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efta-efta01364394DOJ Data Set 10CorrespondenceEFTA Document EFTA01364394
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DOJ Data Set 10
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Risk Premia Correlation Analysis
Correlations Through Time
• Risk Premia research has focused on the superiority of Risk Premia compared to asset classes
as diversifiers during periods of market stress.
Correlation
3Y Rolling Average Correlation to Equities
100%
80%•
60% •
40%
20% t eleayirbolikadv iskit,
0%
92 93
97 98 99 00 01 02 I
I
06 07 08 09 10 11 12 13 14 15
-20% •
-40%
-60%
-80%
-100%
Risk Premia Cross-Asset
Traditional Asset Classes
'TraditionalAsset Classes refers to Equity, Bonds, Commodities, Hedge Funds, Private Equity and REITs.
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e)
CONFIDENTIAL
DB-SDNY-0054927
SDNY_GM_00201111
EFTA01364394
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