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SGI Systematic Merger Arbitrage

Index level: 202.81 as of 03/28/2017

Main characteristics

Bloomberg code SGIXSMA
Inception date 06/10/2014
Return type Total Return
Currency USD
Calculated by S&P Dow Jones

Objective

The SGI Systematic Merger Arbitrage Index tracks hypothetical positions in shares of the target company, which are listed on an exchange in certain countries in North America or Europe, and are involved in merger deals, based on a systematic model that aims to capture the spread between the deal offer value per share of the target company and the actual trading price of such company share. 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.

Mechanism

The SGI Systematic Merger Arbitrage Index is based on a scoring model that filters all announced transactions on public companies within the designated geographic areas. The Index aims to take positions in deals with the highest completion probability and risk/reward profile


The SGI Systematic Merger Arbitrage Index began publishing on June 10th, 2015. Therefore, all data for the Index for the period prior to June 10th, 2015 represent S&P Dow Jones ("S&P DJ"s) application of the Index methodology in order to reconstruct hypothetical historical data for the period prior to June 10th, 2015 consistent with the Index methodology. Results prior to June 10th, 2015 may have been different had the Index actually been in existence. 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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