR
Calculated By S&P Dow Jones

Objective

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%).

Mechanism

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:

  • The largest market capitalizations
  • With a daily turnover > EUR 5M

 

Each month, the exposure to each of the 50 stocks ranges between -5% and 5% with a daily rebalancing.

  • The exposure is positive on the worst performing stocks
  • The exposure is negative on the best performing stocks.

 


The SGI Tactical Neutral (EUR - ER) (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.