Merger Arbitrage
Sub Index - Merger Arbitrage
Merger Arbitrage are those managers looking to exploit deal spreads in announced transactions. Funds in this category will typically focus on announced deal transactions (at least 90% of risk) and will seldom invest in other event based situations. When considering the basis risk inherent in the trades, Merger Arbitrage tends to have the lowest basis with positions generally fully hedged, with the aim of isolating the M&A premium. Looking through the lens of duration, merger arbitrage tends to be a relatively low duration strategy, with managers trading only announced deals where there is typically a defined timeline for the event (typically a few weeks to a few months). Leverage is typically high for this cohort of managers given their broadly market neutral portfolio constructs, and is often a function of the attractiveness of merger spreads.
Strategy AUM
30 September 2023
£2.9b
-28.2% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -0.3 | -0.3 | -0.2 | -0.2 | -2.3 | 0.9 | 0.2 | 1.3 | 0.8 | -0.6 | 1.4 | 0.8 | ||
| 2022 | -0.7 | 0.4 | 0.2 | -0.6 | -1.4 | -0.7 | 1.2 | 0.9 | -0.8 | 1.1 | -0.7 | 0.3 | -1.0 | |
| 2021 | 1.1 | 1.0 | -0.3 | 1.4 | 0.5 | 0.1 | -1.1 | 0.8 | 0.1 | 0.3 | -0.4 | 0.5 | 4.1 | |
| 2020 | 0.2 | -0.4 | -7.8 | 4.0 | -0.2 | -0.3 | 0.9 | -0.1 | 0.4 | 0.8 | 2.1 | 1.1 | 0.4 | |
| 2019 | 0.9 | 0.2 | 0.5 | 0.2 | -0.9 | -0.1 | 0.5 | 0.0 | 0.2 | 0.7 | 0.4 | 0.8 | 3.4 | |
| 2018 | 0.6 | -0.2 | -1.0 | -0.2 | 1.2 | 0.6 | -0.6 | 0.3 | 0.2 | -0.4 | 1.5 | -0.7 | 1.3 | |
| 2017 | -0.6 | 0.3 | 0.2 | 0.9 | 0.2 | 0.4 | 0.0 | -0.4 | 0.1 | -0.1 | -0.8 | 0.1 | 0.3 | |
| 2016 | 0.3 | 0.3 | 1.0 | -0.6 | -0.3 | -0.4 | -0.2 | 0.1 | 0.2 | -0.5 | 0.8 | 0.5 | 1.1 | |
| 2015 | 0.4 | 0.9 | 0.1 | 0.1 | 0.8 | -0.7 | -0.5 | -0.9 | -0.7 | 0.5 | -0.4 | 0.3 | 0.0 | |
| 2014 | 0.0 | 0.6 | -0.1 | 0.0 | 0.1 | 0.7 | -0.4 | 0.4 | -0.9 | -0.9 | 0.6 | 0.4 | 0.5 | |
| 2013 | 0.1 | 0.2 | 0.7 | 0.1 | 0.9 | -0.2 | 0.5 | 0.0 | 0.3 | 0.2 | 0.0 | 0.3 | 3.4 | |
| 2012 | 0.4 | 0.9 | -0.1 | 0.1 | -1.2 | 0.5 | 0.0 | 0.2 | -0.3 | -1.4 | 0.5 | 1.2 | 0.8 | |
| 2011 | 0.1 | -0.4 | 0.1 | 1.0 | 0.4 | -0.5 | -1.3 | -1.9 | -0.4 | 2.1 | 0.4 | 0.0 | -0.6 | |
| 2010 | 0.4 | 0.3 | 0.1 | 0.2 | -0.4 | 0.6 | 2.1 | 0.6 | 1.5 | -0.2 | -0.2 | 0.5 | 5.6 | |
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Index Constituents
| Name | Inception Date | Geography | AUM | AMC | Perf. Fee | Hurdle | Min Inv. | Liquidity | MTD | YTD | 2022 | 1W | 1M | 3M | 6M | 1Y | 2Y | 3Y | ISIN | Liquidity | Domicile | Inv. Adviser | Portfolio Manager | UN PRI Signatory | Companywide ESG Policy | SFDR | ESG Data Integration | Active Ownership | ESG Exclusion List | Return Consistency Percentile Rank |
Performance Percentile Rank |
Diversifier Percentile Rank |
Downside Protection Percentile Rank |
Low Risk Percentile Rank |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpine Merger Arbitrage Fund | Jul 2018 | Global | £205m | 1.00% | 20% | No | 1,000,000 | Daily | 0.1 | -1.4 | 0.1 | 0.1 | 1.8 | 2.4 | 8.5 | -0.7 | -0.7 | 3.6 | IE00BG7PPQ01 | Daily | Ireland | Alpine Associates Management | Robert E. Zoellner, Jr | Yes | No | Article 6 | No | N/A | Yes | 55 | 29 | 79 | 68 | 28 | ||
| Amundi Tiedemann Arbitrage Strategy | Feb 2013 | Global | £1.0b | 1.40% | 20% | 100,000 | Daily | 0.1 | 5.3 | 0.8 | 0.4 | 2.2 | 2.0 | 6.1 | 6.0 | 6.2 | 12.6 | IE00B905SX62 | Daily | Ireland | TIG Advisors LLC | Drew Figdor | Article 6 | 92 | 61 | 56 | 68 | 89 | ||||||||
| Bantleon Event Driven Equities | Jun 2019 | Global | £30m | 0.95% | 10% | Yes | 250,000 | Daily | 0.0 | 3.6 | -7.8 | 0.1 | 1.1 | 1.4 | 5.8 | 2.6 | -4.6 | 6.2 | LU1989517732 | Daily | Luxembourg | Bantleon Bank AG | Oliver Scharping / Leonard ... | Yes | Yes | Article 6 | No | Yes | Yes | 23 | 20 | 25 | 10 | 14 | ||
| Candriam Equities L Risk Arbitrage Opportunities | Mar 2021 | Global | £45m | 1.00% | 20% | Yes | 0 | Daily | -0.1 | -1.4 | -2.3 | 0.0 | 0.5 | 0.9 | 3.4 | -1.3 | -3.0 | LU2223683918 | Daily | Luxembourg | Candriam | Fabienne Cretin, Stéphane D... | Yes | Yes | Article 6 | No | Yes | Yes | ||||||||
| Carmignac Portfolio Merger Arbitrage | Apr 2023 | Global | £150m | 0.60% | 20% | Yes | 0 | Daily | -0.1 | 0.0 | 0.2 | 1.0 | 2.3 | LU2585800878 | Daily | Luxembourg | Carmignac Gestion | Stéphane Dieudonné, Fabienn... | Yes | Yes | Article 8 | Yes | Yes | N/A | ||||||||||||
| Carmignac Portfolio Merger Arbitrage Plus | Apr 2023 | Global | £84m | 0.95% | 20% | No | 0 | Daily | -0.2 | -0.2 | 0.2 | 1.0 | 3.8 | LU2585801330 | Daily | Luxembourg | Carmignac Gestion | Stéphane Dieudonné, Fabienn... | Yes | Yes | Article 8 | Yes | Yes | N/A | ||||||||||||
| First Private Systematic Merger Opportunities | Apr 2020 | Global | £9m | 0.75% | 10% | Yes | 250,000 | Daily | 0.1 | 0.8 | -0.1 | 0.2 | 0.5 | 0.5 | 3.5 | 1.5 | 1.3 | 5.5 | DE000A0Q95G3 | Daily | Germany | First Private Investment Ma... | No | Yes | Article 6 | No | Yes | Yes | 54 | 40 | 84 | 60 | 88 | |||
| Franklin K2 Bardin Hill Arbitrage UCITS Fund | Sep 2019 | Global | £101m | 1.25% | 12.5% | 5,000,000 | Daily | 0.0 | 3.0 | 3.0 | -0.1 | 2.0 | 1.9 | 4.7 | 3.8 | 6.1 | 10.6 | LU2039784561 | Daily | Luxembourg | Bardin Hill Investment Part... | Gian Maria Magrini | Article 6 | 99 | 65 | 39 | 63 | 95 | ||||||||
| GAMCO Merger Arbitrage | Oct 2011 | Global | £504m | 1.00% | 20% | 100,000 | Daily | 0.0 | 2.1 | 2.5 | 0.0 | 1.1 | 0.7 | 4.6 | 2.5 | 5.6 | 13.4 | LU0687944552 | Daily | Luxembourg | GAMCO Investors | Ralph Rocco , Mario Gabelli | Article 6 | 97 | 75 | 27 | 53 | 90 | ||||||||
| Laffitte Risk Arbitrage UCITS | Dec 2007 | Global | £9m | 1.40% | 15% | 150,000 | Daily | 0.1 | 1.0 | -3.2 | 0.2 | 1.2 | 0.9 | 2.3 | 1.1 | -1.2 | 2.8 | LU1602251818 | Daily | Luxembourg | Laffitte Capital Management | 43 | 38 | 54 | 50 | 80 | ||||||||||
| Man GLG Event Driven Alternative | Jul 2019 | Global | £706m | 1.00% | 20% | No | 1,000,000 | Daily | 0.1 | 4.7 | 2.1 | 0.0 | 1.5 | 1.0 | 3.0 | 5.0 | 7.3 | 13.4 | IE00BJJNGV56 | Daily | Ireland | Man Group Plc | Cristian Cibrario | No | Yes | Article 6 | No | N/A | N/A | 100 | 82 | 55 | 72 | 99 | ||
| MontLake Abrax Merger Arbitrage UCITS Fund | Jul 2019 | Global | £18m | 1.50% | 15% | No | 100,000 | Daily | -12.1 | -10.0 | -5.3 | -9.6 | -17.4 | -23.0 | -14.6 | IE00BZ01DF31 | Daily | Ireland | AUM Asset Management Ltd | Xavier Robinson | No | Yes | Article 8 | Yes | No | Yes | 9 | 10 | 55 | 34 | 14 | |||||
| MontLake Burren Global Arbitrage UCITS | Jun 2015 | Global | £8m | 1.50% | 20% | 100,000 | Daily | -0.6 | 1.9 | 0.5 | -0.3 | 0.9 | 2.4 | 4.6 | 2.3 | 2.4 | 1.1 | IE00BWGCG729 | Daily | Ireland | Burren Capital Advisors | 19 | 18 | 74 | 70 | 60 |
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