S&P Dow Jones Indices launches Merger Arbitrage Index
S&P Dow Jones Indices has launched the S&P Merger Arbitrage Index, which seeks to model a risk arbitrage strategy that exploits commonly observed price changes associated with a global selection of publicly announced mergers, acquisitions or other corporate reorganisations.
The index has been licensed to ProShares to serve as the basis for an upcoming ProShares ETF.
"The S&P Merger Arbitrage Index aims to address the market's continued interest in a merger arbitrage strategy,” says Vinit Srivastava, director of strategy indices at S&P Dow Jones Indices. "This offering expands our family of long-only merger arbitrage indices and further builds our capabilities in the alternative indexing space."
The index is comprised of stocks that are active in pending merger deals. At any given time, a maximum of 40 companies that are currently targets in merger deals are represented in the index in long positions and a maximum of 40 companies that are currently acquirers for the same stock merger deals are represented in short positions.
The S&P Merger Arbitrage Index includes two sub-indices which represent the long and the short components of the headline index separately:
• S&P Merger Arbitrage - Long Index
• S&P Merger Arbitrage - Short Index
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