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SGI Merger Arbitrage 2 CHF Index

Index level: 764.224 as of 15/06/2021

Main characteristics

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

Objective

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.

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 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.


SGI Merger Arbitrage 2 CHF 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.