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SGI Merger Arbitrage Dynamic EUR Index

Index level: 1008.81 as of 15/08/2017

Main characteristics

Bloomberg Code SGBVLMDE
Inception Date 06/07/2015
Return Type Total Return
Currency EUR
CALCULATED_BY Bloomberg
COMPOSED_BY Lutetia Capital

Objective

The SGI Merger Arbitrage Dynamic Index aims to provide an exposure to the performance of strategies called "Merger Arbitrage", which consist of the acquisition of shares in listed companies listed U.S. and European subject to takeover bid. This index is based on the expertise of Lutetia Capital in this field, through an indexation with leverage on Lyxor UCITS managed account (LYLMAIE).

Mechanism

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. The Index exposure to the Strategy is achieved using a daily investment with a 300% leverage in a portfolio of Merger Arbitrage managed by Lutetia Capital, Lyxor-Lutetia Merger Arbitrage Fund.


Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”) are not affiliated with SG and do not approve, endorse, review, or recommend the SGI Merger Arbitrage Dynamic Index. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI Merger Arbitrage Dynamic Index.  Bloomberg makes no warranty, express or implied, as to the SGI Merger Arbitrage Dynamic Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto.  To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages—whether direct, indirect, consequential, incidental, punitive, or otherwise—arising in connection with the SGI Merger Arbitrage Dynamic Index or any data or values relating thereto—whether arising from their negligence or otherwise.