Skip to main content
Skip to content
EFTA Document EFTA01364424EFTA Document EFTA01364426
Case File
sd-10-EFTA01364425Dept. of JusticeOther

EFTA Document EFTA01364425

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

Date
Unknown
Source
Dept. of Justice
Reference
sd-10-EFTA01364425
Pages
1
Persons
0
Integrity
Loading PDF viewer...

Summary

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

Download Original PDFSave PDF

Ask AI About This Document

0Share
PostReddit

Extracted Text (OCR)

EFTA Disclosure
Text extracted via OCR from the original document. May contain errors from the scanning process.
Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7% 4% MSCI World PR 3.8% 16.4% 0.23 -59% Source Deutsche Bank AG. Bloomberg. Risk-weighted Portfolio is monthly rebalanced. Premia are weighted proportional to inverse of 1-year realized volatilities on each rebalancing date Volatility is calculated with daily return data. Beta and correlation are calculated using monthly return data. Risk Premia Portfolio contains Value. Quality. Momentum, and Low Beta. Performance. actual or simulated. is not a reliable indcator of future results 11 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0054961 SDNY_GM_00201145 EFTA01364425

Related Documents (6)

Dept. of JusticeOtherUnknown

EFTA Document EFTA01416150

Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap From: Xavier Avila ‹ > Date: Wed, 06 Dec 2017 13:15:15 -0500 To: "Paul Barrett ( Cc: Stewart Oldfield Joshua Shoshan Martin Zeman Paul, we tried to call you on the corr swap. We spoke to trading and our bid-offer prices are below, a bit better than we were discussing in both currencies on the bid side. I also attach the t/s in ZAR ready to go just in case you want to review. Let's discuss when you have a sec. Thanks. ly US

8p
Dept. of JusticeAug 22, 2017

1 May 1 1255-May 6 237_Redacted.pdf

Kristen M. Simkins me: Sent Tn: Subject: Atladimem: LT. THOMAS E. ALLEN JR Thomas S. Allen. Jr. Sunday. May BIL EDIE 12:55 AM Allyson FL Dwell; Brenda McKin1e?c C. Kay Wandring: Caitlyn D. Neff: Daniel?le Minarch?lck: JeFFrey' T. Hite; Jon D. Fisher. Jonathan M. Mfl?n-der. Joseph 5. Kolenorluan Mendez: Kevin T. Jeirles; [any Lidgett Lee R. Shea??er: Lorinda L. Brown.- Matti-new T. Fishet: Melanie Gordan; Michael S. Woods Richard C. 5mm; Shephanie D. Calander?mtus Report SMDIE 20150501004

493p
Dept. of JusticeOtherUnknown

EFTA Document EFTA01437704

Amercias Edition March 2016 The limits of monetary policy: Are central banks losing their magic touch? Marketing Material EFTA01437704 The limits of monetary policy Amercias Edition I March 2016 2 The limits of monetary policy: Are central banks losing their magic touch? Letter to investors Central bank policy intervention has dominated the investment landscape for the last eight years. As some monetary policy was certainly helpful — at least from a financial market perspective

54p
Dept. of JusticeOtherUnknown

EFTA Document EFTA01364452

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

1p
OtherUnknown

Archives: New York Post

DOJ EFTA Data Set 10 document EFTA01334058

9p
Dept. of JusticeOtherUnknown

EFTA Document EFTA01364397

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

1p

Forum Discussions

This document was digitized, indexed, and cross-referenced with 1,400+ persons in the Epstein files. 100% free, ad-free, and independent.

DonateMore ways to support →
Annotations powered by Hypothesis. Select any text on this page to annotate or highlight it.