SGI WISE Asia Ex-Japan Long/Short Vol Target 8% aims to outperform the Asian equity markets using long and short positions on equities while displaying an attractive risk-return profile.
The index reflects the performance of a selection of shares issued by companies incorporated in Asia excluding Japan and listed on main local exchanges picked according to the WISE Model a systematic stock selection model, based on value and momentum, applied to the emerging zone.
Moreover this index benefits from the Vol Target mechanism which allows dynamic risk monitoring of the index fixing its realized volatility at 8%.
The index is based on the WISE model, a proprietary systematic model developed by Société Générale Quant Research Team in 2000. Every year, the WISE model computes a score for Asian stocks including Hong-Kong (HK and China H share), Korea, Singapore, Thailand and Taiwan. This score is based on a set of value and momentum factors that have been selected for their robustness over time. The composition of the index is reviewed every quarter. The Index is calculated and published by Standard & Poor’s.
The Index encompasses a volatility target of 8%.