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