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%.
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.