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SG Japan Quality Income Beta Adjusted Index

Index level: 840.62 as of 18/07/2019

Main characteristics

Bloomberg Code SGQJEBA
Inception Date 18/01/2018
Return Type Excess Return
Currency JPY
Calculated By Singapore Exchange Limited

Objective

The  SG Japan Quality Income Beta Adjusted Index aims to replicate a long position in the SG Japan Quality Income Index, beta-hedged with a short position in the TOPIX Total Return Index, i.e. the Benchmark.

The SG Japan Quality Income Index aims to track a portfolio of Japanese stocks based 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.

Mechanism

The Index takes a leveraged long position in the Smart Beta Index with the aim to obtain a similar beta exposure as the Benchmark. The exposure to the Smart Beta Index is determined on a monthly basis by the Index Calculation Agent through a linear regression of the Smart Beta Index versus the Benchmark. The regression is performed on 3-day returns over a period of 120 Calculation Dates on the 8 th Calculation Date of every month.

The exposure to the Smart Beta Index is constrained to be greater than 50% and lower than 200%.


The SG Japan Equity Quality Income Beta Adjusted Index (“Custom Index”), is the property of Société Générale. Singapore Exchange Limited and its affiliates (the “ SGX Group Companies”) each expressly excludes any guarantee, warranty, condition, term, undertaking or representation of any kind, express or implied, statutory or otherwise, in relation to the Custom Indices, the methodology and the components of a Custom Index which may include, but is not limited to, constituent level data such as futures prices, shares outstanding, investable weight factor, and fundamental data such as price/earnings ratios and/or other financial ratio, including calculation of the Custom Indices (“ Underlying Data”) or values of the Custom Indices (“ Index Values”). In no event whatsoever shall any of the SGX Group Companies be liable or responsible for any damages or loss of any kind, even if they have been advised of the possibility of such damages or loss, whether in contract, tort (including negligence), strict liability or otherwise and whether direct, indirect, special, incidental, punitive, consequential, economic loss or any kind (including but not limited to loss of profit, loss of reputation, loss of opportunity, or lost time or goodwill), suffered or incurred by any person from the use or reliance of the Custom Indices, Underlying Data or Index Values.

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