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.
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%.