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SGI Merger Arbitrage Premia Index

Index level: 213.46 as of 12/12/2017

Main characteristics

Bloomberg Code SGIXQMA2
Inception Date 31/01/2017
Return Type Total Return
Currency USD
CALCULATED_BY S&P Dow Jones
COMPOSED_BY Lutetia Capital

Objective

The SGI Merger Arbitrage Premia Index seeks to extract yield through taking positions in announced merger deals in North America and Western Europe selected by Lutetia Capital Investment Advisors, the Index Advisor.

Mechanism

The index captures a spread between the offer price (price to be paid at closing by the acquirer) and the trading price post-announcement of the deal. This index use a quantitative algorithm based on knowledge of merger transactions from Lutetia Capital, the Index Advisor. The basket components are involved in friendly or hostile merger deals.


The SGI Merger Arbitrage Premia (The “Index”) is the sole and exclusive property of Société Générale (“SG”). SG has contracted with 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 trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). “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 Indices.

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