Merger Arbitrage

M&A deal spread capture: buy targets at discount to deal price

Merger Arbitrage (M&A Spread)

Total Return

-8.3%

Sharpe Ratio

-2.22

Max Drawdown

-8.3%

Win Rate

18.5%

Alpha

-26.0%

Comp. Score *

0.00

Risk Parameters

Max Allocation0.0%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance8.3%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleEnter when Z-score exceeds 2.0. Exit when Z returns to 0.

TimingWAIT FOR SIGNAL: Only enter when price spread between paired stocks reaches extreme levels. *

ScalingFull position at entry. No scaling — it's a convergence trade.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
IEX	BUY	27%	11.3% below entry	5.6% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Take profit at +50%. This strategy is inconsistent — capture gains when available. - Stop loss: Reduce position by 50% at -25% drawdown. Consistency is only 10%. - Exit rule: Review semi-annually. Exit if strategy thesis no longer holds based on fundamental analysis.

Avg 5Y Return

1.4%

Avg 5Y Sharpe

-1.3

10Y Return

-0.8%

10Y Sharpe

-1.24

HODL Composite

0.0

Consistency

10%

Suitable for passive