DIVA SYNERGY UCITS FUND - Bernheim, Dreyfus & Co.

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1. Merger Arbitrage – Announced Deals The Merger Arbitrage strategy revolves around acquiring shares in listed companies subject to mergers and acquisitions. The objective is to capture the value gap (spread) between the share price after the announcement and the price offered by the acquirer. Different Merger Arbitrage Approaches " Sure Thing " • Transactions whose probability of success is seen as virtually certain: the market has reached a consensus for the value and the risk • Very low risk " Probable " • Transactions whose probability of success is seen as probable • Transactions with clear synergies but with contrarian views by market players of value and risk " Doubtful " • Transactions whose probability of success is seen as doubtful • High risk transactions with regulatory uncertainties and/or questionable synergies Preference: Strategic deals with clear synergies, low financing and regulatory risks, where both target and acquirer have strong business models and with contrarian views by market players of value and risk PORTFOLIO CONSTRUCTION • Trading Policy: Usually we increase positions when spreads widen – assuming our analysis has not changed • Hedging: Hedging is used in stock transactions by short selling the amount of the acquirers shares we will receive when deal close • Liquidity: Over 80% of the portfolio is invested in companies with a market capitalization of at least $500 million. • Tests: • Reward/risk ratio – Focus on high reward/risk ratio deals. • Overlapping deal closure dates to optimize the portfolio’s events calendar • Monitoring : • Keep track of portfolio events • Frequent use of trading limits • Continuous review the investment thesis 2
2. Pre-Event Merger Arbitrage – Anticipated Deals The Pre-Event strategy consists of identifying potential M&A targets through a rigorous investment process Investment Process Target Universe • 1000 companies of appropriate size in North America and Europe Comments • Investment criteria: Companies listed in Western Europe and North America, usually with a $1 to $10 billions market capitalization Under Our Radar Hot Sectors Identifying Buyers • 300-400 potential targets under daily monitoring • 100 potential targets within the sectors identified for a potentially high degree of M&A activity • Identification of interested buyers with cash and a need for external growth • The selection criteria are both fundamental (consolidation within an industry, strategic or regulatory pressure, similar to a target of recent mergers and acquisitions ...) and technical (abnormal returns, unusual volume / volatility) • Currently we anticipate strong M&A in the pharmaceutical, energy and technology industries among others, • Identification of potential buyers is based on criteria such as: • Level of cash on balance sheet, need for external strategic growth, etc. • Companies that could generate synergies and cost savings and/or unlock other value Portfolio • Hedged against market risk • Mainly companies whose market capitalization is between 1 and 10 billion euros • Trading Policy: the size of the position normally starts small and is built up when the stock price increases, which we consider as an indication that the market aligns with our scenario. • Hedging: the positions are covered by short selling index futures to obtain a zero beta adjustment (ie, "market neutral"). • Liquidity: over 80% of the portfolio is invested in companies with a market capitalization of at least $500 million. • Risk Controls: stop-losses at 10% downside of the traded pair (long equity – short index) 3
Page 1 and 2: DIVA SYNERGY UCITS FUND An Event-Dr
Page 3 and 4: Table of Contents Introduction to D
Page 5: Overview of Diva Synergy UCITS Diva
Page 9 and 10: Structure of Portfolio Market Volat
Page 11 and 12: Risk Management Risk Management Too
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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