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Main characteristics

Bloomberg Code SGIXWJLS
Inception Date 06/04/2009
Return Type Excess Return
Currency JPY
CALCULATED_BY Markit

Objective

SGI WISE Japan Long/Short seeks to deliver returns uncorrelated to the broad market, using long and short positions on stocks.

Mechanism

The eligible universe is the result of a selection of shares listed in the first section of the Tokyo Stock Exchange. Every month, the model screens all selected stocks using liquidity and market capitalization thresholds. Each stock receives ten score reflecting value, momentum and quality criteria. The long portfolio represents the top 20% WISE scores while the short portfolio represents the bottom 20% scores. The index is calculated and published by Markit.


The SGI WISE JAPAN Long/Short is administered and calculated by Markit. For more information, see www.markit.com. Markit makes no representation and expressly disclaims all warranties of accuracy, merchantability or fitness for a particular purpose or use with respect to SGI WISE JAPAN Long/Short or any data included therein, or any data from which it is based or as to results to be obtained from the use of the SGI WISE JAPAN Long/Short. Markit does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by Societe Generale or third parties and that seeks to provide an investment return based on the returns of the SGI WISE JAPAN Long/Short.
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