EFTA Document EFTA01364398

Cash Equity Risk Premia Portfolio Volatility Targeting ■ With the aim of stabilizing the volatility of the Risk-weighted portfolio of Cash Equity Premia and also to create an index with a volatility comparable to a diversified hedge fund portfolio, we created the DB Equity Risk Premia Portfolio TV5, which targets an annualized volatility of 5%. ■ The strategy allocates to the Risk-weighted portfolio of Cash Equity Premia based on the 1-year trailing realized volatility and rebalances month