Quantitative Approaches to Merger Arbitrage

Amitai Etzioni: Historically, merger arbitrage has mostly been a fundamental strategy. But when I looked at portfolios of multiple model arbitrage managers, they were near identity portfolios. And every time there was the deal broke or terminated, it would impact all the portfolios that you would see losses. That's sort of got my interest going and said that maybe there's a quantitative approach to be able to capture that. What we actually found is that let's say on average, 7 to 8%, 9% deals, if you include globally, 9% of the deals fade on average. A significant portion of those, about 15% out of those 91% left of the deals that