By fall next year, the great bond bull market will potentially be celebrating its 40th anniversary, with the US 10Y yield having fallen from a high at 15.84% in September 1981 to a low of only 0.51% in August 2020.

There is no doubt that the central bank intervention has caused huge distortion in the Fixed Income market and is making it more and more unattractive. For asset allocators this is a dangerous situation. The asset class that has historically provided low risk income now represents yield free risk.

In this paper we therefore look into Merger Arbitrage as a potential portfolio diversifier and source of alternative yield.