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SGI PH Prftblty Factor Europe Index

Index level: 110.07 as of 05/25/2017

Main characteristics

Bloomberg code SGBVPHPE
Inception date 02/25/2016
Return type Net Return
Currency EUR
Calculated by Bloomberg

Objective

The SGI PH Prftblty Factor Europe Index aims to track a basket of profitable stocks embedded in STOXX Europe 600 Index and uses a hedging mechanism to provide a market neutral exposure

Mechanism

LONG LEG: 

The Profitability scoring is based upon (relative to sector) :

 • The 12-month Trailing Return-on-Asset ratio (ROA)

 • The 12-month Trailing Return-on-Equity ratio (ROE)

 • The 12-month Trailing Return-on-Invested Capital ratio (ROIC)

 • The 12-month Trailing Gross Profitability to assets ratio (GPO)

 

SHORT LEG:

Hedging mechanism

The hedging mechanism identifies and ranks the main sources of directional risk of the Equity market.

• The hedging mechanism provides a statistical technique that dynamically identifies the most relevant sources of risk and rank them in decreasing order of importance

• It provides independent sources of risk (hedging one risk away does not change the portfolio’s exposure to the other risks)


The SGI PH Prftblty Factor Europe Index (the “Index”) was launched on February 25th, 2016. Therefore, all data for the Index prior to February 25th, 2016 represent an application by Solactive A.G. of the index methodology in order to reconstruct hypothetical historical data. Results during these periods may have been different (perhaps considerably) had the Index actually been in existence. The SGI PH Prftblty Factor Europe 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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