Therefore, the answer to my “Can Merger Arbitrage Be Indexed?” question posed in the title of this article is a qualified yes. Because the index rebalancing dates for CSMA are event-driven, and not calendar-driven, the index has the potential to capture the strategy. Even so, I am of the belief that a certain amount of “art”, or subjective active-management if you will, is required for a merger arbitrage strategy to be successful over the long haul. For now, I will continue to rely on the Merger Fund (
MERFX) for my merger arbitrage exposure.