SGI Merger Arbitrage Premia

SGI Merger Arbitrage Premia - USD - SGIXQMA2

Presentation

NAV : 211.60 $ on 2018-12-14

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

The SGI Merger Arbitrage Premia is a new index launched in January 2017 to replace the SGI Systematic Merger Arbitrage Index (<SGIXSMA>) following the introduction of the Hire Act in the USA.
Performances
Description

The SGI Merger Arbitrage Premia Index seeks to extract yield through taking positions in announced merger deals in North America and Western Europe selected by Lutetia Capital Investment Advisors, the Index Advisor. The SGI Systematic Merger Arbitrage Index takes positions according to a rule-based quantitative algorithm created by Lutetia Capital Investment Advisor. This systematic Index (<SGIXSMA>) was commercialized between June 2014 and June 2017. The SGI Merger Arbitrage Premia is a new index launched in January 2017 to replace the SGI Systematic Merger Arbitrage Index (<SGIXSMA>) following the introduction of the Hire Act in the USA.The strategy used in both indices is strictly identical with the same model running since 2014.

 

Strategy
The index captures a spread between the offer price and the trading price post-annoucement of the deal. This index uses a quantitative algorithm created by Lutetia Capital, the Index Advisor, which was previously implemented into the systematic Index SGI Systematic Merger Arb. SGIXSMA launched in 2014. The basket components are involved in friendly or hostile merger deals.