“It has done exactly what it was made to do,” Lloyd said. “For most of the down days, it was positive. It actually has negative correlation to fixed-income index and actually has a very low correlation to the equity index.”

Lloyd also added that the U.S. is in the third year of record mergers. Corporate America has experienced a cash infusion after President Donald Trump’s tax reforms that allowed U.S. companies to repatriate foreign cash stores during a tax holiday period. Consequently, these flush U.S. firms are eyeing acquisition targets to enhance their businesses.

“The merger arbitrage tends to do really well in those kinds of environments, and we think that’s going to continue,” Lloyd added.

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