Our Stance On Merger Arbitrage After The Storm

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Merger Arbitrage was among the most resilient hedge fund strategies during the first part of the market sell off. However, during the second and third week of March, deal spreads widened indiscriminately, approaching levels last seen during the global financial crisis. According to high frequency benchmarks with a long track record such as the HFRX Merger Arbitrage, the strategy suffered its worst weekly loss on record (daily data starts on April 2003). 

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