Main characteristics
| Bloomberg Code | SGIXWIVT |
|---|---|
| Inception Date | 16/02/2009 |
| Return Type | Excess Return |
| Currency | EUR |
| Calculated By |
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Objective
SGI WISE Long/Short Vol Target 9% is an index reflecting the performance of long and short position in a selection of european stocks. The underlying stock selection process is based on the WISE model, a propietary model developed by the Societe Generale Quantitative Research team. Moreover this index benefits from the Vol Target mechanism which allows dynamic risk monitoring of the index fixing its realized volatility at 9%.
Mechanism
Every month, the WISE model computes a score for every pan-European stock that complies with a market capitalization threshold of 3 billion euro. This score is based on a set of value and momentum factors that have been selected for their robustness in predicting out performers and underperformers in the past. The long portfolio represents the most attractive decile of the scoring universe while the short portfolio represents the lowest decile. The Index encompasses a volatility target of 9%.The SGI WISE Long/Short Vol Target 9% (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.