Water Island Indices
Water Island Indices develops index solutions focused on alternative investment strategies, including event-driven investment strategies, which may be accessible to investors through exchange-traded funds.
Water Island Merger Arbitrage USD Hedged Index
Bloomberg Ticker: WIMARBH
Reuters Ticker: .WIMARBH
The Water Island Merger Arbitrage USD Hedged Index is a passive, rules-based index designed to measure the performance of publicly listed stocks that are involved in pending merger and acquisition transactions. The Index is based on a pure-play merger arbitrage strategy, investing only in definitive, publicly announced transactions which provide a positive return opportunity. Transactions must have a deal value of USD $200 million or greater and the target company must trade in a developed market in North America or Europe in order to be eligible for inclusion in the Index. The Index is comprised of long positions in target companies for all eligible transactions and, for eligible transactions that include a stock payment to target shareholders, short positions in acquirer companies. The Index uses risk-based weight constraints and a liquidity-based weighting process to construct an index with exposure to deals that have the highest implied probability of success and market liquidity. The Index will include transactions outside the US and all foreign currency exposure will be hedged. The index rebalances twice per month. Solactive AG serves as index calculation agent.
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Performance
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The performance quoted represents past performance and does not guarantee future results. Returns greater than one year are annualized. The publication date of the Index is January 31, 2020. The launch date (upon which index values were considered live) of the Index is January 17, 2020. Index performance is for illustrative purposes only, does not represent the results of actual trading or actual fund performance, and should not be considered a substitute for the performance of an actual portfolio. No representation is made that any account will or is likely to achieve performance similar to that presented. Index performance does not reflect any management fees, transaction costs, or expenses. The imposition of such charges would cause returns to be lower. Indexes are unmanaged and one cannot invest directly in an index.
The Index is created and sponsored by Water Island Indices, LLC (“Water Island”) and is the exclusive property of Water Island. The Index is calculated and published by Solactive AG (“Solactive”), which is not affiliated with Water Island. Index returns are unaudited. Solactive does not offer any express or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trademark or the Index price at any time or in any other respect. Solactive uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards Water Island, Solactive has no obligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries. Neither publication of the Index by Solactive nor the licensing of the Index or Index trademark for the purpose of use constitutes a recommendation by Solactive to invest capital in any related financial instrument, nor does it in any way represent an assurance or opinion of Solactive with regard to any investment in any such financial instrument. Water Island does not guarantee the accuracy and/or the completeness of the Index or any data included therein, and Water Island shall not have any liability for any errors, omissions or interruptions therein. Water Island makes no warranty, express or implied, as to results to be obtained by any person or entity from the use of the Index or any data included therein. Water Island makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the Index or any data included therein. Without limiting any of the foregoing, in no event shall Water Island have any liability for any special, punitive, direct, indirect, or consequential damages (including lost profits) arising out of matters relating to the use of the Index, even if notified of the possibility of such damages.