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SGI WISE US Vol Target 8%

Index level: 98.90 as of 04/10/2017

Main characteristics

Bloomberg code SGIXWUVT
Inception date 10/01/2008
Return type Excess Return
Currency USD

Objective

The SGI WISE US Vol Target 8% (USD-Excess Return) Index (the Index) began publishing on October 1, 2008 at a level of 100. The performance of the Index is based, in part, on the performance of the SGI WISE US Long/Short (USD-Excess Return) Index (the Long/Short Index), and is adjusted as described in the Index Rules for the Index. The Index varies its exposure to the Long/Short Index on a daily basis depending on the historical volatility of the Long/Short Index.

Mechanism

The Long/Short 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 then varies its exposure to the Long/Short Index depending on the historical volatility of the Long/Short Index as compared to a Target Volatility of 8%. If the historical volatility is greater or less than 8,% the Index increases or decreases its
exposure to the Long/Short Index, respectively with a cap of 150% on exposure and a floor of 0% on exposure.


The SGI WISE US Vol Target 8% (USD-Excess Return) Index began publishing on October 1, 2008. Therefore, all data for the Index for the period prior to October 1, 2008 represent Standard & Poor's ("S&P"’s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to October 1, 2008 consistent with the Index methodology. Results prior to October 1, 2008 may have been different had the Index actually been in existence. The SGI WISE US Vol Target 8% 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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