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Our Stance On Merger Arbitrage After The Storm

Merger Arbitrage was among the most resilient hedge fund strategy during the first part of the market sell off. But during the second and third week of March, deal spreads widened indiscriminately, approaching levels last seen during the global financial crisis. According to high frequency benchmarks with a long track record such as the HFRX Merger Arbitrage, the strategy suffered its worst weekly loss on record (daily data starts on April 2003). Our Merger Arbitrage Peer Group suggests a rebound has started to take shape since the trough on March 18th (+5.3% up to March 24th). The month-to-date (MTD) figure remains poor (-9.4% as of March 24th) but in line with a 50/50 Equity/ Bond benchmark (-9.7%). Performances within our Merger Arbitrage Peer Group range from -3.5% to -18.6% MTD...

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Weekly brief