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SGI Merger Arbitrage 2 CHF Index

Index level: 756.87 as of 02/03/2021

Main characteristics

Bloomberg Code SGBVMAC2
Inception Date 03/05/2016
Return Type Net Return
Currency CHF
Calculated By Bloomberg
COMPOSED_BY Lutetia Capital


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.

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 2 CHF Index. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to the SGI Merger Arbitrage 2 CHF  Index.  Bloomberg makes no warranty, express or implied, as to the SGI Merger Arbitrage 2 CHF 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 2 CHF Index or any data or values relating thereto—whether arising from their negligence or otherwise.