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Main characteristics

Bloomberg Code SGVBNTR
Inception Date 20/11/2013
Return Type Net Return
Currency EUR
CALCULATED_BY Solactive

Objective

The SG Global Value Beta Index aims to track the performance of a global basket of listed shares which exhibit a positive value bias. The methodology consists of ranking stocks based on their global sector relative valuation metrics, as not only has this demonstrated better risk-adjusted returns, but it also makes more intuitive sense to compare companies within the same sector.

Mechanism

The stocks are chosen from a universe of global developed market companies with a free float market capitalization of US$1bn or more at today’s price, and where average daily volume has exceeded US$3mn over the past six months. Stocks are ranked relative to their sector peers on the basis of valuation. The value are calculated using the equal-weighted quintile score of a set of five traditional value factors, which have all been associated with positive returns in academic literature: Book to Price Factor, Earnings to Price Factor, One Year forward Earnings to Price Factor, EBITDA to Enterprise Value Factor, Free Cash Flow to Price Factor. After that the index consists of an equal-weighted basket of the cheapest 200 stocks based on the above value score.


SG Global Value 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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