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SGI WISE JAPAN Long/Short Vol Target

Index level: Index level is not available

Main characteristics

Bloomberg Code SGIXWJVT
Inception Date 25/05/2009
Return Type Excess Return
Currency JPY
CALCULATED_BY Markit

Objective

SGI WISE Japan Long/Short Vol Target 10 % is an index reflecting the performance of a combination of long and short positions in a selection of Japanese stocks. The underlying stock selection process is based on the WISE Japan model, a proprietary model developed by the Société Générale Quantitative Research team. Moreover this index benefits from the Vol Target mechanism which allows a dynamic risk monitoring of the index fixing its realized volatility at 10%.

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 encompasses a volatility target of 10%. When realized volatility falls below this target level, the exposure to the long/short position will increase above 100% of the previous index's level (up to 150%) to keep the level of volatility constant at 10%. When the volatility of the strategy rises above the pre-defined target, the Index will de-leverage its exposure to the underlying long/short strategy.


The SGI WISE JAPAN Long/Short Vol Target 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 Vol Target 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 Vol Target. 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 Vol Target.
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