This is the weekly Merger Arbitrage Performance Review – April 4, 2021. This report focusses on the performance of the TPCO, CCRC, MX & SOGO merger arbitrage spreads during the period 29th March – 2nd April. These stocks were selected from the weekly largest top 20 investable US cash based merger spreads that was available as at 28th March, immediately prior to the analysis period. Investors and traders can follow the latest Top 20 (T20) list each week compiled by Merger Arbitrage Limited to review this week’s largest pending cash merger arbitrage spreads. Regular followers will already be familiar with our rules for inclusion in the T20 Index.
Following the performance table of investment returns, the first section of this report compares and reviews the performance of the broader market with the MNA. Then we more specifically discuss the performance of the overall T20 Index. The next sections detail the biggest winners & losers from the T20 portfolio followed by the conclusion. The information contained in this weekly Merger Arbitrage Performance Review – April 4, 2021 assists traders in making merger arbitrage investments and event driven trading decisions. Click this link for the archive of spread performance reviews from previous weeks.
Additional live news updates for these deals can be found on our customized T20 Index news feed. Even more specific merger details & news can be found on the dedicated news and merger factsheet pages including popular deals such as GLUU, LITE–COHR, CHNG, AJRD & TLRY–APHA.
Table of Returns
Merger Arbitrage Performance Review - April 4, 2021
| Merger Arbitrage Limited | The Market | ||
|---|---|---|---|
| Product | Weekly Change | Product | Weekly Change |
| T20 Index | 0.01% | SPY | 1.17% |
| Index Dispersion | 1.77% | VIX | 8.11% |
| Winners | 12 | MNA | 0.15% |
| Losers | 8 | ||
Market Performance Review
By the close on Friday, the SPDR S&P 500 ETF (SPY) index fund had moved higher by 1.17%. Accordingly, the VIX responded by moving in the opposite direction and by the end of the week was down 8.11%. Like the S&P 500, the IQ Merger Arbitrage ETF (MNA) also had a positive week. Gains in Xilinx (XLNX) and Inphi (IPHI) were at the forefront of the rise as their respective acquirer stocks improved during the rally on Friday. However, by the close on Friday, the ETF was showing a loss of 0.15%. The fund however still resides in negative territory for the calendar year showing a loss of 0.99%
Merger Arbitrage Portfolio Performance Review
Cash merger arbitrage spreads as measured by the Merger Arbitrage Limited T20 Index just clawed their way back into positive territory on Friday benefitting from a braoder market rally. The gain was in large part due to the recovery in SOGO (SOGO) along with TPCO.
Despite no index members seeing their deals complete during the week, formed constituents Pandion Therapeutics (PAND) & HMS (HMSY) did consummate sucessfully. There were also signs that a conclusion would materialise soon for Waterford (WTRE) which hosted a successful shareholder vote. Long time member of the T20 index, Navistar (NAV) was removed as the spread narrowed alonf with Forterra (FRTA), CoreLogic (CLGX) & Cubic (CUB). More spread details about this week’s index list can be found on our Spread Tracker page.
The T20 index once again had a rather more volatile week than lately. A recovery inline with the broader market on Friday enabled the index to close in of positive territory finishing up for the period by 0.01%. The index was comprised of a complete complement of 20 merger arbitrage cash deals. As expected with a negative performance, winners were outpaced by the losers by a margin of 12 to 8 with 0 non-movers. The standard deviation of the individual index returns was 1.77%. This figure is significantly above both the long term average and the medium term average.
Merger Arbitrage Performance Review - April 4, 2021
Tribune Publishing (TPCO)
By the close on Friday TPCO had finished higher by $0.77, at $18.01, a rise of 4.46%. This leaves the simple spread at 2.61%.
China Customer Relations Centers (CCRC)
Following a previous drop, we have initiated a small position in this stock. We are happy to maintain the position for the time being. By the end of the week, the stock finished higher by $0.09 at $6.10, a rise of 1.50% against an offer price of $6.50. This leaves the simple spread at a healthy 6.56%. The deal is expected to close in 2Q, 2021.
Sogou (SOGO)
By the close on Friday, the stock had finished lower by $0.35, at $7.70, a loss of 4.35%. This leaves the simple spread at 16.88%, and is now the largest in the index.
Magnachip Semiconductor (MX)
By the end of the week, the stock finished down $0.97 at $25.04, a fall of 3.73% against an offer price of $29. This still leaves the simple spread at 15.81% and is one of the highest in our merger arbitrage index.
