http://allaboutalpha.com/blog/2009/12/08/in-departure-from-tradition-merger-arb-funds-now-seem-to-be-hitching-their-wagons-to-the-sp/ A finance blog about hedge funds, portable alpha and alternative investing. Mon, 13 Feb 2012 11:26:54 +0000 http://wordpress.org/?v=abc hourly 1 http://allaboutalpha.com/blog/2009/12/08/in-departure-from-tradition-merger-arb-funds-now-seem-to-be-hitching-their-wagons-to-the-sp/comment-page-1/#comment-274420 Merger Arbitrage With Options: Eye-Popping Returns, But Not for the Faint of Heart | The Prospective Investor Tue, 26 Oct 2010 12:49:44 +0000 http://allaboutalpha.com/blog/?p=7920#comment-274420 [...] We noted in late 2009 that merger arb has shown a particularly high correlation to the S&P 500 in recent years. And academic studies have shown that “arbitrage spreads” have been falling since 2002. Some say this is emblematic of a growing capacity constraint in the strategy. But regardless of their source or recent declines, merger arb returns have averaged around 1% per month over several decades. [...] [...] We noted in late 2009 that merger arb has shown a particularly high correlation to the S&P 500 in recent years. And academic studies have shown that “arbitrage spreads” have been falling since 2002. Some say this is emblematic of a growing capacity constraint in the strategy. But regardless of their source or recent declines, merger arb returns have averaged around 1% per month over several decades. [...]

]]> http://allaboutalpha.com/blog/2009/12/08/in-departure-from-tradition-merger-arb-funds-now-seem-to-be-hitching-their-wagons-to-the-sp/comment-page-1/#comment-223984 MWC Wed, 09 Dec 2009 15:45:41 +0000 http://allaboutalpha.com/blog/?p=7920#comment-223984 Is that really alpha? Measured against a short put index, like PUT, the "alpha" of a lot of MA managers tends to vanish. Is that really alpha? Measured against a short put index, like PUT, the “alpha” of a lot of MA managers tends to vanish.

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