SGI Methodologies
Our indices follow a set of common rules in a move to make the indices fully transparent, but also fully investable by reducing uncertainity and thus operationnal and market risks associated with ordinary and exceptional events.
Equity Indices
The Equity Indices are indices designed to reflect the performance of a basket of equities; such indices are always managed in a three layer manner: The first layer is the selection layer, where potential index members are screened for relevance in entering the Index. The second layer is the allocation layer, where index members are weighted according either to their market value with free float and capping adjustments, or are weighted according to a fundamental scoring.
The third layer is the calculation in itself: weights and adjustments are transformed into a number of shares; index level is computed using a classical Laspeyres framework; ongoing maintenance is performed on a daily basis by our Index Calculation Agents using the rules set out in the methodology.
Equity Index Methodology
Index News
SGI Announcements
SGI Indices
SGI Fed Model US
The SGI Fed Model US tracks the performance of a portfolio invested in US bonds and equities. Investment exposure in equities may vary from 0 to 100% over time depending on their valuation relative to the bond market. The equity valuation metrics is the 12 month-forward earnings yield, a widely recognized equity valuation indicator while the bond valuation is determined by the 10 Govt Bond Index US. The SGI Fed Model US uses the difference between the earnings yield and the bond yield to define its allocation. There are three possible cases: a full exposure to equities, a full exposure to bonds and a mix between bonds and equities. The index is rebalanced on a monthly basis.
SGI Fed Model US Downloads
SGI 5Y Synthetic AAA Bond US
The SGI 5Y Synthetic AAA Bond US tracks the performance of a portfolio invested in US AAA bonds with a 5-year constant maturity. The index series will consist of replicating a constant maturity investment in AAA bonds with a monthly roll using inter-bank swap rates.
SGI 5Y Synthetic AAA Bond US Downloads
SGI Enhanced BuyWrite US Index
The SGI Enhanced BuyWrite US is an index designed to track the performance
of an enhanced covered call strategy on the S&P 500 Total Return. The Index
combines the purchase of a passive equity index investment in the S&P 500
with the selling of the near-term call option on the S&P 500. The written
call option is either in-the-money or out-the-money depending on the value
of a trend indicator. If the trend Indicator sends a bearish signal, the
call option to be sold is in-the-money, and conversely, if it sends a
bullish signal, then the call option deemed to be sold is out-of-the-money.
As a result, the SGI Enhanced BuyWrite US combines the advantages of a
classic covered call strategy with a strike optimization depending on
market trends, which significantly improves the performance of the index,
notably in bearish markets.
SGI Enhanced BuyWrite US Index Download
SGI Vol Target BRIC Index
The SGI Vol Target BRIC aims at out-performing the S&P BRIC 40 (TR) index benchmark through an allocation between risky (S&P BRIC 40) and ash (US Libor1-month) assets. The index is designed to keep the risk evel, measured by the realized volatility, close to a pre-defined target set at 18%. To achieve that purpose, the index can then be leveraged up to 200% when the S&P BRIC 40 realized volatility is lower than the target or de-leveraged when it rises above to keep the volatility unchanged. Thus, the index takes profit of the relation between bear markets and rising volatility observed in BRIC markets. The index is subject to a replication fee of 0.50% per annum calculated on the Index level.
SGI Vol Target BRIC Index Download
SGI Global Waste Management Index
SGI Global Waste Management attempts to capture the total return
performance of stocks issued by companies which have a significant part of
their activities dedicated to the collection, transport, processing and
recycling or disposal of waste.
SGI Global Waste Management Index Download
SGI Global Security Index
SGI Global Security attempts to capture the total return performance of stocks issued by companies which have a significant part of their activities dedicated to the security businesses, both physical (eg. guarding, asset tagging, biometrics, prison management) and technological (eg. internet security).
SGI Global Security Index Download
SGI Global Wealth Effect Index
SGI Global Wealth Effect attempts to capture the total return performance of stocks issued by companies which are the most exposed to the steadily increasing number of high net worth individuals globally while reflecting the fact that high-end spending patterns are shifting into more experiential (such as Travel, Fine Dining, Health, Nutrition and Beauty) as well as the more traditional ‘status related’ items such as Watches, Jewelry and Accessories.
SGI Global Wealth Effect Index Download
SGI Alternative Beta Index
SGI Alternative Beta attempts to offer a liquid and transparent exposure to the performance of the hedge funds industry as a whole. The philosophy of the Index lies on the assumption that the behavior of a basket of hedge funds, well-diversified among types of strategies and geographies, can be mathematically replicated by using models commonly mentioned in academic literature as “factor models”. Being a dynamic combination of daily tradable and fully disclosed indices, the Index aims at circumventing traditional limitations of the hedge funds industry, such as a low liquidity, a limited transparency, and a high level of management fees.
The Index is rebalanced on a monthly basis pursuant to a process-driven methodology and a programming algorithm. A dynamic leverage policy is also implemented in order to reduce (respectively increase) the exposure of the Index to its target constituents in case of an increase(respectively decrease) of the on-going 1-month historical volatility of the Index.
SGI Alternative Beta Index Download
SGI Global Human Resources Index
SGI Global Human Resources attempts to capture the total return performance of stocks issued by companies which provide human resources services.
SGI Global Human Resources Index Download
SGI Global Seniors Index
SGI Global Seniors attempts to capture the total return performance of stocks issued by companies which are expected to benefit the most from the increasing ageing of the World population.p>
SGI Global Seniors Index Download
SGI Wise Long Index
The SGI Wise Long tracks the performance of a selection of 12 portfolios of Pan-European shares picked according to the “Wise Model”, a proprietary model developed by the Equity Research Department of Société Générale.
The Index is the sum of 12 net total return investable portfolios (each a “Wise Long Portfolio”), each being totally reviewed once a year on a different month. Every month, the composition of the relevant Wise Long Portfolio is updated with the shares selected among a universe of up to 600 shares according to the Wise Model: shares are ranked from 1 to 10 according to 8 criteria (4 value criteria, 4 momentum criteria) and the resulting Wise Long Portfolio consists of the top decile shares from this scoring, each share having the same weight.
SGI Wise Long Index Download
SGI Wise Long/Short Index
The SGI Wise Long/Short provides the excess return of (i) a long investment in the SGI Wise Long and (ii) a short investment in the SGI Wise Short.
Constituents of both the SGI Wise Long and SGI Wise Short are selected according to a process-driven selection developed by the Société Générale Cross Asset Research using a scoring method based on value and momentum criteria.
SGI Wise Long/Short Index Download
SGI Global Generics
SGI Global Generics attempts to capture the total return performance of stocks issued by companies active predominantly in the generic pharmaceuticals industry.
SGI Global Generics Download
SGI Global Nanotechnology
SGI Global Nanotechnology attempts to capture the total return performance of stocks issued by companies significantly active in nanotechnology.
SGI Global Nanotechnology Download
SGI European Credit
The SGI European Credit Index gives leveraged exposure to the credit spread evolution of European investment grade corporate names through a systematic methodology. Investing in the SGI European Credit results in the investor selling protection on the underlying corporate names'
credit risk in return for the protection premium.
SGI European Credit Download
SGI Fed Model US Invest
The SGI Fed Model US Invest tracks the performance of a portfolio invested in US bonds and equities. Investment exposure in equities may vary from 0 to 100% over time depending on their valuation relative to the bond market. The equity valuation metrics is the 12 month-forward earnings yield, a widely recognized equity valuation indicator while the
bond valuation is determined by the 10 Govt Bond Index US. The SGI Fed Model US Invest uses the difference between the earnings yield and the bond yield to define its allocation. There are three possible cases: a full exposure to equities, a full exposure to bonds and a mix between bonds and equities. The index is rebalanced on a monthly basis and is subject to a replication fee of 1.75% per annum calculated on the Index level.
SGI Fed Model US Invest Download
SGI Vol Target BRIC Invest
The SGI Vol Target BRIC aims at out-performing the S&P BRIC 40 (TR) index benchmark through an allocation between risky (S&P BRIC 40) and cash (US Libor1-month) assets. The index is designed to keep the risk
level, measured by the realized volatility, close to a pre-defined target set at 18%. To achieve that purpose, the index can then be leveraged up to 200% when the S&P BRIC 40 realized volatility is lower than the target or de-leveraged when it rises above to keep the volatility unchanged. Thus, the index takes profit of the relation between bear markets and rising volatility observed in BRIC markets. The index is subject to a replication fee of 1.75% per annum calculated on the Index level.
SGI Vol Target BRIC Invest Download
Multigesti Dynamique Index
The Multigesti Dynamique Index is designed to produce a better risk-return ratio than a basket of mutual funds (the “Underlying Basket”). The Index is constructed pursuant to a systematic rebalancing process between (a)the Underlying Basket, (b)a theoretical deposit based on the 1-month interbank offered rate for deposits in EURO (the “EURIBOR Rate”) and (c)a theoretical borrowing based on the EURIBOR Rate used to optimize, under certain circumstances, the exposure to the Underlying Basket while keeping the risk level of the Index, measured by the historical volatility of the Underlying Basket, close to a pre-defined target level. The exposure to the Underlying Basket, through the use of the theoretical borrowing, is bounded between a minimum of 20% and a maximum of 200% of the level of the Index.
Multigesti Dynamique Index Downloads
SGI Molybdenum
SGI Molybdenum attempts to capture the total return performance of stocks issued by companies exploring for, mining or processing Molybdenum.
SGI Molybdenum Downloads
SGI Global Carbon
SGI Carbon attempts to capture the performance of stocks issued by companies offering the lower Corporate Carbon Intensity, defined as the quantity of carbon embedded in products and services sold by the company divided by the monetary value company sales. Stocks are selected in manufacturing sectors exhibiting a high level of carbon intensity, including capital goods, transportation, energy, utilities and materials. The Index is calculated and published by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc and the selection of the constituents is conducted by Centre Info SA ("Centre Info") – a research firm specialised in sustainable investments.
SGI Global Carbon Downloads
SGI Global Momentum
The SGI Global Momentum exploit trading momentum strategies based on empirical evidence that best performing assets may continue to rise over a short period of time. The index universe consists in ten shares of exchange traded funds in diversified assets including developped market equities, emerging equities, listed private equity, bonds and commodities.
SGI Global Momentum Downloads
SGI Global Agriculture
SGI Global Agriculture attempts to capture the total return performance of stocks issued by companies which produce, process and distribute agricultural and livestock commodities, products, chemicals, equipment and supplies.
SGI Global Agriculture Downloads
SGI Global Innovex
SGI Innovex attempts to capture the performance of stocks issued by companies significantly active in the field of environmental technologies, with the aim to generate additional alpha. The Index is calculated and published by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc and the selection of Index constituents is conducted by Innovest Strategic Value Advisors, a research firm specialised in sustainable investments.
SGI Global Innovex Downloads
SGI Vol Premium US
The SGI Vol Premium US tries to capture the spread between implied and realized volatility on the S&P 500 by rolling 1M variance swaps.
SGI Vol Premium US
SGI Orbeo Carbon Credit
The SGI Orbeo Carbon Credit Index tracks the performance of carbon credits issued in the major trading schemes put in place to regulate greenhouse gases emissions. The Index tries to capture the daily performance of carbon credit prices traded in exchanges.
SGI Orbeo Carbon Credit Index Downloads
SGI Wise Nordics
The SGI WISE Nordics tracks the performance of the SGI Wise Nordics Long/Short with a variable leverage applied to maintain its realized volatility within reasonable levels. The Index uses a systematic mechanism which keeps the risk level of the Index, measured by the historical volatility of the Underlying Index, close to a pre-defined target level. The exposure to the Underlying Index can reach a maximum of 130% of the level of the Index. When the highest 1-month historical volatility of the Underlying Index observed over the past 10 calculation dates (the “Control Volatility”) increases, the exposure to the Underlying Index decreases; symmetrically, when the Control Volatility decreases, the exposure to the Underlying Index increases. If the Control Volatility decreases below the pre-defined target level,
the exposure to the Underlying Index will be able to increase up to a maximum of 130% of the level of the Index. The Index is subject to a transaction cost calculated on the actual variation of the exposure of the Index to the Underlying Index following any change in the exposure of the Index to the Underlying Index.
SGI Wise Nordics Index Downloads
SGI Wise Nordics Top
The SGI Wise Nordics Top tracks the performance of a selection of 12 portfolios of Nordic shares picked according to the “WISE Model”, a proprietary model developed by the Equity Research Department of Société Générale.
SGI Wise Nordics Top Index Downloads
SGI Wise US Long Short
The SGI Wise US Long/Short provides the excess return of (i) a long investment in the SGI Wise US Top Net Total Return Index(Bloomberg ticker: SGIXWUT
) and (ii) a short investment in the SGI WISE US Bottom Gross Return Index (Bloomberg ticker: SGIXWUB ). Constituents of both the SGI WISE US Top and SGI WISE US Bottom are selected according to a process-driven selection developed by Société Générale Cross Asset Research department using a scoring methodology, based on valuation, momentum, profitability, affordability, and smart money criteria.
SGI Wise US Long Index Downloads
SGI Wise US Top
The SGI Wise US Top (the “Index”) tracks the performance of a selection of 12 portfolios of US shares picked according to the “WISE Model’ (the “Model”), a proprietary model developed by the Equity Research Department of Société Générale (the “Index Sponsor”).
SGI Wise US Top Index Downloads
SGI Brent Short
The SGI Short Brent represents a systematic open end strategy that reflects the inverse performance of the nearby ICE Brent Futures Contract (Brent Future).
SGI Brent Short Index Downloads
SGI Map
The SGI Multi Asset Portfolio tracks the performance of a strategic allocation over several asset classes selected and weighted using fundamental inputs, long-term normative valuation tools and a quantitative process.
SGI Map Downloads
SGI Pan Africa
The SGI Pan Africa attempts to capture the performance of stocks listed in Africa or predominantly exploring African assets. The index is evenly exposed to three zones: South-Africa, Northern Africa including Morocco and Egypt and Sub-Sahara excluding South-Africa.
SGI Pan Africa Downloads
SGI MAP Dynamique 15%
Le SGI Map Dynamique 15% est un indice repliquant la performance d'un portefeuille investi (i) dans l'indice SGI Map et (ii) une poche monetaire. L'exposition au SGI Map est determinee de maniere a maintenir la volatilite de l'indice proche du niveau de volatilite cible (15%). Cette exposition est comprise entre 0% et 150%.
SGI MAP Dynamique Downloads
QuAM Dynamique 15
The index aims at capturing the performance of a basket comprised by (i) a cash component and (ii) a long investment in a mutual funds. The funds exposure is given by a vol target mechanism.
QuAM Dynamique 15 Downloads
Multigesti Dynamique 2 Index
The Multigesti Dynamique 2 Index is designed to produce a better risk-return ratio than a basket of mutual funds. The Index is constructed pursuant to a systematic rebalancing process between (a) the Underlying Basket, (b) a theoretical deposit based on the 1-month interbank offered rate for deposits in EURO and (c) a theoretical borrowing based on the EURIBOR Rate used to optimize, under certain circumstances, the exposure to the Underlying Basket while keeping the risk level of the Index, measured by the historical volatility of the Underlying Basket, close to a pre-defined target level. The exposure to the Underlying Basket, through the use of the theoretical borrowing, is bounded between a minimum of 0% and a maximum of 300% of the level of the Index.
Multigesti Dynamique 2 Index Downloads
BRIC Balance 18%
BRIC Balance 18% Index Downloads
US Balance 14%
US Balance 14% Index Downloads
SGI Emerald Statistical Arbitrage
The SGI Emerald Statistical Arbitrage provides a dynamic exposure to an equally weighted basket of several statistical arbitrage sub-indices. The Sub-Indices are classified in 3 main programs (pure quantitative, systematic fundamental and artificial intelligence) and use only liquid European stocks and index futures listed on European exchanges.
SGI Emerald Statistical Arbitrage Downloads
The SGI Smart Market Neutral Commodity Index
The SGI Smart Market Neutral Commodity Index is designed to be exposed to
the performance
of the SGI Market Neutral Commodity Index while aiming to maintain the
level of volatility of such Index at or close to a pre-determined level. The control of such volatility is attempted by periodically and
systematically adjusting the exposure of the Index to the Underlying Index based on the
volatility of the Underlying Index.
SGI Smart Market Neutral Commodity Downloads
The SGI Market Neutral Commodity Index
The SGI Market Neutral Commodity Index tracks the performance of a systematic long/short strategy, where the long position is made up of
semi-dynamic, excess return commodity indices, and the short position is made up of standard
excess return commodity indices.
SGI Market Neutral Commodity Downloads
The SGI Smart WTI Long
The SGI Smart WTI Long reflects the net performance
of a dynamic model-driven strategy based on WTI Futures contracts with the
aim to generate
an enhanced return compared to static WTI benchmark indices.
SGI Smart WTI Long Downloads
