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S&P Merger Arbitration Indices

Published in Strategy Indices

The S&P Merger Arbitrage Index seeks to provide a risk arbitrage strategy that exploits commonly observed price changes associated with a global selection of publicly announced mergers, acquisitions and other corporate reorganizations. Historically, the index has exhibited market neutral characteristics, lower volatility compared to the S&P 500, and a low correlation to S&P 500 returns. The index is modified market cap weighted.  The country breakdown based on constituent domicile includes U.S., Germany, Finland, France, and the Netherlands.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 58 companies and 3 indices, including the S&P Merger Arbitrage Index, Long and Short.

Some of the data items available include:

  • Branding, Database Domain Code, Database Source, Database Symbol, Description, Dividend Points in US Dollars, Divisor Factor in US Dollars, Factor, Gross Index, Gross Index Divisor in US Dollars, Gross Index in US Dollars, Index Family, Index Type, Last Price Date, Market Capitalization in US Dollars,
  • Next Day Divisor in US Dollars, Next Day Gross Index Divisor in US Dollars, Next Day Gross Index Market Capitalization in US Dollars, Next Day Market Capitalization in US Dollars, Next Day Number of Constituents, Number of Constituents, Price Index, Price Index in US Dollars, Time / Date, Weight Type, etc.

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