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Main characteristics

Bloomberg code SGIXWULS
Inception date 03/31/2008
Return type Excess Return
Currency USD

Objective

The SGI WISE US Long/Short (USD-Excess Return) Index (the Index) began publishing on March 31, 2008, and the level of the Index was set at 1,000 as of February 6, 2008. The Index reflects long and short positions in certain of the stocks of the S&P 500® Index (the S&P 500).

Mechanism

The Index reflects long and short positions in certain stocks of the S&P 500® Index (the S&P 500) by tracking the outperformance of the SGI WISE US Top Index (Top Index) over the SGI WISE US Bottom Index (Bottom Index). By taking short positions in the
Bottom Index and long positions in the Top Index, the Index seeks to pursue a Market Neutral strategy which aims to mitigate the effect of market conditions.
 
- Components of the Top and Bottom Indices are selected using the WISE Model, a proprietary model developed by Société Générale that ranks the S&P 500 stocks according to 12 scoring criteria, including valuation, price momentum, market short interest, price and volatility.
 
- Each month, the stocks ranked in the top 10th percentile according to the WISE Model are generally included in the Top Index and the stocks in the bottom 10th percentile are generally included in the Bottom Index.
 
The Index is rebalanced on a yearly basis so that it is equally exposed to each of the Top Index and the Bottom Index.


The SGI WISE US Long/Short (USD-Excess Return) Index began publishing on March 31, 2008. Therefore, all data for the Index for the period prior to March 31, 2008 represents Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to March 31, 2008 consistent with the Index methodology. Results prior to March 31, 2008 may have been different had the Index actually been in existence. The SGI WISE US Long/Short 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.
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