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Split-off trading startegies


oplia
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I am guessing many from the board have participated in the latest split-offs MCK/CHNG and ECL/APY - the former turned out disastrously while the latter was very fruitful for the unhedged positions. Hedged trades did relatively well on both.

 

So we did some historical analysis on pay-offs from various split-off trading strategies - the timing of the position entry as well as hedged vs unhedged.

 

It turns out unhedged trades have generated 2x higher returns on average. Starting the trade right after the announcement delivered slightly higher profits than waiting for the final exchange ratio to be determined.

 

Full article here: https://www.specialsituationinvestments.com/2020/06/analysis-of-different-split-off-trading-strategies/

 

 

Note for admins/moderators: the link above is to my own website, so if this is considered advertising, feel free to take down the whole post. However, the linked article is freely accessible and I think CoB&F readers would find it useful.

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