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SGI European Low Beta Hedged Index

Index level: 2097.42 as of 24/05/2017

Main characteristics

Bloomberg Code SGLVENH
Inception Date 01/09/2015
Return Type Excess Return
Currency EUR
CALCULATED_BY Stoxx

Objective

The SGI European Low Vol Beta Hedged aims to replicate a long position in the iSTOXX Low Variance Weighted 120 Index (ISLVIR Index), beta-hedged with a short position in STOXX Europe 600 Net Total Return Index, i.e. the Benchmark.

Mechanism

Beta hedging allows to extract the outperformance of the iSTOXX Low Variance Weighted 120 Index vs. its Benchmark.

The Index is rebalanced monthly according to a systematic model that selects the 120 lowest volatility stocks under criteria of liquidity.




The SGI European Low Vol Beta Hedged is calculated and maintained by STOXX Limited, Zurich, Switzerland, specifically for SG.

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