SGI WISE Top aims at outperforming the European equities market by picking Euro Stoxx 600 members that exhibit high Value and Momentum style according to the WISE Model.The index is rebalanced on a monthly basis using a series of 8 criteria. The Index aggregates last 12 selections to make a diversified yet representative selection of European equities.
Each month, the members of the Euro Stoxx 600 are screened by the Quantitative Research Team of Société Générale using 8 criteria that represent Value and Momentum styles: the 8 scores are summed and determine the WISE Top Score for each stock. The Top 10% stocks make the selection for the month. The Index is the aggregation of the last 12 selections with a liquidity threshold, as the scores were designed to exhibit best predictive quality on a 12-month time horizon.