SGI Merger Arbitrage II

SGI Merger Arbitrage II - USD - SGBVMAU2

Presentation

NAV : 1 054.91 $ on 2018-12-11

Source: Lutetia Capital. The figures relating to past periods are not a reliable indicator of future results.

Performances
Description

The SGI Merger Arbitrage II Index is a total return index designed to reflect the returns generated by a 200% daily leveraged position in the Lutetia Merger Arbitrage Fund – Class I USD and I EUR.

The index seeks to deliver an absolute return uncorrelated from the markets over a recommended investment horizon of three years, by implementing a merger arbitrage strategy.

Strategy

The merger arbitrage strategy of the index is to invest primarily in North American and European stocks subject to definitive takeover bids.

The investment process combines proprietary quantitative models and fundamental analyses, with a strong focus on risl allocation and liquidity analysis.

The portfolio is comprised of 30 to 50 arbitrage situations, primarily in medium-to-large cap securities.