Using data from the Brazilian stock market from 2001 to 2020, we analyze the performance of investment strategies based on merger and acquisition (M&As) announcements. The study considers the impact of taxes and other transaction costs to investigate whether active strategies outperform indices or buy-and-hold approaches. The results show that market-cap weighted portfolios with initial capital of one million reais and no rebalancing limit achieved the highest returns (21.5% annually), significantly outperforming the Ibovespa index (10.1% annually). We also found that strategies with low initial capital and high turnover presented total losses or considerably underperformed the index due to transaction costs. Our findings suggest that a significant portion of the abnormal returns reflecting market perception of value creation from M&As could be captured through feasible portfolio allocation strategies for investors with relevant minimum capital.