Hedge Strategy Monthly Report - Sept '11 Edition

Deep-In-The-Money
Hedge Strategy Monthly

September 2011, Issue #2
www.RenovatioAM.com
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, industry
associations, 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. in
Banking & 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 formulation
of 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 portfolio
includes 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 a
cash 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 the
minimal 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 that 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 by
those 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
=<-10%
DITMo(Y)
+3.26% + .69(SPX)
-5% to 10%
-.62% + .11(SPX)
-5% to 5%
+.68% + .25(SPX)
=>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-money
to out-of-the money resulting in higher beta.
Prepared by: Pj de Marigny, DITMo Strategies
Page 2
2011 RENOVATIO ASSET MANAGEMENT, LLC
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
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
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
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
Global Macro
0.77
0.87
0.49
0.11
0.04
0.64
0.93
0.81
0.58
0.88
0.72
0.75
0.64
0.52
0.55
1.00
0.74
0.67
0.74
1.00
0.48
0.67
0.48
1.00
0.93
0.61
0.74
0.84
0.54
0.59
0.95
0.83
0.65
(0.73)
(0.40)
(0.40)
0.92
0.73
0.80
0.72
0.59
0.39
0.76
0.49
0.43
(0.07)
0.20
0.16
0.71
0.49
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
0.59
0.86
(0.45)
0.73
0.52
0.50
0.12
0.06
0.03
0.30
(0.09)
(0.06)
0.66
0.89
(0.61)
0.86
0.68
0.67
0.71
0.91
(0.65)
0.91
0.72
0.73
0.46
0.60
(0.30)
0.70
0.35
0.37
0.84
0.95
(0.73)
0.92
0.72
0.76
0.54
0.83
(0.40)
0.73
0.59
0.49
0.59
0.65
(0.40)
0.80
0.39
0.43
0.81
0.91
(0.80)
0.91
0.75
0.82
1.00
0.79
(0.67)
0.78
0.62
0.65
0.79
1.00
(0.71)
0.91
0.76
0.76
(0.67)
(0.71)
1.00
(0.59)
(0.80)
(0.90)
0.78
0.91
(0.59)
1.00
0.63
0.63
0.62
0.76
(0.80)
0.63
1.00
0.92
0.65
0.76
(0.90)
0.63
0.92
1.00
0.04
0.01
0.18
(0.01)
(0.03)
(0.10)
0.64
0.74
(0.79)
0.59
0.86
0.90
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)
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
Convertible Arbitrage
CTA Global
Equity Mkt Neutral

Event Driven
Fixed Inc Arbitrage
Merger Arbitrage
Relative Value
Short Selling
Funds Of Funds
DITMo CovdCall
SP500 Index
WFBIX Lehman AGG
BXM CovdCall
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
1.00
(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
(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)
0.85
0.06
1.00
0.88
0.65
0.97
0.88
0.60
0.88
0.72
0.94
(0.73)
0.88
0.76
0.77
(0.03)
0.71
Emerging Markets
0.84
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
CTA Global
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)
0.51
Event 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 Equity
0.80
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
(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)
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
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
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
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
0.09
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
Short Selling
Funds Of Funds
DITMo CovdCall
SP500 Index
WFBIX Lehman AGG
BXM CovdCall
Page 3

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
1.00
(0.08)
(0.08)
1.00
0.87
(0.00)
0.90
0.07
0.53
0.05
0.91
0.07
0.94
(0.15)
0.64
0.63
0.85
0.20
0.86
0.08
0.96
(0.01)
(0.66)
(0.03)
0.90
0.21
0.70
(0.02)
0.67
0.11
0.29
0.04
0.70
(0.01)
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
CTA Global
0.53
0.05
0.66
0.57
1.00
0.67
0.57
0.46
0.61
0.49
0.60
(0.47)
0.63
0.41
0.51
(0.30)
0.57
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
0.77
Fixed 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
Equity Mkt Neutral
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
(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)
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
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
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
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
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
Convertible
Arbitrage
CTA
Global
Distressed
Securities
Emerging
Markets
Equity Mkt
Neutral
Event
Driven
Fixed Inc
Arbitrage
Global
Macro
Long/Short
Equity
Merger
Arbitrage
Relative
Value
Short
Selling
Funds Of
Funds
DITMo
CovdCall
SP500
Index
WFBIX
Lehman AGG
BXM
CovdCall
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
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
0.75
0.54
1.00
0.64
0.83
0.97
0.59
0.64
0.92
0.74
0.91
(0.85)
0.85
0.94
0.91
(0.52)
0.86
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
0.57
0.44
0.83
0.82
1.00
0.86
0.49
0.64
0.90
0.66
0.84
(0.91)
0.81
0.89
0.89
(0.43)
0.74
Short Selling
Funds Of Funds
DITMo CovdCall
SP500 Index
WFBIX Lehman AGG
BXM CovdCall

CTA Global
Equity Mkt Neutral

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
(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)
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
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
Short Selling
Funds Of Funds
DITMo CovdCall
SP500 Index
WFBIX Lehman AGG
BXM CovdCall
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
(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)
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
Page 4
Hedge Fund Model Indexes (10Y ending 7/11)

12.00%
CTA Global
Emerging Markets
10.00%
A
n
n
u
a
l
i
z
e
d
A
v
g
Equity Market Neutral

Event Driven
Fixed Income Arbitrage
8.00%
Global Macro
Long/Short Equity
Merger Arbitrage
R
e
t
u
r
n
Relative Value
6.00%
Short Selling
Funds Of Funds
DITMo
4.00%
SP500
Lehman AGG
M
o
n
t
h
l
y
BXMCovdCall
2.00%
0.00%
0.00%
2.00%
-2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
18.00%
Annualized Monthly Standard Deviation
Page 5
Annualized
Std Dev. Convertible
is less than: Arbitrage
HEDGE FUND RISK (95% Discrete) PROBABILITY CHART (Monthly 10Y ending 7/11)
CTA
Global
Distressed
Securities
Emerging
Markets
Equity Mkt
Neutral
Event
Driven
Fixed Inc
Arbitrage
Global
Macro
Long/Short
Equity
Merger
Arbitrage
Relative
Value
Short
Selling
Funds Of
Funds
DITMo
CovdCall
SP500
Index
WFBIX
Lehman AGG
BXM
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
Underline is 95% Confidence using 10 df annualizing monthly data
Page 6
Data Source: Edhec Risk Institute (ex DITMo/SPX/BXM/WFBIX Agg)
HEDGE FUND RETURN (95% Discrete) PROBABILITY CHART (Monthly 10Y ending 7/11)
Annualized
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
Page 7
Data Source: Edhec Risk Institute (ex DITMo/SPX/BXM/WFBIX Agg)
25.00%
20.00%
Hedge Fund Strategies

1Yr Returns (end 7/11)
15.00%
Renovatio Asset Management

Data Source: Edhec Risk Institute
CTA Global
Emerging Markets
10.00%
Event Driven
5.00%
Global Macro
Long/Short Equity
0.00%
Merger Arbitrage
Relative Value
-5.00%
Short Selling
Funds Of Funds
-10.00%
DITMo
SP500
-15.00%
Lehman AGG
BXMCovdCall
-20.00%
12.00%

10.00%
8.00%

6.00%
CTA Global
Emerging Markets
Event Driven
4.00%
2.00%
Global Macro
Long/Short Equity
0.00%
Merger Arbitrage
Relative Value
-2.00%
Short Selling
-4.00%
Funds Of Funds
DITMo
-6.00%
SP500
-8.00%
Lehman AGG
-10.00%
BXMCovdCall
Page 8
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
8.00%
6.00%
4.00%
2.00%
0.00%
-2.00%

-4.00%

-6.00%
-8.00%
-10.00%
14.00%
12.00%
10.00%

8.00%
CTA Global
Emerging Markets
Event Driven
6.00%
Global Macro
4.00%
Long/Short Equity
2.00%
Merger Arbitrage
Relative Value
0.00%
Short Selling
-2.00%
Funds Of Funds
DITMo
-4.00%
SP500
Lehman AGG
BXMCovdCall
-6.00%
Page 9
2002
2003
2004
2005
2006
2007
2008
2009
2010
YTD 7/11
BXMCovdCall
Date
-7.64%
19.37%
8.30%
4.25%
13.33%
6.59%
-28.65%
25.91%
5.86%
1.67%
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%
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%
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%
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
Emerging Markets
Emerging Markets
Emerging Markets
Short Selling
DITMo
CTA Global
Emerging Markets
Long/Short Equity
Event Driven
Global Macro
CTA Global
Emerging Markets
SP500
SP500
Cinvertible Arbitrage
SP500
Event Driven
Global Macro
Long/Short Equity
Lehman AGG
Event Driven
DITMo
DITMo
Merger Arbitrage
Funds Of Funds
Merger Arbitrage
BXMCovdCall
Event Driven
BXMCovdCall
SP500
SP500
CTA Global
Global Macro
Event Driven
Emerging Markets
Emerging Markets
Long/Short Equity
Long/Short Equity
Event Driven
BXMCovdCall
Event Driven
Relative Value
Global Macro
Global Macro
BXMCovdCall
Short Selling
DITMo
DITMo
SP500
Relative Value
DITMo
Funds Of Funds
Funds Of Funds
DITMo
Relative Value
Relative Value
Relative Value
CTA Global
Merger Arbitrage
Lehman AGG
Relative Value
Relative Value
Merger Arbitrage
Long/Short Equity
Long/Short Equity
Lehman AGG
Relative Value
CTA Global
Relative Value
Relative Value
Long/Short Equity
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
Merger Arbitrage
Global Macro
Funds Of Funds
Merger Arbitrage
Merger Arbitrage
Long/Short Equity
Event Driven
BXMCovdCall
BXMCovdCall
DITMo
BXMCovdCall
Global Macro
DITMo
Merger Arbitrage
Global Macro
SP500
Emerging Markets
Long/Short Equirty
CTA Global
CTA Global
BXMCovdCall
Lehman AGG
Funds Of Funds
CTA Global
BXMCivdCall
Lehman AGG
Lehman AGG
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
Page 10

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Deep-In-The-Money

Hedge Strategy Monthly

Prepared by: Pj de Marigny, DITMo Strategies

2011 RENOVATIO ASSET MANAGEMENT, LLC

Emerging Equity Mkt

Equity Mkt Neutral

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

Emerging Equity Mkt

Equity Mkt Neutral

Fixed Inc Arbitrage

Prepared by: Pj de Marigny, DITMo Strategies

2011 RENOVATIO ASSET MANAGEMENT, LLC

HEDGE FUND STRATEGIES 3-YEAR CORRELATION MATRIX (Monthly 3Y ending 7/11)

Fixed Inc Arbitrage

Equity Mkt Neutral

HEDGE FUND STRATEGIES 1-YEAR CORRELATION MATRIX (Monthly 1Y ending 7/11)

Equity Mkt Neutral

Fixed Inc Arbitrage

Prepared by: Pj de Marigny, DITMo Strategies

2011 RENOVATIO ASSET MANAGEMENT, LLC

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

Equity Market Neutral

Prepared by: Pj de Marigny, DITMo Strategies

Annualized Monthly Standard Deviation

2011 RENOVATIO ASSET MANAGEMENT, LLC

RENOVATIO ASSET MANAGEMENT

Prepared by: Pj de Marigny, DITMo Strategies

Underline is 95% Confidence using 10 df annualizing monthly data

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

2011 RENOVATIO ASSET MANAGEMENT, LLC

RENOVATIO ASSET MANAGEMENT

Prepared by: Pj de Marigny, DITMo Strategies

Underline is the Annualized Return at > or = 95% Confidence

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

2011 RENOVATIO ASSET MANAGEMENT, LLC

Hedge Fund Strategies

Renovatio Asset Management

Hedge Fund Strategies

Renovatio Asset Management

Fixed Income Arbitrage

Prepared by: Pj de Marigny, DITMo Strategies

2011 RENOVATIO ASSET MANAGEMENT, LLC

Hedge Fund Strategies

Renovatio Asset Management

Hedge Fund Strategies

Prepared by: Pj de Marigny, DITMo Strategies

2011 RENOVATIO ASSET MANAGEMENT, LLC

Equity Market Neutral

Fixed Income Arbitrage

Fixed Income Arbitrage

Fixed Income Arbitrage

Equity Market Neutral

Fixed Income Arbitrage

Fixed Income Arbitrage

Equity Market Neutral

Equity Market Neutral

Fixed Income Arbitrage

Equity Market Neutral

Fixed Income Arbitrage

Equity Market Neutral

Fixed Income Arbitrage

Fixed Income Arbitrage