Société Générale Index has launched the SGI WISE family of indices, based on the proprietary WISE quantitative model which uses the behavioural biases of investors to asses
Société Générale Index has launched the SGI WISE family of indices, based on the proprietary WISE quantitative model which uses the behavioural biases of investors to assess the relative attractiveness of each stock in the universe.
Part of the α-research range covering traditional investment markets, the WISE model was developed in 2000 by the quant research team of Société Générale Corporate & Investment Banking and aims to outperform European equity markets.
SG Index has developed three indices based on the WISE Model. The SGI WISE Long index is composed of long investments on pan-European equities with a 12-month perspective. The main objective of SGI WISE Long is to select the best performing stocks in order to outperform European equity markets.
The SGI WISE Short index has the opposite approach, being composed of short investments and aiming to offer short exposure to the worst performing European stocks. The SGI WISE Long/Short index comprises both long and short indices, meaning it is uncorrelated to equity markets and delivers performance regardless of market trends. It aims to deliver stable absolute returns with low volatility.
Components of the indices are progressively re-allocated over time according to a scoring methodology from Société Générale Corporate & Investment Banking. The SGI WISE Long and SGI WISE Short indices are made up of 12 different buckets, each rebalanced annually at its anniversary date. The oldest selection is then replaced by the latest selection and all buckets are rebalanced fully over a 12-month period. SGI WISE Long/Short is therefore made up of 24 different buckets.
The SGI indices can be replicated using tracker funds such as exchange-traded funds and through Société Générale certificates, and investments can also be made using structured products. Société Générale is responsible for the selection of the index components, with Standard & Poor’s as the index calculator.
Société Générale Index draws on Société Générale’s strength in equity derivatives activities and aims to provide both systematic strategy indices and thematic indices offering access to new asset classes.
The α-research indices are discretionary and/or quantitative indices based on Société Générale’s own research, whose objective is to outperform traditional reference indices. The β-research indices aim to reflect high potential investment universes that are difficult to access via traditional indices.