SGI WISE US Top aims at outperforming the US equities market by picking S&P 500 members that exhibit high Value and Momentum style according to the WISE US Model.
The index is rebalanced on a monthly basis using a series of 12 criteria. The Index aggregates last 12 selections to make a diversified yet representative selection of US equities.
Each month, the members of the S&P 500 are screened by the Quantitative Research Team of Société Générale using 12 criteria that represent Value and Momentum styles: the 12 scores are summed and determine the WISE US Score for each stock. The Top 10% stocks make the selection for the month. The Index is the aggregation of the last 12 selections with a liquidity threshold, as the scores were designed to exhibit best predictive quality on a 12-month time horizon.