The SGI Merger Arbitrage II Index is designed to provide capital appreciation by investing in a liquid, diversified and broadly representative set of announced North American and European companies subject to takeover bids, a strategy known as “merger arbitrage”. This strategy seeks to take advantage of the price differential, where it exists, between the current trading price of a stock and the price of that stock at the time the deal is completed.
The Index is based on the expertise of Lutetia Capital, one of the most renowned and awarded merger arbitrage team in Europe.
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 exposure to the strategy is achieved through a daily investment with a 200% leverage on a UCITS compliant managed account -Lyxor-Lutetia Merger Arbitrage Fund (LYLMAIE)- dedicated to the Index.
The investment process combines a unique multifactor scoring methodology with a detailed fundamental analysis of merger transactions.
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