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EFTA01387018
Dataset 10
2017-10-10
1p
191w
Subject:
Its very hot - SEK
Correlation
Ideas
From:
Martin Zeman
To:
Paul Barrett
…Avlla ; Joshua Shoshan I; Vahe Stepanian Stewart Oldfield Subject: Its very hot - SEK
Correlation
Ideas Good morning Paul, I know we can't trade options just yet, but we're looking at some bullish SEK ideas this morning, thought I'd share with you based on George Saravelos' research piece. Here are some of our preferred bullish-SEK expressions in the
Correlation
space. Spot Refs: 1.1790, 8.0775, 1.3190 1) USDSEK Digital Puts w/ EURUSD DKO's 3m…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387018.pdf
EFTA00752106
Dataset 9
2010-05-27
1p
276w
Subject:
Dividends/Eurostoxx 50 index
correlation
From:
Jeffrey M Matusow
To:
Jeevacation
From: Jeffrey M Matusow To: Jeevacation Subject: Dividends/Eurostoxx 50 index
correlation
Date: Thu, 27 May 2010 20:06:34 +0000 Attachments: sg2010052756988.gie sg2010052756952.git sg2010052756988(1).gif Jeffrey, Attached is a regression analysis of the dividend futures to the Eurostoxx 50 index from June-08 to today. The first chart is 2011 (DEDZ1) and the second is 2012 (DEDZ2). For both years the beta to the index is approx. 66%, suggesting a hedge ratio of 1.5x the…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00752106.pdf
EFTA01371252
Dataset 10
1p
391w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
To:
'Paul Barrett
To: 'Paul Barrett Cc: Stewart Oldfield Joshua Shoshan Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap Paul, Vimal is working on the analysis and we'll send soon with the termsheet and mathematical claculations of implied and reaslied
correlation
. See also below the same idea but in EURMXN-USDMXN, the strike is a bit lower but Vimal wanted to point out that the historical realized has gone also much lower than in the ZAR situation, so…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01371252.pdf
EFTA01387064
Dataset 10
2017-12-07
1p
142w
Subject:
RE: DB EX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila
To:
Paul Barrett
… Martin Zeman Subject: RE: DB EX trade idea: EURZAR-USDZAR
correlation
swap Attachments: SF_CorrelationSwap_Dec17.xlsx Paul, I was with trading today. We have seen also good interest in TRY
correlation
from fast money, the numbers look as good or better than MXN, similar downside and higher upside vs average and min realized
correlation
. Thanks ZAR Corr Difference Strike 82.50% Max 92.68% -10.18% Average 79.72% 2.78% Min 48.08% 34.42% Above Strike 45…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387064.pdf
EFTA01387066
Dataset 10
2017-12-05
1p
234w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila
To:
'Paul Barrett
…Stewart Old MIIIMIIM, Joshua Shoshan Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap Paul, file attached to look at calculations of implied and realized. Thanks From: Xavier Avila Sent: Tuesday, December OS, 2017 11:17 AM To: 'Paul Barrett Cc: Stewart Oldfield ; Joshua Shoshan 11 ,; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap 100% 90% 80% 70% 60% - 90% 40% — EURZAR-US0ZAR 1y came 3056 EURZAR-USDZAR 3m reel con. — 83.5% . …
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387066.pdf
EFTA01387014
Dataset 10
1p
392w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
To:
'Paul Barrett
To: 'Paul Barrett Cc: Stewart Oldfield Joshua Shoshan Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap Paul, Vimal is working on the analysis and we'll send soon with the termsheet and mathematical claculations of implied and reaslied
correlation
. See also below the same idea but in EURMXN-USDMXN, the strike is a bit lower but Vimal wanted to point out that the historical realized has gone also much lower than in the ZAR situation, so…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387014.pdf
EFTA01435952
Dataset 10
2017-11-28
4p
564w
Subject:
DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Martin Zeman
To:
"Paul Barrett (
…discuss. Martin Trade Idea Sell 6m EURZAR-USDZAR
correlation
swap at 80% (USD payout) Sell ly EURZAR-USDZAR
correlation
swap at 80.5% (USD payout) Rationale EURZAR-USDZAR implied correlations are close to the highest levels since 2007 (see graph 1) This has been driven by ZAR implied volatilities trading at their highest levels relative to EURUSD volatility since the financial crisis (see graph 2) EFTA01435952 Since 2007 the highest 6m realized
correlation
is 94% and the lowest is 41…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435952.pdf
EFTA01416150
Dataset 10
2017-12-06
8p
1,174w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila ‹ >
To:
"Paul Barrett (
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…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01416150.pdf
EFTA01769596
Dataset 10
2012-05-25
2p
375w
Subject:
Maverick Capital's Lee Ainslie:
Correlation
Is Very Low
From:
Institutional Investor Daily <
[email protected]
>
To:
[email protected]
…Subject: Maverick Capital's Lee Ainslie:
Correlation
Is Very Low Several of the worst p=rforming hedge funds last year were among the best performers during the ma=ket's rapid rise in the first four months of this year... Read the full story at institutionalinv=stor.com. <http://ems.euromon=y.com/ems/r.asp?clndex=657610&mlndex=1259372523&hurl=http%3A//w=w.institutionalinvest or.com/Article/3035828/Maverick-Capitals-Lee-Ainsl=e-
Correlation
-ls-Very-Low.html> chttp://projectsline.com/iimag/images=x.gif> =/TR> <http…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01769596.pdf
EFTA01387365
Dataset 10
2017-11-28
1p
127w
Subject:
DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Martin Zeman
To:
Paul Barrett
…DB FX trade idea: EURZAR-USDZAR
correlation
swap Paul, this could be an interesting trade on ZAR without really getting directional exposure to it. The payout is defined as a $amount per point of
correlation
. So that means selling the
correlation
at 80% for $10k per point of
correlation
is a max loss of $200k. Let me know if you'd like to discuss. Martin [cid:image010..jpg©01D36ACD.72AD3430] Trade Idea • Sell 6m EURZAR-USDZAR
correlation
swap at 80% (USD…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387365.pdf
EFTA01436019
Dataset 10
2017-12-01
6p
894w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila
To:
"Paul Barrett (
Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap From: Xavier Avila Date: Fri, 01 Dec 2017 15:54:14 -0500 To: "Paul Barrett ( Cc: Stewart Oldfield Joshua Shosha Martin Zeman Paul, Vimal is working on the analysis and we'll send soon with the termsheet and mathematical claculations of implied and reaslied
correlation
. See also below the same idea but in EURMXN-USDMXN, the strike is a bit lower but Vimal wanted to point out that the historical…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01436019.pdf
EFTA01387684
Dataset 10
2017-12-05
1p
204w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier
To:
Paul Barrett
… Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap Attachments: ZAR_CorrelationSwap_Dec17.xlsx Paul, file attached to look at calculations of implied and realized. Thanks From: Xavier Avila Sent: Tuesday, December 05, 2017 11:17 AM To: 'Paul Barrett Cc: Stewart Oldfield < Joshua Shoshan < >; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap J 4096 EURZAR-USOZAR ly COVICOff Sox EURZAR-USCZAR 3m tel car £0.94 2007 2201 2009…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387684.pdf
EFTA01434448
Dataset 10
2017-12-05
7p
1,095w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila <IM= I>
To:
"Paul Barrett (
Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap From: Xavier Avila <IM= I> Date: Tue, 05 Dec 2017 11:17:19 -0500 To: "Paul Barrett ( Cc: Stewart Oldfield Joshua Shoshan Martin Zeman From: Xavier Avila Sent: Friday, December 01, 2017 5:55 PM To: 'Paul Barrett Cc: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap Paul, see below the note and analysis that Vimal put together. Attached also an indicative…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434448.pdf
EFTA01434461
Dataset 10
2017-10-10
5p
928w
Subject:
It's very hot - SEK
Correlation
Ideas
From:
Martin Zeman ffi .
To:
"Paul Barrett
…hot - SEK
Correlation
Ideas From: Martin Zeman ffi . Date: Tue, 10 Oct 2017 09:30:57 -0400 To: "Paul Barrett Cc: Davide-A Sferrazza Xavier Avila Joshua Shoshan Vahe Stepanian Stewart Oldfield Good morning Paul, I know we can't trade options just yet, but we're looking at some bullish SEK ideas this morning, thought I'd share with you based on George Saravelos' research piece. Here are some of our preferred bullish-SEK expressions in the
Correlation
space…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434461.pdf
EFTA01387012
Dataset 10
2017-12-01
1p
249w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila
To:
Paul Barrett
…Sent: 12/5/2017 To: Paul Barrett CC: Stewart Oldfield Joshua Shoshan [ Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap 14104 3391 70% 60% 50% — EURZAR-USIZAR 1y re Icon 30% 6062AR-0502AR 3m ral car —83.5% 20% 2007 3XI3 2003 2010 2011 3212 2013 2014 2015 2016 WV EURMXIL USOMX N 1y real car EURMXN•USOMXN 3111 real car 77% f -20% 2037 2006 20W 2010 2011 2012 2013 2014 2015 2016 2017 From:…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387012.pdf
EFTA01435685
Dataset 10
2017-12-05
8p
1,142w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila
To:
"Paul Barrett
…FX trade idea: EURZAR-USDZAR
correlation
swap From: Xavier Avila Date: Tue, 05 Dec 2017 16:16:56 -0500 To: "Paul Barrett Cc: Stewart Oldfield Joshua Shoshan Martin Zeman < Paul, file attached to look at calculations of implied and realized. Thanks From: Xavier Avila Sent: Tuesday, December 05, 2017 11:17 AM To: 'Paul Barrett Cc: Stewart Oldfield ; Joshua Shoshan <
[email protected]
>; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap From: Xavier Avila…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435685.pdf
EFTA01434591
Dataset 10
2017-12-07
9p
1,375w
Subject:
RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap
From:
Xavier Avila <IM= I>
To:
"Paul Barrett
…< => Cc: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR
correlation
swap 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…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434591.pdf
EFTA01387049
Dataset 10
1p
371w
…notional (2 months from September 2008 thru October 2008); worst drawdown recovery = 2 months (November 2008 thru December 2008). • Annualized standard deviation since inception of 2.33% on notional; annualized standard deviation has averaged closer to 1% during the past 6 years (2012-17). •
Correlation
to the S&P 500 of 0.09 (even lower
correlation
to other liquid investments). As ever, if you have any additional questions or comments, please don't hesitate to reply or call the…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01387049.pdf
EFTA01363041
Dataset 10
1p
343w
…of investment returns. The more negatively skewed the returns, the more common a loss in the returns reflects a larger loss, rather than a smaller loss. S3
Correlation
— Indicates a measure of the strength and direction of the linear relationship between two variables or data sets over a period of time.
Correlation
can vary between +1 to -1. Values close to +1 indicate a high degree of relationship, values close to -1indicate a high degree of negative relationship, and values…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01363041.pdf
EFTA01364394
Dataset 10
1p
118w
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. 3Y Rolling Average
Correlation
to Equities 100% 80%• 60% • 40% 20% t eleayirbolikadv iskit,
Correlation
0% 92 93 97 98 99 00 01 02 I I 06 07 08 09 10 11 12 13 14 15 -20% • -40% -60% Risk Premia Cross-Asset -80% Traditional Asset Classes -100% 'TraditionalAsset Classes refers…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01364394.pdf
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