The S&P Long Only Merger Arbitrage Index seeks to model a risk arbitrage strategy that exploits commonly observed price changes associated with mergers. The index is comprised of a maximum of 40 large and liquid stocks that are active targets in pending merger deals.
The index is part of the S&P Arbitrage Index Family. Other indices in the family are the S&P 500 Volatility Arbitrage Index and the S&P Currency Arbitrage Index.
Index constituents exhibit the following characteristics:
Domicile – Company in a developed market country as defined by the S&P/Citigroup index series
Deal Size – Minimum of US$ 500 million
Liquidity – Minimum three-month average daily trading value of US$ 2 million
Premium – Threshold above 5%
Index Governance and Policy
This index is maintained by the S&P Index Committee, whose members include Standard & Poor's economists and index analysts. It follows a set of published guidelines and policies that provide the transparent methodologies used to maintain the index.
The S&P Currency Arbitrage Index seeks to model a carry trade strategy consisting of positions in the G10 currencies based on their relative interest rates versus the U.S. Dollar.
The S&P 500 Volatility Arbitrage Index seeks to model a common strategy that takes advantage of the difference between implied volatility and realized volatility.
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