Event Driven funds tend to take advantage of pricing anomalies resulting from corporate transactions and special situations.

Event Driven funds’ success depends on their ability to assess the probability of failure / success of such corporate events.This strategy includes:

• Deal Arbitrage (long/short equity securities of companies involved in corporate transactions)

• Bankruptcy/Distressed (long undervalued securities of companies that are usually in financial distress)

• Multi-strategy (deals with both deal arbitrage and bankruptcy)

Event Driven strategies are generally characterized by a relatively high return and a significant correlation with major stock and / or bond indexes. Consequently, Event Driven strategies may be used as “Return Enhancers” in portfolios.

Monthly returns201620172018
January-2.88%1.63%1.43%
February-0.54%0.97%-0.95%
March2.43%0.16%-1.03%
April1.61%0.98%0.46%
May1.00%0.53%1.16%
June-0.12%0.17%0.44%
July1.86%1.00%0.55%
August1.49%-0.29%0.11%
September0.39%1.08%n.a.
October-0.15%0.18%n.a.
November1.40%0.10%n.a.
December1.53%1.50%n.a.
Annual8.18%8.29%2.18%
S&P 50011.96%21.83%9.94%
Lehman Treasury1.04%2.31%-0.74%
Quarterly returns201620172018
1st Quarter-1.07%2.78%-0.56%
2nd Quarter2.50%1.69%2.07%
3rd Quarter3.78%1.80%0.67%
4th Quarter2.79%1.78%n.a.
Annual8.18%8.29%2.18%
S&P 50011.96%21.83%9.94%
Lehman Treasury1.04%2.31%-0.74%
Risk ProfileEdhec Event Driven IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd5.45%14.23%4.43%
Sharpe Ratio0.540.260.03
Information ratio-0.07n.a.n.a.
Min. Monthly Return-6.27%-16.80%-4.39%
Max. Monthly Return4.42%10.93%5.31%
Mean Monthly Return0.56%0.62%0.34%
Median Monthly Return0.81%1.10%0.40%
Exc. Kurtosis2.721.451.54
Skewness-1.13-0.680.02
% of winning Months72.17%66.04%58.96%
Average Winning Return1.31%2.88%1.13%
% of losing Months27.83%33.96%41.04%
Average Losing Return-1.37%-3.75%-0.80%
Correlation AnalysisEdhec Event Driven IndexS&P 500Lehman Treasury
S&P 5000.741.00-0.35
S&P 500 Value0.730.97-0.35
S&P 500 Growth0.710.97-0.33
S&P Mid Cap0.790.92-0.34
S&P Small Cap0.720.86-0.36
Lehman Treasury-0.34-0.351.00
Baa-Aaa-0.05-0.080.05
Chg in Baa - Aaa-0.31-0.120.17
10 years - 3 Months-0.09-0.060.11
Chg in 10 years - 3 Months0.00-0.03-0.05
VIX-0.40-0.450.27
Chg in VIX-0.54-0.660.20
in %CSFBHennesseeHFRHF NetBarclayCISDMAltvest
2006 Q214.3%14.2%14.3%14.6%14.4%14.4%13.8%
2006 Q314.3%14.2%14.4%14.5%14.4%14.5%13.7%
2006 Q414.3%14.1%14.3%14.5%14.3%14.5%13.9%
2007 Q114.3%14.2%14.4%14.5%14.3%14.5%13.9%
2007 Q214.6%14.1%14.7%14.7%13.8%14.0%14.1%
2007 Q314.4%14.1%14.8%14.8%13.8%14.1%14.1%
2007 Q414.2%14.1%14.9%14.8%13.8%14.0%14.2%
2008 Q114.1%14.1%14.7%14.7%13.8%14.4%14.2%
2008 Q214.2%14.2%14.6%14.6%13.8%14.4%14.2%
2008 Q314.2%14.1%14.7%14.5%13.9%14.3%14.3%
2008 Q414.5%14.5%14.9%14.8%14.4%14.4%12.5%
2009 Q114.2%14.1%14.5%14.4%14.1%14.3%14.3%
2009 Q214.2%14.2%14.4%14.4%14.1%14.3%14.5%
2009 Q314.1%14.2%14.5%14.4%14.1%14.1%14.5%
2009 Q414.1%14.2%14.5%14.4%14.2%14.1%14.5%
2010 Q114.1%14.2%14.5%14.4%14.2%14.1%14.5%
2010 Q214.0%14.2%14.4%14.4%14.4%14.1%14.5%
2010 Q314.1%14.2%14.4%14.4%14.4%14.1%14.5%
2010 Q414.1%14.2%14.4%14.4%14.4%14.1%14.5%
2011 Q114.1%14.2%14.4%14.4%14.4%14.1%14.4%
2011 Q214.1%14.2%14.4%14.4%14.4%14.1%14.5%
2011 Q314.1%14.2%14.4%14.4%14.4%14.1%14.4%
2011 Q414.1%14.2%14.4%14.4%14.4%14.0%14.5%
2012 Q114.1%14.2%14.5%14.4%14.5%13.7%14.5%
2012 Q216.5%16.6%17.0%16.9%16.9%16.1%n.a.
2012 Q316.6%16.6%16.9%16.8%16.8%16.2%n.a.
2012 Q416.6%16.6%16.9%16.9%16.8%16.2%n.a.
2013 Q116.6%16.6%16.9%16.9%16.8%16.2%n.a.
2013 Q216.7%16.6%16.9%16.9%16.8%16.2%n.a.
2013 Q316.6%16.6%16.9%16.9%16.7%16.2%n.a.
2013 Q416.6%16.6%16.9%16.9%16.8%16.2%n.a.
2014 Q116.6%16.7%16.9%16.8%16.7%16.2%n.a.
2014 Q216.6%16.7%16.9%16.8%16.7%16.2%n.a.
2014 Q316.6%16.7%16.9%16.8%16.7%16.2%n.a.
2014 Q419.7%n.a.20.3%20.2%20.0%19.9%n.a.
2015 Q119.8%n.a.20.3%20.1%20.1%19.8%n.a.
2015 Q219.8%n.a.20.3%20.1%20.1%19.7%n.a.
2015 Q319.9%n.a.20.3%20.1%20.0%19.7%n.a.
2015 Q419.9%n.a.20.3%20.0%19.9%19.9%n.a.
2016 Q119.7%n.a.20.3%20.1%20.0%19.9%n.a.
2016 Q219.2%n.a.20.4%20.3%20.1%20.1%n.a.
2016 Q319.3%n.a.20.4%20.2%20.1%19.9%n.a.
2016 Q419.3%n.a.20.4%20.2%20.1%19.9%n.a.
2017 Q119.4%n.a.20.4%20.2%20.1%19.9%n.a.
2017 Q219.4%n.a.20.4%20.2%20.1%19.8%n.a.
2017 Q319.3%n.a.20.4%20.3%20.1%19.9%n.a.
2017 Q419.3%n.a.20.4%20.3%20.2%19.9%n.a.
2018 Q119.2%n.a.20.4%20.3%20.2%20.0%n.a.
2018 Q219.1%n.a.20.4%20.3%20.2%20.0%n.a.
2018 Q319.0%n.a.20.4%20.3%20.2%20.0%n.a.
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