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SGI Systematic Merger Arbitrage

Index level: 207.81 as of 24/05/2017

Main characteristics

Bloomberg Code SGIXSMA
Inception Date 10/06/2014
Return Type Total Return
Currency USD


The SGI Systematic Merger Arbitrage Index aims to take benefits from publicly announced merger deals. When a publicly traded company is subject to a takeover, there may be a spread between the offer price (price to be paid at closing by the acquirer, generally higher than the current trading price to make shareholders sell their shares) and the trading price post-announcement of the deal. This index aims to capture this spread.


Once the eligible publicly announced merger deals have been identified, the SGI Systematic Merger Arbitrage Index takes a long position in shares of the target company (according to a score determined from a purely quantitative and systematic model) and maintain such position either until the deal closes and the target company shares are paid the offer price from the acquirer, or until the deal terminates (i.e. the deal fails to close). Furthermore, if the deal terms include a payment in the acquirer shares, the strategy will take a short position on the stock of the acquirer.

The SGI Systematic Merger Arbitrage Index (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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