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SGI Merger Arbitrage 2 USD Index

Index level: 864.90 as of 23/02/2021

Main characteristics

Bloomberg Code SGBVMAU2
Inception Date 12/01/2016
Return Type Net Return
Currency USD
Calculated By Bloomberg
COMPOSED_BY Lutetia Capital


The SGI Merger Arbitrage II USD Index aims to provide an exposure to the performance of strategies called "Merger Arbitrage", which consist of the acquisition of shares in American and European listed companies subject to takeover bids. This 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. This exposure can be reduced to 100% on a daily basis if a Liquidity Trigger Event occurs regarding SG CDS spread and the Cross Currency Spread.

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