Main characteristics
| Bloomberg Code | SGLVENH |
|---|---|
| Inception Date | 01/09/2015 |
| Return Type | Excess Return |
| Currency | EUR |
| Calculated By |
|
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.