The SGI EFS 130/30 Europe Index aims to track the performance of a hypothetical long/short basket of European stocks based on market cap using the Equal Factor Sensitivity methodology.
The Index identifies and ranks the main sources of directional risk of the equities in the investment universe using Principal Component Analysis (PCA).
• PCA is a statistical technique that dynamically identifies the potentially most relevant sources of risk and ranks them in decreasing order of importance\
• PCA provides independent sources of risk (hedging one risk away does not change the portfolio’s exposure to the other risks)
The Index then chooses weights based on the allocation of the same amount of variance to each risk factor, together with taking into account usual portfolio management constraints (130/30, monthly rebalancing…)
The SGI EFS 130/30 Europe Index began publishing on September 4th, 2012. Therefore, all data for the Index for the period prior to September 4th, 2012 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to September 4th, 2012 consistent with the Index methodology. Results prior to September 4th, 2012 may have been different had the Index actually been in existence. The SGI EFS 130/30 Europe Index (the “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.