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The SGI Global Quality Income Beta Hedged aims to replicate a long position in the SG Global Quality Income Net Total Return Index ( Index), beta-hedged with a short position in MSCI World Net Total Return Euro Index, i.e. the Benchmark.
The Quality Income strategy aims to track a portfolio of companies selected solely on the basis of their ability to provide a high quality income stream to their owners, according to a model developed by SG’s Quant Research Department.
The Index takes a long position in the SG Global Quality Income Net Total Return Index, beta-hedged with a short position in MSCI World Net Total Return Euro Index. The short exposure to the Benchmark is determined on a monthly basis through linear regression of the SG Global Quality Income Net Total Return Index vs. the MSCI World Net Total Return Euro Index. The regression is performed on 3-day returns over a period of 120 calculation dates.The exposure to the Benchmark is constrained to be greater than -150% and lower than -50%.