The T20 portfolio is an index of the largest 20 cash deal merger arbitrage spread opportunities as defined by Merger Arbitrage Limited. These pending merger arbitrage spreads provide the trader with a merger arbitrage spread tracker list and investable database of deals. Event driven hedge funds often employ their own proprietary version of merger arbitrage investing making overall performance analysis troublesome.
Merger Arbitrage Limited has overcome this problem by creating an index of a pure merger arbitrage event driven strategy comprising of the largest merger spreads available. The T20 portfolio index enables the trader to make comparisons of the performance of this investment strategy with appropriate market wide benchmarks such as the broader market S&P 500 Index EFT (SPY), the IQ Merger Arbitrage ETF (MNA) or their own portfolios.
Benefits of the Portfolio
The current T20 portfolio list of merger arbitrage spreads can be found here and is produced on a weekly basis (currently) in spreadsheet form. A more comprehensive list of spreads is available for subscribers who have expressed support and contributed towards the maintenance of this website. For archived editions of the spread list please visit our weekly archived spreads page. In addition, there is also a customized news feed (updated weekly) focusing on the index constituents.
Each week Merger Arbitrage Limited also produces a “Merger Arbitrage Performance Review” post which analyzes key events in the spreads included in the list as well as the significant movers. The article also reviews comparative performance with the broader market and the MNA.
T20 Portfolio Eligibility Criteria
The T20 portfolio operates on the guiding principle of investability. That is, the list tracks the performance of the top 20 merger spreads as if being traded by an investor or trader. For example, stocks under $5 are not included, stocks with low volume and wide bid ask spreads are also excluded. This implies the exclusion of stocks with low liquidity. These stocks incur additional risks which many investors will choose to avoid in their stock portfolios. This promotes the idea of investing in an orderly and fully functioning “efficient” stock market. Please visit our rules for inclusion for further details as to how we calculate and maintain this list.
