ProShares Merger ETF (MRGR US) – Portfolio Construction Methodology

The underlying S&P Merger Arbitrage Index targets a global, rules-based merger arbitrage strategy implemented through equities and cash. The eligible universe consists of listed companies worldwide involved as targets or acquirers in publicly announced, pending mergers, acquisitions, or similar reorganizations that meet S&P Dow Jones Indices’ minimum size, free-float and liquidity criteria. The index selects up to 40 qualifying deals based on deal size, age and performance; for each deal it holds a long position in the target and, when consideration includes stock, a short position in the acquirer sized to reflect the announced exchange ratio, with any residual notional held in 3-month U.S. Treasury bills. Each target enters at a 3% index weight, while each acquirer’s weight ranges from 0–3%, capping single-name exposure. Constituents are added after announcement and removed on completion, withdrawal or disqualification, with weights adjusted continuously as deals progress.

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