2019 March CAD

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3.13% MTD
6.55% YTD

Dear Partners,

For the month of March, the Caravel Cad Fund was up 3.13%.

The Fund generated the returns in its core strategies: merger arbitrage, long vs. short, warrant and convertible bond arbitrage. The fund continued to actively turn over its capital by exiting positions that had reached full value, while identifying and redeploying into opportunities with more attractive risk-reward profiles.

North American markets have enjoyed above-average returns since the correction in the 4th quarter of 2018. The exaggerated increase in major indices has not gone unnoticed by Caravel. While we did expect valuations to exceed fair value based on economic growth for 2019, we are initiating a more cautious approach to new investments. We have been exiting relative value positions that tend to carry higher systematic risk (market risk). We have increased the portfolio’s weight in convertible bonds that are trading at or below par value, merger arbitrage, and heavy hedged warrant positions. Finally, we are selling options or adding a hedge to strategies where possible. Simply put ... we believe this party is in full swing, it’s getting late, and we see some overserved patrons.

Last month, we announced that we would reopen the Fund for up to $15 million in new capital. On April 1, 2019 the fund received subscriptions for $10 million with an additional $2.6 million committed for May 1st. Most of this capital came from existing investors, however we would like to take this opportunity to welcome the new partners who have joined the fund.

We live by the mantra that we must have substantial “skin in the game”. To further this point, Glen and I reinvested 100% of our performance fees from Q1. We also increased our investment by an additional $1.3 million and continue to hold over 20% of the current AUM. We are both looking into purchasing/building homes on the island as we continue to spread our roots in The Bahamas. In the future there likely will be a need for some of this capital to be withdrawn for these purchases. We anticipate this capital will have appreciated substantially.

We thank you for your continued confidence and capital

Jeff & Glen

Monthly Performance (net of all fees)

JanFebMarAprMayJunJulAugSepOctNovDec YTD

Risk vs. Return Comparisons Across Indexes

Month Return YTD Return Volatility Sharpe Sortino Beta Best Month Worst Month Annualized
S&P 5001.94%13.64%11.43%

Growth of $1000 since inception

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