Published on: September 30th, 2021 • Duration: 48 minutes
Merger arbitrage is one of the *most* lucrative yet dangerous endeavors on Wall Street. The strategy appears enticingly simple: buying the stocks of companies that are going to be acquired by other companies, with the hope of profiting when the merger closes. Yet in practice, the undertaking can present the would-be arbitrageur with disastrous losses should the deal not go through. Success in merger arbitrage hinges on ascertaining whether or not the deal will close, and in this interview, Deepak Gurnani, founder and managing partner at Versor Investments, shares his rigorous systematic merger arbitrage framework for estimating that critical probability. Gurnani also shows how to use his quantitative tools to augment and de-risk global macro investment strategies by exploiting asset return dispersion within stocks, bonds, and commodities. Interviewed by Real Vision’s Jack Farley.