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SGI Global Value Beta Hedged Index

Index level: 1027.91 as of 17/08/2017

Main characteristics

Bloomberg Code SGVBNH
Inception Date 04/08/2014
Return Type Excess Return
Currency EUR
CALCULATED_BY Solactive

Objective

The SGI Global Value Beta Hedged Index aims to replicate a long position in the SG Global Value Beta Net Total Return Index ( Index), beta-hedged with a short position in MSCI World Net Total Return Euro Index, i.e. the Benchmark. The Value Beta strategy aims to track a portfolio of companies selected on their cheap prices and their ability to provide a high price appreciation stream to their owners in the future, according to a model developed by SG’s Quant Research Department.

Mechanism

The Index takes long position in the SG Global Quality value 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 Value Beta 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%.


SGI Global Value Beta Hedged Index (the “Index”) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.
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