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Daily Event-Driven Index

NilssonHedge provides a Daily Event-Driven index, based on the average returns for managers providing daily return data.

The managers included in the index are based on strategies that we have identified as consisting of Event-Driven funds (or using similar strategies) reporting Daily Numbers. Event-Driven strategies typically target convergence trades in equities or fixed income – Mergers and Acquisitions, Spin-offs, Distressed Securities, or other types of corporate events.

We do not impose minimum requirements on track records or aum for this subset. Managers that drop out of the index are replaced with the average return of the index.

Methodology

In line with our method to build the database, we collect data from a large number of sources. A difference to monthly data is that we need to process daily returns much more carefully, apply filters and aggregate differently.

  • Data is collected daily. One of the many problems with daily data is that is not cleaned in the same manner and may contain noise.
  • To remove noise, for instance, driven by dividend payments that are not properly incorporated into the return stream, we take the median return over many share classes. This removes some of the spikes, but not all of them.
  • Moreover, we apply a statistical filter to remove outliers. Here, we control market movements that cause the filter to remove true market returns. An example of this is, for instance, the CHF intervention in 2015, which caused large losses for several currency managers.
  • As we aggregate over share classes and most managers only show the “cheapest” share class in their official track-record, our returns tend to show a lower rate of return and potentially more volatility.
  • As part of our final statistical test, we correlate the equivalent monthly returns, from daily compounded returns, with monthly returns streams that already exist in the monthly database.
  • Entry and Exit fees are ignored.

Index Constituents

AQR Capital ManagementDiversified Arbitrage
Arbitrage FundArbitrage
BlackRockEvent Driven Equity
GabelliGabelli ABC
HighlandHighland Merger Arbitrage
KellnerKellner Merger
MergerMerger
SilverPepperSilverPepper Merger Arbitrage
VivaldiVivaldi Merger Arbitrage
Water IslandWater Island Diversified Event-Driven
BlackRockEvent Driven Equity
FS InvestmentsEvent Driven
GabelliGabelli ABC
GabelliMergers & Acquisitions
HighlandHighland Merger Arbitrage
KellnerKellner Merger
MergerMerger
MProved SystematicMProved Systematic Merger Arbitrage
SilverPepperSilverPepper Merger Arbitrage
VivaldiVivaldi Merger Arbitrage
Water IslandWater Island Diversified Event-Driven
Water Island Long/Short FundWater Island Long/Short Fund
Water IslandWater Island Diversified Event-Driven
VivaldiVivaldi Merger Arbitrage
SilverPepperSilverPepper Merger Arbitrage
MProved SystematicMProved Systematic Merger Arbitrage
MergerMerger
KellnerKellner Merger
GabelliMergers & Acquisitions
BlackRockEvent Driven Equity
HighlandHighland Merger Arbitrage
GabelliGabelli ABC
FS InvestmentsEvent Driven

Arbitrage Fund Arbitrage
BlackRock Event Driven Equity
Gabelli Gabelli ABC
Gabelli Mergers & Acquisitions
Highland Highland Merger Arbitrage
Kellner Kellner Merger
Merger Merger
SilverPepper SilverPepper Merger Arbitrage
Vivaldi Vivaldi Merger Arbitrage
Water Island Water Island Diversified Event-Driven