SGI WISE US Vol Target 8% aims representing the added value extracted from the US equities market by picking S&P 500 members that exhibit high Value and Momentum style according to the WISE US Model: in effect, the Index represents a long position in the SGI WISE US Top index and a short position in the SGI WISE US Bottom index. Moreover this index benefits from the Vol Target mechanism which allows dynamic risk monitoring of the index fixing its realized volatility at 8%.
The Long/Short Index reflects long and short positions in certain stocks of the S&P 500® Index (the S&P 500) by tracking the outperformance of the SGI WISE US Top Index (Top Index) over the SGI WISE US Bottom Index (Bottom Index). By taking short
positions in the Bottom Index and long positions in the Top Index, the Index seeks to pursue a Market Neutral strategy which aims to mitigate the effect of market conditions.
- Components of the Top and Bottom Indices are selected using the WISE Model, a proprietary model developed by Société Générale that ranks the S&P 500 stocks according to 12 scoring criteria, including valuation, price momentum, market short interest, price and volatility.
- Each month, the stocks ranked in the top 10th percentile according to the WISE Model are generally included in the Top Index and the stocks in the bottom 10th percentile are generally included in the Bottom Index.
The Index then varies its exposure to the Long/Short Index depending on the historical volatility of the Long/Short Index as compared to a Target Volatility of 8%. If the historical volatility is greater or less than 8,% the Index increases or decreases its
exposure to the Long/Short Index, respectively with a cap of 150% on exposure and a floor of 0% on exposure.