Merger Arbitrage Spread Performance – 25 November 2018

We sure hope you all enjoyed thanksgiving this past week. This inevitably led to a reasonably quite week in the merger arbitrage space although the broader market still managed to maintain its volatile streak.

We’ve added some additional information this week

• The standard deviation of returns for the top 20 in addition to the average return. This gives our readers a better idea as to the movement within the portfolio.
• The change in the VIX (relative percent) is also included as a complimentary figure to the performance of the SPY

Winners

This week’s best performer was RCII gaining 0.97%. This deal is expected to close by the end of the year and is still offering a 2.74% spread. The second best performer was RHT which was up 0.95%. A rise most of which was attributed to a sharp gain on Friday morning due to upcoming expected earnings being higher than originally forcast. This deal is still a long way from completing thus significantly reducing the annualised return. APTI was up 0.77% on little news while AHL was up 0.63% on an announcement regarding earnings figures for the next quarter. Other gainers were ATHN which released some additional information regarding the takeover by Veritas Capital via the filing of a DEF14A and improved 0.58%. DNB was up 0.50% on news that Black Knight is to join the group of investors looking to buy the company.