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Europe Multi-ERP Index

Index level: 518.91 as of 12/13/2018

Main characteristics

Bloomberg code SGBVWEPH
Inception date 07/01/2016
Return type Excess Return
Currency EUR
Calculated by Bloomberg

Objective

The Europe Multi ERP Index is a systematic rules-based index that tracks a basket of equity sub-indices providing synthetic exposure to the main equity factors (Quality, Value, Profitability, Low Vol, and Momentum), coupled with the market neutrality mechanism.

Mechanism

  • The composition and allocation of the Underlying Basket is systematically adjusted on a monthly basis with an inverse volatility methodology. The resulting weightings are applied to the Index components so as to determine the composition of the Underlying Basket.
  • Monthly Volatility Target of 8%. When the realized volatility exceeds the target, exposure will generally be less than 100%. When the realized volatility falls below the target, exposure will be greater than 100%. 

Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with Société Générale and do not approve, endorse, review, or recommend the Index. Bloomberg is a trademark or service mark of Bloomberg Finance L.P. and has been licensed to Société Générale. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the Index and disclaims any and all liability for any loss or damage of any kind arising out of the use of the Index.

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