The SGI Merger Arbitrage Index aims to provide an exposure to the performance of strategies called Merger Arbitrage, which consists of the acquisition of shares in listed U.S. and European companies subject to takeover bid. This index is based on the expertise of Lutetia Capital in this field, through an indexation with leverage in the fund Lutetia Patrimoine (the Fund).
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.
A daily dynamic allocation rebalancing is implemented in order to optimize the risk / return profile of the allocation based on a qualitative and quantitative analysis on operations and combined with a strict risk and volatility process. The Index exposure to the Strategy is achieved using a daily investment with a 200% leverage in a portfolio of Merger Arbitrage managed by Lutetia Capital: Lutetia Patrimoine Fund (Bloomberg code: LUTPTIE FP).