Our monthly event-driven market review and strategies update.
Virtus Westchester Event-Driven Fund
The Fund seeks to deliver consistent, positive absolute returns with lower volatility to traditional stocks by investing in corporate reorganizations diversified across companies, sectors, and asset classes globally. The highly specialized team seeks to profit from the successful completion of catalyst-specific transactions including split-ups, spin-offs, recapitalizations, mergers, acquisitions, late-stage bankruptcies, share buy-backs, or other special situations/restructurings, with minimal correlation to traditional stocks and bonds in virtually all market environments.
Westchester Capital Management, LLC
For over 30 years, Westchester Capital Management has endeavored to deliver consistent, absolute returns through the disciplined execution of event-driven alternative investment strategies.
Learn more about Westchester Capital Management, LLC
Roy D. Behren
Co-President and Co-Chief Investment Officer
Industry start date: 1987
Start date as fund Portfolio Manager: 2014
Roy Behren is co-president and co-chief investment officer at Westchester Capital Management, LLC, an investment management affiliate of Virtus Investment Partners. Mr. Behren is also a co-portfolio manager at both Westchester and its affiliate Westchester Capital Partners, LLC.
Mr. Behren was named managing partner of Westchester in 2010, having held the role of chief compliance officer from September 2002 through June 2010. He joined Westchester in 1994 from the U.S. Securities and Exchange Commission’s New York Regional Office, where he worked as an enforcement attorney for seven years. He also served as a member of Redback Networks’ board of directors and its audit committee, from 2004 through 2006.
Mr. Behren earned a B.S. in economics at The Wharton School, a J.D. from the University of Miami Law School, and an LL.M. in corporate law from the New York University School of Law. He began working in the investment industry in 1987.
Michael T. Shannon, CFA
Co-President and Co-Chief Investment Officer
Industry start date: 1988
Start date as fund Portfolio Manager: 2014
Michael Shannon is co-president and co-chief investment officer at Westchester Capital Management, LLC, an investment management affiliate of Virtus Investment Partners. Mr. Shannon is also a co-portfolio manager at both Westchester and its affiliate Westchester Capital Partners, LLC. He is a member of Westchester’s investment committee.
Mr. Shannon joined Westchester in 1996 from J.P. Morgan, where he had worked in the firm's corporate finance, mergers & acquisitions, and equity research departments for eight years. He held the role of director of research at Westchester for nine years and then rejoined the firm in 2006 after two years in the role of senior vice president in charge of mergers and special situations at D.E. Shaw & Co.
Mr. Shannon earned a B.S. in finance from Boston College. He is a Chartered Financial Analyst® (CFA®) charterholder and a member of the New York society of security analysts and the CFA institute. He began working in the investment industry in 1988.
Portfolio Diversifier and Potential Volatility Dampener
Event driven strategies have historically provided attractive absolute returns with lower volatility and minimal correlation relative to traditional stock and bond strategies, making for a powerful portfolio diversifier.
A Pioneer in Liquid Alternative Investments
With a history spanning more than three decades, Westchester is one of the leading investment managers of event-driven strategies. The Firm has a proven track record of identifying profitable event-driven opportunities through all market cycles.
A leader in global event driven investing for over 30 years, Westchester has evaluated more than 10,000 announced transactions, and invested in over 5,000 mergers, acquisitions, and corporate reorganizations, of which more than 98% were completed.
Position Summary(as of 09/29/2023)
|Average position size||1.70%|
|Number of long positions(1)||74|
(1) It is important to note that long positions, net of short positions ("Net Exposure"), is not an accurate indicator of the Fund's directional exposure and has limited informational value. The Fund's Net Exposure is dependent upon the structure and consideration paid to the target company in each of our investments. A portfolio with a greater concentration of cash deals, for example, will have a higher Net Exposure calculation than a portfolio composed primarily of stock - for - stock transactions, yet both portfolios will have the same level of market correlation, or directional exposure. Our positions are typically fully hedged to neutralize such exposure, in order to minimize equity market correlation and volatility.
Exposure (%)(as of 09/29/2023)
Top 10 Positions(as of 09/29/2023)
|Activision Blizzard, Inc.|
|Horizon Therapeutics Public Limited Co.|
|Capri Holdings Limited|
|Endeavor Group Holdings, Inc.|
|Top 10 Positions as % of Fund||39.41%|
(as of 09/29/2023)
Strategy Allocation and Contribution to Performance
Regional and sector exposure, top positions, and strategy allocation are subject to change.
Strategy allocation reflects the breakdown of opportunities classified by type of transaction. Arbitrage, in general, reflects investments after a public announcement is made; special situations reflect transactions that take advantage of valuation disparities produced by corporate events; credit events involve opportunities in late-stage bankruptcies; and extraordinary events attempt to isolate value enhancing events like restructurings.
Sector Exposure (% Long Positions ex-SPACs)
Regional Exposure (% Long Positions)
|North America Offshore||
Performance & Risk
Growth of $10,000 InvestmentFrom to
Performance data quoted represents past results. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost.
Sales Charge and Expenses
|Virtus Westchester Event-Driven Fund Fact Sheet - I Shares|
|Virtus Westchester Event-Driven Fund Fact Sheet - A Shares|
|Westchester Investment Solutions At-A-Glance|
|Correlations, Inflation, and Interest Rates|
|Virtus Alternative Funds Menu|
Investors should carefully consider the investment objectives, risks, charges and expenses of any Virtus Mutual Fund before investing. The prospectus and summary prospectus contains this and other information about the fund. Please contact your financial representative, call 1-800-243-4361 to obtain a current prospectus and/or summary prospectus. You should read the prospectus and/or summary prospectus carefully before you invest or send money.
Average annual total return is the annual compound return for the indicated period. It reflects the change in share price and the reinvestment of all dividends and capital gains. NAV returns do not include the effect of any applicable sales charges. POP and w/CDSC returns include the effect of maximum applicable sales charges.
Returns for periods of less than one year are cumulative total returns.
1 Yields/Distributions: 30-day SEC Yield is a standardized yield calculated according to a formula set by the SEC, and is subject to change. 30-day SEC Yield (unsubsidized) is the 30-day SEC Yield without the effect of applicable expense waivers. Distribution Rate is calculated by (a) annualizing the latest income distribution for fixed income funds or funds less than 1 year old, or (b) summing all income distributions over the preceding 12 months for all other funds, and dividing the NAV on the last business date of the period, unless otherwise indicated. The Distribution Rate may be comprised of ordinary income, net realized capital gains and returns of capital.
2 Distribution History: Distributions are represented on a cash basis and may be reclassified at year end for tax purposes. The Fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. STCG: Short Term Capital Gain, LTCG: Long Term Capital Gain
3 Risk Statistics: R2 is a statistical measure that represents the percentage of a fund or security's movements that can be explained by movements in a benchmark index. Beta is a quantitative measure of the volatility of a given portfolio to the overall market. Alpha is a risk adjusted measure of an investment's excess return relative to a benchmark. A positive Alpha indicates that the investment produced a return greater than expected for the risk (as measured by Beta) taken. Standard Deviation measures variability of returns around the average return for an investment fund. Higher standard deviation suggests greater risk. Risk Statistics are calculated using 36 monthly returns.
4 Characteristics: For Equity Funds: Avg. Weighted Market Cap (bn): The sum of each security's weight within the fund (or index) multiplied by the security's market capitalization. Trailing P/E Ex-Negative Earnings: Per-share stock price divided by the latest 12-months Earnings per Share; Price/Cash Flow: Per-share stock price divided by the per-share operating cash flow; Price/Book: Per-share stock price divided by the latest 12-month per-share Book Value; 3-Year EPS Growth Rate: Average of earnings per share growth for latest 3-year period. The 3-Year EPS Growth Rate is not a forecast of the fund's performance.
4 Characteristics: For Fixed Income Funds: Effective Duration represents the interest rate sensitivity of a fixed income fund. For example, if a fund's effective duration is five years, a 1% increase in interest rates would result in a 5% decline in the fund's price. Similarly, a 1% decline in interest rates would result in a 5% gain in the fund's price.
The Morningstar Rating™ for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Ratings do not take into account the effects of sales charges and loads.
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