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Main characteristics

Bloomberg Code SGIXMAE
Inception Date 19/04/2012
Return Type Net Return
Currency EUR
CALCULATED_BY S&P Dow Jones
COMPOSED_BY Lutetia Capital

Objective

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).

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.

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).


The SGI Merger Arbitrage (EUR - Net TR) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.