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Main characteristics

Bloomberg code SGVBNTR
Inception date 11/20/2013
Return type Net Return
Currency EUR

Objective

The SG Global Value Beta Net Total Return Index (the “Index”) aims to track the performance of a hypothetical global basket of listed shares which exhibit a positive value bias. The methodology consists of ranking stocks based on their global sector relative valuation metrics, as not only has this demonstrated potentially better risk-adjusted returns, but it also makes more intuitive sense to compare companies within the same sector.

Mechanism

The stocks are chosen from a universe of global developed market companies with free float market capitalization of US$1bn or more at today’s price, and where average daily volume has exceeded US$3mn over the past six months. Stocks are ranked relative to their sector peers on the basis of valuation. The values are calculated using the equal-weighted quintile score of a set of five traditional value factors, which have all been associated with positive returns in academic literature: (i) Book to Price Factor, (ii) Earnings to Price Factor, (iii) One Year forward Earnings to Price Factor, (iv) EBITDA to Enterprise Value Factor, (v) Free Cash Flow to Price Factor. The Index consists of an equal-weighted basket of the EUR Net Total Return with cheapest 200 stocks based on the above value score.


The SGI Global Value Beta Net Total Return Index (the “Index”) was launched on November 20th, 2013. Therefore, all data for the Index prior to November 20th, 2013 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 SG Global Value Beta Net Total Return 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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