This is the analysis of Merger Arbitrage Spread Performance December 30, 2018. This reports covers the top 20 investable US cash based merger arbitrage spreads for the week 24th – 28th December. We produce this report at the end of each week. Firstly, the analysis discusses the biggest winners & losers from the portfolio. Secondly, we highlight the performance of the portfolio and conclude with the broader market as a point of comparison. The information contained in this weekly analysis and review assists traders in their merger arbitrage investment decision making.
In this report, Merger Arbitrage Limited reviews a selection of merger and acquisition deals from the T20 Portfolio. A list of pending cash merger arbitrage spreads available as at 23rd December. Investors and traders can follow our latest Top 20 (T20) list each week here. Regular followers will already be familiar with our rules for inclusion on the T20 Portfolio. Click this link for the spread performance analysis from the previous week.
We’ve recently added some additional information
- 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
Merger Arbitrage Spread Performance December 30, 2018
Winners
This week’s best performer was Essendant Inc (ESND) gaining 3.40%, a rebound from last weeks second worst performer status. Its deal to be acquired by Staples has now seen the tender offer acceptance level reach almost 70%. This spread is still offering 2.73% and provides an attractive opportunity for those able to stay in touch with the tender offer developments. Arris International (ARRS) was up 3.32% having previously announced a shareholder meeting to take place on the 1st February 2019 to vote on the proposed deal from Commscope Holding. This is a significant reversal from last weeks poor performance. Tesaro, Inc. (TSRO) was up 1.32%. Like most deals during this shortened trading week news was hard to come by and price movement was dominated by broader market forces. However Glaxo Smithkline’s offer of $75 per share still leaves 1.63% spread available. Redhat (RHT), (acquirer International Business Machines) has quite a volatile week but finished up 0.72%. Traders have begun to speculate on an early closing to this deal originally slated to close at the end of 2019. Investment Technology Group (ITG) was up 0.63% as its deal to be acquired by Virtu Financial remains on track
Losers
Portfolio Performance
MNA SPY VIX Returns Table 20181228
*We have not included MRGR ETF for liquidity reasons. Click the table to read our Merger Arbitrage ETF Review and see a discussion of how liquidity and other factors affect the performance of these products.
And Finally…
The most recent list of the largest spreads is already available, and you can check out the rules for inclusion here. Our free merger arbitrage spread calculator is also available for FREE download. This can be used to value the spread of any stock-for-stock deals you may be interested in.
