MergerArb


  • Strategy Stocks
The MergerArb strategy invests in U.S. based companies that Chief Investment Officer Jonathan Tunney believes are either takeover targets or potential takeover targets. It identifies companies that could be purchased by either larger public companies or private equity investors by screening for liquidity premiums and other metrics.
Jonathan selects companies that could be taken over based on screening guidelines that include:

- Liquidity targets (the number of shares traded daily).

- Premium targets (amount of offer price/current target price) both on an absolute basis and an annualized basis.

- Share prices (movement above certain dollar thresholds).
In addition to Jonathan’s screening guidelines, he invests in companies based on his fundamental research of publicly available information.
The portfolio usually holds 5 positions that are equally weighted.
Jonathan closes positions when a certain capital appreciation has been achieved or when the merger has been completed. The portion of stock received from acquiring firms is typically sold upon receipt.
None.

Performance

0.7%

Month to date

MTD

3.1%

Quarter to date

QTD

11.7%

Year to date

YTD

Quarterly vs S&P500

Quarterly vs S&P500

Risk score

  • 8.2%

    Best quarter

  • -7.8%

    Worst quarter

    • 1% fee
    • $10,000 min
  • Required: Margin account

Performance detail

Performance Portfolio inception May 19, 2010

as of Dec 08, 2016 Manager (net of fees ) S&P 500
Month-to-date 0.7% 2.2%
Quarter-to-date 3.1% 3.6%
Last 365 Days 11.0% 9.7%
Since inception (Annualized) 8.2% 11.3%
2016 (YTD) 11.7% 9.9%
2015 -6.2% -0.7%
2014 7.5% 11.4%
2013 15.5% 29.6%
2012 20.8% 13.4%
2011 1.4% -0.0%

Risk metrics Last 365 days

as of Dec 08, 2016 Manager (net of fees ) S&P 500
Volatility 10.5% 13.7%
Sharpe Ratio 1.00 0.67
Sortino Ratio 1.40 0.88
Maximum Drawdown -5.7% -12.0%
Value-at-risk (95%, 1 week) -2.4% -3.2%
vs. S&P 500
Information Ratio 0.11
Alpha 6.5%
Beta 0.44
R-Squared 0.32

Exposure

37.5%
22.2%
18.3%
  • Consumer, Cyclical
  • Utilities
  • Industrial

Top 5 securities

22.2%
20.0%
18.4%
17.5%
View all

Portfolio commentary

  1. Profile Picture Trump reset 14 November 2016

    The stock market prices in the Trump policy shift

  2. Profile Picture Asia tilt 12 October 2016
  3. Profile Picture Volatile times for stocks 13 July 2016
  4. Profile Picture Brexit: The big picture 1 July 2016
  5. Profile Picture Navigating choppy waters 23 June 2016
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Latest transactions Average trades per month 2.4

Executed Symbol Security Type Price
11/30/16 BEAV B/E Aerospace Inc Buy $60.23
09/13/16 VA Virgin America Inc Buy $55.93
09/13/16 DVMT Dell Technologies Inc Class V Sell $48.65
07/21/16 LNKD LinkedIn Corp Buy $189.58
07/21/16 HE Hawaiian Electric Industries Inc Sell $30.70
06/22/16 WR Westar Energy Inc Buy $55.85
06/06/16 LXK Lexmark International Inc Buy $37.42
06/06/16 SHPG Shire PLC Sell $190.06
View all

Important Information

  1. Past performance is no guarantee of future results.
  2. Performance of the Portfolio Manager's account is calculated by Covestor on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions. Manager returns include trades and positions that fail Covestor's trading rules, as a result, actual client returns will differ. Covestor advisory fees are simulated and applied retroactively to present the portfolio return "net-of-fees".
  3. Average client returns are calculated by Covestor and are composed of the asset-weighted daily average returns of all active client investments (some of which may contain investment restrictions) to the underlying portfolio. These daily average returns are then linked together for the timeframe presented. These returns include cash, dividends, and earnings distributions, and reflect the deduction of Covestor advisory fees, brokerage and other commissions and expenses actually paid by clients.
  4. All graph data is as of the end of day for the referenced period, unless otherwise specified. The investment minimum is the minimum investment required to follow a particular portfolio. The minimum amount is determined by Covestor, based on the characteristics of the underlying portfolio. It should not be considered as specific investment advice for your investment situation.
  5. The performance charts are provided for informational purposes only, and should not be used as the basis for making an investment decision. We rely on mathematical formulas, computer programs, and pricing information from third-party vendors to provide these returns. Neither Covestor nor any of its data or content providers shall be liable for any errors in this information or any actions taken by you in reliance upon this information.
  6. Benchmark returns have been calculated by Covestor using a time-weighted calculation of daily index valuations. More information here.
  7. Leverage indicates the level of margin utilized and is calculated by dividing gross exposure by portfolio net liquidation value.
  8. All Portfolio Manager information including personal data, profiles, strategies, monthly investment reports, and historical results outside of Covestor has been provided by the Portfolio Manager. Covestor makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Covestor. Transaction history of Portfolio Managers is available upon request. Portfolio classifications are provided by Covestor, and are intended to serve as a general guide.
  9. Not all transactions listed will appear in accounts due to Covestor's trading rules and individual client constraints. Eligibility of these securities is monitored periodically, and may change over time. Actual client investment holdings may vary.
  10. Index returns do not reflect any management fees, transaction costs or expenses. Individuals cannot invest directly in an Index. For certain portfolios we use an investable ETF as a benchmark, in these cases returns exclude or are net of management fees, transaction costs and expenses.
  11. This portfolio uses short selling. Short selling is more complex than simply owning securities, involves a high degree of risk, is highly speculative, and is not suitable for all investors. The risk of loss associated with short selling is virtually unlimited. Short selling may also involve additional expenses and risks, including hard-to-borrow stock charges and buy-in risk. You should only select a portfolio using short selling if you are comfortable with the level of risk involved in short selling.
  12. This portfolio uses borrowed funds or leverage to fund investments. Leverage involves a high degree of risk, is highly speculative, and is not suitable for all investors. Leverage increases both the amount you may lose and the amount you may make in a portfolio, leading to higher returns in the case of favorable market movements but also larger losses under adverse market conditions. You may also incur additional expenses associated with borrowing funds. You should only select a portfolio using leverage if you are comfortable with the level of risk involved in using leverage.