DIVA SYNERGY UCITS FUND - Bernheim, Dreyfus & Co.

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Risk Management A Robust Risk Management System Regulatory environment • The Fund is under French law and complies with the European <strong>UCITS</strong> III regulations • The Fund is eligible for life insurance Position Sizing • Sizing is determined by liquidity, the downside risk and the ability to hedge undesired risks • We aim to avoid crowded trades • We systematically cover all risks (currency, interest rate, ...) other than those inherent to the strategy (mainly the nonoccurrence of an anticipated event) Internal Risk Monitoring • The team has real time access to exposures by sub-strategy, geography, currency and other exogenous or macro factors often difficult to predict • Crowded, illiquid or high-risk trades (when any), are segregated and very closely monitored • Strict stop-loss policy Stress-Tests • Risk manager frequently runs stress scenarios on the portfolio and its sub-books and also ensures that our strict guidelines are respected • Monthly Risk <strong>Co</strong>mmittee meetings address potential risk areas and raise early warning signals Frequent Reporting • Daily NAV and monthly reporting 6
Risk Management Risk Management Tools DATA FEED & ANALYTICS FRONT TOOL DAILY RISK REPORTING • Bloomberg: - Yield curves - Market prices - Currency rates - Data and other statistics • Fimatrix®: - Value at risk - Stress testing • Real time position tracking and exposure updates • Real time profit and loss calculation • Cross asset class risk consolidation • What-if analysis • Scenario analysis • Fimatrix® • In house reports 7
Page 1 and 2: DIVA SYNERGY UCITS FUND An Event-Dr
Page 3 and 4: Table of Contents Introduction to D
Page 5 and 6: Overview of Diva Synergy UCITS Diva
Page 7 and 8: 2. Pre-Event Merger Arbitrage - Ant
Page 9: Structure of Portfolio Market Volat
Page 13 and 14: Diva Synergy (Ucits) Risk Profile T
Page 15 and 16: M&A Market in 2011 Positive market
Page 17 and 18: Pre Event Driven Portfolio - Case S
Page 19 and 20: Portfolio Managers (as at June 1 st

DIVA SYNERGY UCITS FUND - Bernheim, Dreyfus & Co.

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