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SGI Merger Arbitrage Dynamic USD Index

Index level: 308.161 as of 15/06/2021

Main characteristics

Bloomberg Code SGBVLMDU
Inception Date 06/07/2015
Return Type Total Return
Currency USD
Calculated By Solactive
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.


SGI Merger Arbitrage Dynamic USD Index (the “Index”) is the exclusive property of Societe Generale. Societe Generale has signed a contract with Solactive AG wherein Solactive AG undertakes to calculate and maintain the Index. The Index is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Level at any time or in any other respect.