- Mirrored assets do not give dividends, neither account for dividends in its price tracking. (It only tracks the “live” price of the stock)
- Stocks drop on ex-dividend day by the amount of the dividend payed
This generates the following market-neutral arbitrage opportunity:
- Long real stock before ex-dividend
- Short mStock
- Then, after ex-dividend date, you’ll have the right to the dividend payment and can close the long/short position. On the long bet, you’ll lose the the amount payed by the stock, but that’ll be offset by the profit on the short bet.
Your profit will then be the dividend - taxes - transaction fees.
Am I wrong in this assessment?