Hedge Strategy Monthly Report- Sept '11 Edition

8/4/2019 Hedge Strategy Monthly Report- Sept '11 Edition

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Deep-In-The-MoneyHedge Strategy Monthly

September 2011, Issue #2

www.RenovatioAM.com


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Prepared by: Pj de Marigny, DITMo Strategies Page 2 2011 RENOVATIO ASSET MANAGEMENT, LLC

DISCLOSURE

Deep-In-The-Money Hedge Strategy Monthly report is intended for educational and discussion purposes only. Renovatio Asset Management is

structured as a registered investment advisor limited liability company located in Newport Beach, California offering investment management services.

Renovatio is not a wealth advisory or financial planner, neither is this material intended to offer financial advice or recommending any investment.

The material herein is offered without charge, fees, or expectation of receiving any remuneration, to financial professionals, students, industryassociations, and other interested parties. This material is offered without guarantee of accuracy in methodology or calculation and is not meant to imply

recommendation of any strategy reflected in this report. Source of thirteen Hedge Categories data provider is Edhec Risk Institute. Data provider for SPX

(SP500), BXM (Index Covered Call), and WFBIX (proxy for Lehman/Barclay Aggregate Bond Index is Bloomberg, LP. DITMo Model Index is a

customized Deep-In-The-Money Buy/Write index provided by Renovatio Asset Management and prepared by Pj de Marigny.

Risk/Return Probabilities, Scattergram, Bar Charts, Correlation Matrices, and Color Coded Return Matrices methodologies and calculations were

developed and prepared by Peter J. de Marigny, DITMo Strategies Portfolio Manager and Risk Manager for Renovatio Asset Management Alternative

Strategies. Pj de Marigny is also a Certified Financial Risk Manager (FRM) and Director of GARP Southern California Chapter. He holds a B.A. in

Biblical Studies (Ambassador College, Pasadena CA), a B.S. in Accounting (St. Francis College, NYC), an M.B.A. (Colorado State Univ.) and an M.S. inBanking & Financial Services Management (Boston Univ.). He is a member of the Wharton CPD Circle, and he is a CAIA, CPWA, and CIMA.

DITMo is a Deep-In-The-Money Buy-Write Model Index that is reflective of a risk averse version of a covered call strategy. The methodology for

calculation is meant to capture changing sensitivity to the underlying long equity value and is calculated as follows:

DITMo MODEL METHODOLOGY:

This attribution is drawn solely from the sample model portfolio. Return attributions reflected here involved stress-testing the sample portfolio using Algorithms, then using those results in the formulationof a return series based solely on the results of SP500 performance to capture up and down participation that differs within various return ranges typical of a covered call strategy payoff. The portfolioincludes 70 to 100 SP500 equity Buy/Writes typically written at a strike price below the market price of the underlying equity with intention to have the underlying equity called away thereby creating acash flow composed of exercised options, option premium, dividends and interest. There is no guarantee that the portfolio will exhibit similar attributes to this model or that the portfolio holdings will be

similar to the portfolio holdings reflected here. This is intended for one-on-one discussion purposes only. The model was constructed using equity ask price and short call bid price that would represent theminimal acceptable trade net of execution and management fees.

The strategy is both a bottom-up and top-down approach contrived to target less than a one-third market beta (market risk) and an after-fee 8-10% return that are solely dependent on market performance.Risks of strategy underperformance includes, but is not limited to a scenario of SP500 excessive performance within a month t hat will result in a muted upside capture of that performance. Similarly,downside excessive loss of the SP500 in a given month is muted only within limited bounds cushioning only a moderate drawdown of the market in any given month. The strategy should be considered bythose willing to tradeoff upside participation for a limited amount of loss mitigation in any given month.

The model return series and resulting attributes were constructed according to the following methodology (per month):

SPX DITMo(Y)=5% +1.67% + .02(SPX)

A diversified portfolio of short-expiry, in-the-money covered calls will be capped in upside capture of market performance as options become deeper in-the-money resulting in lower beta. Conversely,

covered calls act as a cushion in negative markets only to the degree of the cushion provided by the option strike price, after which point the cushion fails to offset losses as options move from in-the-moneyto out-of-the money resulting in higher beta.


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HEDGE FUND STRATEGIES 10-YEAR CORRELATION MATRIX (Monthly 10Y ending 7/11)

Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM

Arbitrage Global Securities Markets Neutral Driven Arbitrage Macro Equity Arbitrage Value Selling Funds CovdCall Index Lehman AGG CovdCall

Convertible Arbitrage 1.00 0.05 0.78 0.71 0.48 0.77 0.87 0.49 0.66 0.59 0.86 (0.45) 0.73 0.52 0.50 0.17 0.50

CTA Global 0.05 1.00 0.09 0.12 0.24 0.11 0.04 0.64 0.17 0.12 0.06 0.03 0.30 (0.09) (0.06) 0.19 (0.13)

Distressed Securities 0.78 0.09 1.00 0.81 0.64 0.93 0.81 0.58 0.81 0.66 0.89 (0.61) 0.86 0.68 0.67 (0.05) 0.62

Emerging Markets 0.71 0.12 0.81 1.00 0.59 0.88 0.72 0.75 0.91 0.71 0.91 (0.65) 0.91 0.72 0.73 0.04 0.70

Equity Mkt Neutral 0.48 0.24 0.64 0.59 1.00 0.64 0.52 0.55 0.60 0.46 0.60 (0.30) 0.70 0.35 0.37 (0.20) 0.42

Event Driven 0.77 0.11 0.93 0.88 0.64 1.00 0.74 0.67 0.93 0.84 0.95 (0.73) 0.92 0.72 0.76 (0.07) 0.71

Fixed Inc Arbitrage 0.87 0.04 0.81 0.72 0.52 0.74 1.00 0.48 0.61 0.54 0.83 (0.40) 0.73 0.59 0.49 0.20 0.49

Global Macro 0.49 0.64 0.58 0.75 0.55 0.67 0.48 1.00 0.74 0.59 0.65 (0.40) 0.80 0.39 0.43 0.16 0.37

Long/Short Equity 0.66 0.17 0.81 0.91 0.60 0.93 0.61 0.74 1.00 0.81 0.91 (0.80) 0.91 0.75 0.82 (0.10) 0.74

Merger Arbitrage 0.59 0.12 0.66 0.71 0.46 0.84 0.54 0.59 0.81 1.00 0.79 (0.67) 0.78 0.62 0.65 0.04 0.64

Relative Value 0.86 0.06 0.89 0.91 0.60 0.95 0.83 0.65 0.91 0.79 1.00 (0.71) 0.91 0.76 0.76 0.01 0.74

Short Selling (0.45) 0.03 (0.61) (0.65) (0.30) (0.73) (0.40) (0.40) (0.80) (0.67) (0.71) 1.00 (0.59) (0.80) (0.90) 0.18 (0.79)

Funds Of Funds 0.73 0.30 0.86 0.91 0.70 0.92 0.73 0.80 0.91 0.78 0.91 (0.59) 1.00 0.63 0.63 (0.01) 0.59

DITMo CovdCall 0.52 (0.09) 0.68 0.72 0.35 0.72 0.59 0.39 0.75 0.62 0.76 (0.80) 0.63 1.00 0.92 (0.03) 0.86

SP500 Index 0.50 (0.06) 0.67 0.73 0.37 0.76 0.49 0.43 0.82 0.65 0.76 (0.90) 0.63 0.92 1.00 (0.10) 0.90

WFBIX Lehman AGG 0.17 0.19 (0.05) 0.04 (0.20) (0.07) 0.20 0.16 (0.10) 0.04 0.01 0.18 (0.01) (0.03) (0.10) 1.00 (0.09)

BXM CovdCall 0.50 (0.13) 0.62 0.70 0.42 0.71 0.49 0.37 0.74 0.64 0.74 (0.79) 0.59 0.86 0.90 (0.09) 1.00

HEDGE FUND STRATEGIES 5-YEAR CORRELATION MATRIX (Monthly 5Y ending 7/11)

Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM


Convertible Arbitrage1.00 (0.02) 0.85 0.84 0.49 0.87 0.93 0.56 0.80 0.71 0.94 (0.62) 0.81 0.66 0.65 0.24 0.64

CTA Global (0.02) 1.00 0.06 0.18 0.23 0.13 (0.07) 0.70 0.26 0.11 0.09 0.02 0.33 (0.03) 0.04 (0.01) (0.02)


Emerging Markets0.84 0.18 0.88 1.00 0.61 0.92 0.84 0.78 0 .94 0.74 0.94 (0.69) 0.93 0.75 0.77 0.11 0.73

Equity Mkt Neutral

0.49 0.23 0.65 0.61 1.00 0.67 0.53 0.55 0.64 0.47 0.61 (0.37) 0.69 0.38 0.44 (0.34) 0.51Event Driven 0.87 0.13 0.97 0.92 0.67 1.00 0.86 0.69 0 .95 0.83 0.97 (0.77) 0.94 0.75 0.79 0.00 0.74

Fixed Inc Arbitrage 0.93 (0.07) 0.88 0.84 0.53 0.86 1.00 0.53 0.76 0.67 0.92 (0.61) 0.80 0.72 0.65 0.19 0.65

Global Macro 0.56 0.70 0.60 0.78 0.55 0.69 0.53 1.00 0 .80 0.58 0.69 (0.43) 0.83 0.45 0.52 0.10 0.45

Long/Short Equity0.80 0.26 0.88 0.94 0.64 0.95 0.76 0.80 1 .00 0.81 0.93 (0.79) 0.94 0.76 0.83 0.01 0.75

Merger Arbitrage 0.71 0.11 0.72 0.74 0.47 0.83 0.67 0.58 0 .81 1.00 0.80 (0.70) 0.80 0.66 0.68 0.13 0.65

Relative Value 0.94 0.09 0.94 0.94 0.61 0.97 0.92 0.69 0 .93 0.80 1.00 (0.74) 0.93 0.78 0.78 0.12 0.75

Short Selling (0.62) 0.02 (0.73) (0.69) (0.37) (0.77) (0.61) (0.43) (0.79) (0.70) (0.74) 1.00 (0.63) (0.81) (0.91) 0.01 (0.80)

Funds Of Funds 0.81 0.33 0.88 0.93 0.69 0.94 0.80 0.83 0 .94 0.80 0.93 (0.63) 1.00 0.67 0.68 0.03 0.64

DITMo CovdCall 0.66 (0.03) 0.76 0.75 0.38 0.75 0.72 0.45 0.76 0.66 0.78 (0.81) 0.67 1.00 0.92 0.20 0.88

SP500 Index 0.65 0.04 0.77 0.77 0.44 0.79 0.65 0.52 0 .83 0.68 0.78 (0.91) 0.68 0.92 1.00 0.10 0.90

WFBIX Lehman AGG 0.24 (0.01) (0.03) 0.11 (0.34) 0.00 0.19 0.10 0.01 0.13 0.12 0.01 0.03 0.20 0.10 1.00 0.09BXM CovdCall 0.64 (0.02) 0.71 0.73 0.51 0.74 0.65 0.45 0.75 0.65 0.75 (0.80) 0.64 0.88 0.90 0.09 1.00


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HEDGE FUND STRATEGIES 3-YEAR CORRELATION MATRIX (Monthly 3Y ending 7/11)Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM


Convertible Arbitrage 1.00 (0.08) 0.87 0.90 0.53 0.91 0.94 0.64 0.85 0.86 0.96 (0.66) 0.90 0.70 0.67 0.29 0.70

CTA Global (0.08) 1.00 (0.00) 0.07 0.05 0.07 (0.15) 0.63 0.20 0.08 (0.01) (0.03) 0.21 (0.02) 0.11 0.04 (0.01)

Distressed Securities 0.87 (0.00) 1.00 0.91 0.66 0.97 0.91 0.65 0.89 0.76 0.94 (0.76) 0.92 0.79 0.79 0.03 0.74

Emerging Markets 0.90 0.07 0.91 1.00 0.57 0.93 0.89 0.78 0.94 0.82 0.96 (0.76) 0.93 0.79 0.83 0.24 0.78


Event Driven 0.91 0.07 0.97 0.93 0.67 1.00 0.90 0.74 0.95 0.85 0.97 (0.79) 0.96 0.78 0.82 0.10 0.77Fixed Inc Arbitrage 0.94 (0.15) 0.91 0.89 0.57 0.90 1.00 0.57 0.80 0.79 0.94 (0.64) 0.88 0.76 0.68 0.27 0.71

Global Macro 0.64 0.63 0.65 0.78 0.46 0.74 0.57 1.00 0.84 0.67 0.71 (0.57) 0.82 0.54 0.66 0.24 0.54

Long/Short Equity 0.85 0.20 0.89 0.94 0.61 0.95 0.80 0.84 1.00 0.85 0.94 (0.84) 0.94 0.79 0.88 0.14 0.79

Merger Arbitrage 0.86 0.08 0.76 0.82 0.49 0.85 0.79 0.67 0.85 1.00 0.87 (0.71) 0.85 0.73 0.75 0.36 0.75

Relative Value 0.96 (0.01) 0.94 0.96 0.60 0.97 0.94 0.71 0.94 0.87 1.00 (0.78) 0.95 0.81 0.81 0.23 0.79

Short Selling (0.66) (0.03) (0.76) (0.76) (0.47) (0.79) (0.64) (0.57) (0.84) (0.71) (0.78) 1.00 (0.71) (0.85) (0.93) (0.08) (0 .84)

Funds Of Funds 0.90 0.21 0.92 0.93 0.63 0.96 0.88 0.82 0.94 0.85 0.95 (0.71) 1.00 0.74 0.76 0.17 0.71

DITMo CovdCall 0.70 (0.02) 0.79 0.79 0.41 0.78 0.76 0.54 0.79 0.73 0.81 (0.85) 0.74 1.00 0.91 0.31 0.89

SP500 Index 0.67 0.11 0.79 0.83 0.51 0.82 0.68 0.66 0.88 0.75 0.81 (0.93) 0.76 0.91 1.00 0.19 0.92

WFBIX Lehman AGG 0.29 0.04 0.03 0.24 (0.30) 0.10 0.27 0.24 0.14 0.36 0.23 (0.08) 0.17 0.31 0.19 1.00 0.19

BXM CovdCall 0.70 (0.01) 0.74 0.78 0.57 0.77 0.71 0.54 0.79 0.75 0.79 (0.84) 0.71 0.89 0.92 0.19 1.00

HEDGE FUND STRATEGIES 1-YEAR CORRELATION MATRIX (Monthly 1Y ending 7/11)Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM


Convertible Arbitrage 1.00 0.55 0.75 0.55 0.57 0.82 0.81 0.55 0.67 0.78 0.87 (0.56) 0.72 0.63 0.59 (0.19) 0.62

CTA Global 0.55 1.00 0.54 0.70 0.44 0.61 0.37 0.95 0.60 0.59 0.60 (0.35) 0.84 0.41 0.53 0.10 0.53


Emerging Markets 0.55 0.70 0.64 1.00 0.82 0.75 0.29 0.85 0.83 0.61 0.77 (0.73) 0.87 0.61 0.75 (0.19) 0.62


Event Driven 0.82 0.61 0.97 0.75 0.86 1.00 0.67 0.73 0.95 0.80 0.98 (0.88) 0.92 0.90 0.92 (0.39) 0.90

Fixed Inc Arbitrage 0.81 0.37 0.59 0.29 0.49 0.67 1.00 0.36 0.48 0.71 0.70 (0.43) 0.53 0.54 0.46 0.01 0.59

Global Macro 0.55 0.95 0.64 0.85 0.64 0.73 0.36 1.00 0.77 0.63 0.73 (0.59) 0.93 0.55 0.70 (0.01) 0.68

Long/Short Equity 0.67 0.60 0.92 0.83 0.90 0.95 0.48 0.77 1.00 0.72 0.94 (0.94) 0.93 0.89 0.96 (0.47) 0.89

Merger Arbitrage 0.78 0.59 0.74 0.61 0.66 0.80 0.71 0.63 0.72 1.00 0.82 (0.66) 0.73 0.66 0.69 (0.23) 0.76

Relative Value 0.87 0.60 0.91 0.77 0.84 0.98 0.70 0.73 0.94 0.82 1.00 (0.87) 0.91 0.85 0.89 (0.34) 0.88

Short Selling (0.56) (0.35) (0.85) (0.73) (0.91) (0.88) (0.43) (0.59) (0.94) (0.66) (0.87) 1.00 (0.79) (0.89) (0.95) 0.50 (0.85)

Funds Of Funds 0.72 0.84 0.85 0.87 0.81 0.92 0.53 0.93 0.93 0.73 0.91 (0.79) 1.00 0.77 0.85 (0.23) 0.83

DITMo CovdCall 0.63 0.41 0.94 0.61 0.89 0.90 0.54 0.55 0.89 0.66 0.85 (0.89) 0.77 1.00 0.96 (0.48) 0.81

SP500 Index 0.59 0.53 0.91 0.75 0.89 0.92 0.46 0.70 0.96 0.69 0.89 (0.95) 0.85 0.96 1.00 (0.41) 0.86

WFBIX Lehman AGG (0.19) 0.10 (0.52) (0.19) (0.43) (0.39) 0.01 (0.01) (0.47) (0.23) (0.34) 0.50 (0.23) (0.48) (0.41) 1.00 (0.28)

BXM CovdCall 0.62 0.53 0.86 0.62 0.74 0.90 0.59 0.68 0.89 0.76 0.88 (0.85) 0.83 0.81 0.86 (0.28) 1.00


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-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00%

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Annualized Monthly Standard Deviation

Hedge Fund Model Indexes (10Y ending 7/11)

Convertible Arbitrage

CTA Global

Distressed Securities

Emerging Markets

Equity Market Neutral

Event Driven

Fixed Income Arbitrage

Global Macro

Long/Short Equity

Merger Arbitrage

Relative Value

Short Selling

Funds Of Funds

DITMo

SP500

Lehman AGG

BXMCovdCall


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Annualized HEDGE FUND RISK (95% Discrete) PROBABILITY CHART (Monthly 10Y ending 7/11)Std Dev. Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM

is less than: Arbitrage Global Securities

Markets Neutral Driven Arbitrage Macro Equity Arbitrage Value Selling Funds CovdCall Index Lehman AGG CovdCall

26% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 96% 100% 99%

25% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 95% 100% 99%

24% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 98% 100% 100% 93% 100% 99%

23% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 91% 100% 99%

22% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 96% 100% 100% 88% 100% 98%

21% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 95% 100% 100% 84% 100% 97%

20% 100% 100% 100% 99% 100% 100% 100% 100% 100% 100% 100% 93% 100% 100% 79% 100% 96%

19% 100% 100% 100% 98% 100% 100% 100% 100% 100% 100% 100% 90% 100% 100% 73% 100% 94%

18% 100% 99% 100% 97% 100% 100% 100% 100% 100% 100% 100% 87% 100% 100% 65% 100% 92%

17% 100% 99% 100% 96% 100% 100% 100% 100% 100% 100% 100% 82% 100% 100% 56% 100% 88%

16% 99% 98% 100% 94% 100% 100% 100% 100% 100% 100% 100% 75% 100% 100% 45% 100% 83%

15% 99% 97% 100% 91% 100% 100% 100% 100% 99% 100% 100% 66% 100% 100% 34% 100% 76%

14% 98% 95% 100% 86% 100% 100% 100% 100% 99% 100% 100% 55% 100% 100% 23% 100% 67%

13% 97% 92% 99% 78% 100% 100% 100% 100% 98% 100% 100% 42% 100% 100% 14% 100% 55%

12% 95% 87% 99% 68% 100% 99% 100% 100% 97% 100% 100% 28% 100% 100% 6% 100% 41%

11% 91% 78% 98% 54% 100% 98% 100% 100% 94% 100% 100% 16% 100% 100% 2% 100% 27%

10% 84% 66% 96% 38% 100% 97% 100% 100% 89% 100% 99% 7% 99% 99% 0% 100% 14%

9% 72% 48% 92% 21% 100% 93% 99% 99% 80% 100% 99% 2% 98% 98% 0% 100% 5%

8% 54% 28% 83% 8% 100% 85% 97% 98% 65% 100% 97% 0% 94% 96% 0% 99% 1%

7% 31% 11% 67% 2% 100% 70% 93% 94% 43% 99% 92% 0% 87% 90% 0% 98% 0%

6% 11% 2% 42% 0% 99% 45% 83% 84% 18% 98% 80% 0% 70% 76% 0% 94% 0%

5% 1% 0% 14% 0% 96% 16% 58% 61% 3% 93% 54% 0% 41% 48% 0% 82% 0%

4% 0% 0% 1% 0% 85% 1% 21% 23% 0% 76% 18% 0% 9% 13% 0% 50% 0%

3% 0% 0% 0% 0% 45% 0% 1% 1% 0% 29% 1% 0% 0% 0% 0% 9% 0%

2.5% 0% 0% 0% 0% 16% 0% 0% 0% 0% 7% 0% 0% 0% 0% 0% 1% 0%

RENOVATIO ASSET MANAGEMENT

Data Source: Edhec Risk Institute (ex DITMo/SPX/BXM/WFBIX Agg)

Underline is 95% Confidence using 10 df annualizing monthly data


7/10


Annualized HEDGE FUND RETURN (95% Discrete) PROBABILITY CHART (Monthly 10Y ending 7/11)

Mo. Return Convertible CTA Distressed Emerging Equity Mkt Event Fixed Inc Global Long/Short Merger Relative Short Funds Of DITMo SP500 WFBIX BXM

= or > Arbitrage Global Securities Markets Neutral Driven Arbitrage Macro Equity Arbitrage Value Selling Funds CovdCall Index Lehman AGG CovdCall

14% 0% 2% 6% 29% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 1% 0% 1%

13% 0% 4% 13% 39% 0% 1% 0% 0% 0% 0% 0% 0% 0% 0% 2% 0% 1%

12% 1% 7% 25% 50% 0% 3% 0% 0% 1% 0% 0% 0% 0% 0% 3% 0% 2%

11% 3% 13% 42% 60% 0% 9% 0% 1% 3% 0% 0% 0% 0% 0% 5% 0% 4%

10% 7% 21% 61% 71% 0% 19% 1% 6% 6% 0% 1% 1% 0% 2% 7% 0% 7%

9% 14% 32% 78% 80% 0% 35% 3% 18% 13% 0% 6% 1% 0% 7% 10% 0% 10%

8% 25% 44% 89% 87% 0% 54% 11% 39% 24% 1% 17% 2% 1% 20% 13% 0% 15%

7% 39% 58% 96% 92% 1% 72% 28% 65% 39% 9% 37% 4% 5% 40% 18% 0% 21%

6% 54% 70% 99% 95% 7% 86% 53% 85% 56% 33% 61% 6% 14% 64% 23% 0% 29%

5% 70% 81% 100% 98% 31% 95% 76% 96% 72% 69% 82% 10% 32% 84% 29% 0% 38%

4% 82% 89% 100% 99% 70% 98% 92% 99% 84% 92% 94% 14% 55% 94% 36% 0% 48%

3% 91% 94% 100% 99% 94% 100% 98% 100% 92% 99% 99% 20% 77% 99% 44% 3% 58%

2% 96% 97% 100% 100% 99% 100% 100% 100% 97% 100% 100% 27% 91% 100% 51% 15% 67%

1% 98% 99% 100% 100% 100% 100% 100% 100% 99% 100% 100% 36% 97% 100% 59% 40% 76%

0% 99% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 45% 99% 100% 67% 71% 83%

-1% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 54% 100% 100% 73% 92% 89%

-2% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 64% 100% 100% 80% 99% 93%

-3% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 73% 100% 100% 85% 100% 96%

-4% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 80% 100% 100% 89% 100% 98%

-5% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 86% 100% 100% 93% 100% 99%

-6% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 91% 100% 100% 95% 100% 99%

-7% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 95% 100% 100% 97% 100% 100%

-8% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 97% 100% 100% 98% 100% 100%

-9% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 98% 100% 100% 99% 100% 100%

-10% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 100% 99% 100% 100% 99% 100% 100%

RENOVATIO ASSET MANAGEMENT Underline is the Annualized Return at > or = 95% Confidence Data Source: Edhec Risk Institute (ex DITMo/SPX/BXM/WFBIX Agg)


8/10


-20.00%

-15.00%

-10.00%

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

Hedge Fund Strategies

1Yr Returns (end 7/11) Renovatio Asset Management

Data Source: Edhec Risk Institute


CTA Global


Emerging Markets


Event Driven

Fixed Income ArbitrageGlobal Macro

Long/Short Equity

Merger Arbitrage

Relative Value

Short Selling

Funds Of Funds

DITMo

SP500

Lehman AGGBXMCovdCall

-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%Hedge Fund Strategies

3Yr Returns (end 7/11)Renovatio Asset Management



CTA Global


Emerging Markets


Event Driven

Fixed Income ArbitrageGlobal Macro

Long/Short Equity

Merger Arbitrage

Relative Value

Short Selling

Funds Of Funds

DITMo

SP500

Lehman AGG

BXMCovdCall


9/10


-10.00%

-8.00%

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%





CTA Global


Emerging Markets


Event Driven


Global Macro

Long/Short Equity

Merger Arbitrage

Relative Value

Short Selling

Funds Of Funds

DITMo

SP500

Lehman AGG

BXMCovdCall

-6.00%

-4.00%

-2.00%

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%





CTA Global


Emerging Markets


Event Driven


Global Macro

Long/Short Equity

Merger Arbitrage

Relative Value

Short Selling

Funds Of Funds

DITMo

SP500

Lehman AGG

BXMCovdCall


10/10


Date 2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD 7/11

BXMCovdCall -7.64% 19.37% 8.30% 4.25% 13.33% 6.59% -28.65% 25.91% 5.86% 1.67%

Convertible Arbitrage 8.60% 10.80% 1.10% -1.92% 12.33% 3.86% -26.50% 46.78% 12.28% 2.60%

CTA Global 14.57% 11.64% 5.17% -0.33% 5.87% 9.91% 15.61% -1.91% 9.78% -0.25%

Distressed Securities 5.86% 27.34% 17.89% 9.23% 15.26% 7.18% -21.29% 30.40% 14.09% 3.96%

DITMo -3.02% 13.45% 10.87% 9.33% 12.01% 9.50% -8.93% 8.39% 8.66% 5.60%

Emerging Markets 5.76% 31.27% 14.30% 17.18% 18.84% 20.79% -33.65% 37.87% 11.18% 0.21%

Equity Market Neutral 4.71% 6.29% 4.71% 6.53% 7.47% 8.34% -8.36% 5.07% 5.37% 2.48%

Event Driven -1.08% 20.48% 12.43% 7.31% 15.47% 9.62% -18.49% 25.74% 11.54% 1.82%

Fixed Income Arbitrage 7.56% 8.35% 6.26% 4.64% 7.43% 6.01% -17.40% 24.49% 9.98% 4.51%

Funds Of Funds 1.26% 11.45% 7.08% 6.81% 11.24% 10.07% -19.72% 10.67% 5.21% -0.31%

Global Macro 4.96% 17.25% 4.60% 9.49% 7.50% 12.93% -3.22% 10.39% 8.47% 0.67%

Lehman AGG 3.89% -1.18% -0.90% -2.92% -0.52% 1.56% 0.82% 0.81% 2.73% 1.97%

Long/Short Equity -6.38% 19.31% 8.62% 11.33% 11.76% 10.56% -18.92% 20.01% 9.76% 0.93%

Merger Arbitrage -0.90% 8.34% 4.83% 4.95% 13.71% 9.09% -2.35% 9.97% 6.45% 2.02%

Relative Value 2.77% 12.15% 5.71% 5.24% 11.85% 9.43% -14.91% 21.16% 9.97% 2.49%

Short Selling 27.27% -23.87% -4.66% 7.28% -8.28% 7.40% 31.52% -20.53% -16.62% -1.68%

SP500 -23.37% 26.38% 8.99% 3.00% 13.62% 3.53% -38.49% 23.45% 12.78% 5.00%

2002 2003 2004 2005 2006 2007 2008 2009 2010 YTD 7/11

Short Selling Emerging Markets Distressed Securities Emerging Markets Emerging Markets Emerging Markets Short Selling Convertible Arbitrage Distressed Securities DITMo

CTA Global Distressed Securities Emerging Markets Long/Short Equity Event Driven Global Macro CTA Global Emerging Markets SP500 SP500

Cinvertible Arbitrage SP500 Event Driven Global Macro Distressed Securities Long/Short Equity Lehman AGG Distressed Securities Convertible Arbitrage Fixed Income Arbitrage

Fixed Income Arbitrage Event Driven DITMo DITMo Merger Arbitrage Funds Of Funds Merger Arbitrage BXMCovdCall Event Driven Distressed Securities

Distressed Securities BXMCovdCall SP500 Distressed Securities SP500 CTA Global Global Macro Event Driven Emerging Markets Convertible Arbitrage

Emerging Markets Long/Short Equity Long/Short Equity Event Driven BXMCovdCall Event Driven Equity Market Neutral Fixed Income Arbitrage Fixed Income Arbitrage Relative Value

Global Macro Global Macro BXMCovdCall Short Selling Convertible Arbitrage DITMo DITMo SP500 Relative Value Equity Market Neutral

Equity Market Neutral DITMo Funds Of Funds Funds Of Funds DITMo Relative Value Relative Value Relative Value CTA Global Merger Arbitrage

Lehman AGG Relative Value Fixed Income Arbitrage Equity Market Neutral Relative Value Merger Arbitrage Fixed Income Arbitrage Long/Short Equity Long/Short Equity Lehman AGG

Relative Value CTA Global Relative Value Relative Value Long/Short Equity Equity Market Neutral Event Driven Funds Of Funds DITMo Event Driven

Funds of Funds Funds Of Funds CTA Global Merger Arbitrage Funds Of Funds Short Selling Long/Short Equity Global Macro Global Macro BXMCovdCall

Merger Arbitrage Convertible Arbitrage Merger Arbitrage Fixed Income Arbitrage Global Macro Distressed Securities Funds Of Funds Merger Arbitrage Merger Arbitrage Long/Short Equity

Event Driven Fixed Income Arbitrage Equity Market Neutral BXMCovdCall Equity Market Neutral BXMCovdCall Distressed Securities DITMo BXMCovdCall Global Macro

DITMo Merger Arbitrage Global Macro SP500 Fixed Income Arbitrage Fixed Income Arbitrage Convertible Arbitrage Equity Market Neutral Equity Market Neutral Emerging Markets

Long/Short Equirty Equity Market Neutral Convertible Arbitrage CTA Global CTA Global Convertible Arbitrage BXMCovdCall Lehman AGG Funds Of Funds CTA Global

BXMCivdCall Lehman AGG Lehman AGG Convertible Arbitrage Lehman AGG SP500 Emerging Markets CTA Global Lehman AGG Funds Of Funds

SP500 Short Selling Short Selling Lehman AGG Short Selling Lehman AGG SP500 Short Selling Short Selling Short Selling

Hedge Strategy Monthly Report- Sept '11 Edition

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Transcript of Hedge Strategy Monthly Report- Sept '11 Edition