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The figures relating to past performances and simulated performances refer to past periods and are not a reliable indicator of future results. The index has been backtested since 8th January 2013 and has been calculated since 6th July 2015.

Cumulative Performances (%)

One month rolling One year rolling
Two years rolling
ITD YTD Net asset value as of 08/08/2017
SGI Merger Arbitrage II -1.23 0.83 4.27 43.08 0.12 1043.187
HFR Merger Arbitrage -0.16 2.55 9.23 20.05 1.07 1831.16

Index Description

  • The SGI Merger Arbitrage II Index is a representative index with an absolute return objective. It is calculated weekly and published by Standard & Poor’s Dow Jones indices.
  • The SGI Merger Arbitrage II Index aims to provide exposure to the performance of "Merger Arbitrage" strategies, which consist of the acquisition of shares in listed companies subject to a takeover bid.
  • The investment universe of the Strategy includes the U.S. and European listed companies subject to mergers and acquisitions.
  • The SGI Merger Arbitrage II Index aims at providing consistent and regular returns, whilst maintaining a volatility of 4 to 7%.


Strategy

  • The Index seeks to invest in companies involved in announced merger and acquisition operations, in order to take advantage of the spread between the target’s share price after the announcement and the price offered by the buyer. In addition, the Strategy will also seek to identify potential targets of mergers and acquisitions before the operations are announced.
  • The components of the strategy are selected by specific criteria (geography, minimum size, liquidity, type of operation, sector diversification) based on its performance target and volatility.
  • Every day, all of the components’ weights are revised to optimize the risk / return profile of the allocation based on a qualitative and quantitative analysis on operations.


Subscriptions

The SGI Merger Arbitrage II Index is accessible via financial products issued by Société Générale and offers weekly liquidity. S&P, the agent who calculated the Index, ensures transparency and independence of the valuation.

For all inquiries, please contact:

Société Générale
Cross Asset Solutions
17, cours Valmy
92800 Puteaux
Tel : + 33 1 42 13 16 71
www.sgindex.com

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