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sd-10-EFTA01362952Dept. of Justice

EFTA Document EFTA01362952

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IMPACT OF CYES OVERLAY SIZING ON BALANCED PORTFOLIO* • Client's preference determines overlay size • Enhanced cash flow and risk adjusted returns 26.0 24A 22.0 200 18.0 160 in 140 12.0 10.0 80 6.0 41111 $30TenortIday - am $20YmOortat SlOmmeetrlat - Pcrildb eit ••• ..... • ..... • salariced Portfolio assumes equal allocations (1/3 each) on 04/01/08 to: Cash a Citjyroup 3m Treasury-bill; Bends a Barclays Municipal Bond Index; Equities • %PSC° Total Return index. yr

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Dept. of Justice
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sd-10-EFTA01362952
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