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EFTA01409338
Dataset 10
2017-12-07
3p
542w
Subject:
Risk Premia: Multi-Asset Class 5% Target Volatility Portfolio
From:
Xavier Avila ‹ >
To:
Mark Ghobrial
…working with to open your GM Equities account and we are making progress, Josh is on top of things. I recall we also discussed Risk Premia strategies when you were in NY. Attached you will find a couple of presentations on our Risk Premia 5%
Target Vol
Portfolio and below you find the details of a DB Note we are issuing for some clients over the next weeks. The idea was to take a leveraged exposure to the Risk Premia…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01409338.pdf
EFTA01364436
Dataset 10
2017-12-06
1p
185w
Subject:
Risk Premia: Multi-Asset Class 5% Target Volatility Portfolio
From:
Xavier Avila
To:
Paul Barrett
… Risk Premia-Alternative Beta Intro - 2017Q1 KCP.PDF Paul, changing subjects, take a look at our Risk Premia 5%
Target Vol
Portfolio and the below note below we are issuing for some clients and let's discuss if you think you might have any interest. Thanks. Xavi DB Delta One Full Capital at Risk Note Linked to a Leveraged Risk Premia Basket Portfolio Format DB Senior Unsecured Note Trade Date j Dec 2017 Issue Date [ j Jan 2018 Maturity 2yrs…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01364436.pdf
EFTA01437538
Dataset 10
2017-12-06
3p
514w
Subject:
Re: Risk Premia: Multi-Asset Class 5% Target Volatility Portfolio
From:
Paul Barrett ‹ >
To:
Xavier Avila <
[email protected]
>
…Xavier Avila <
[email protected]
> wrote: Paul, changing subjects, take a look at our Risk Premia 5%
Target Vol
Portfolio and the below note below we are issuing for some clients and let's discuss if you think you might have any interest. Thanks. Xavi DB Delta One Full Capital at Risk Note Linked to a Leveraged Risk Premia Basket Portfolio Format DB Senior Unsecured Note Trade Date [ ] Dec 2017 Issue Date [ ] Jan 2018 Maturity 2yrs Notional Minimum USD…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01437538.pdf
EFTA00288816
Dataset 9
2010-05-15
16p
5,505w
…on measurement Interval Win Ratio: 40% - 50% historically T24M (+) NAV Days T24M Avg. Daily NAV (+) Change T24M Avg. Daily NAV (•) Change -0.91%
Target Vol
•Adj. Risk Listed Equities 50.00%
Target Vol
•Adj. Risk Global Macro 50.00% Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at Inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288816.pdf
EFTA00288591
Dataset 9
2014-07-11
16p
5,522w
…98% No. of Profitable T24M Avg. Daily NAV (..) Change -0.89% Positions T12M 64.76%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.2 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288591.pdf
EFTA00293202
Dataset 9
2014-03-17
16p
5,564w
…Win Ratio: 40% - 50% historically T24M (+) NAV Days 51% T24M Avg. Daily NAV (+) Change 1.03% T24M Avg. Daily NAV (•) Change -0.89%
Target Vol
•Adj. Risk Listed Equities 50.00%
Target Vol
•Adj. Risk Global Macro 50.00% Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00293202.pdf
EFTA00288527
Dataset 9
2014-06-16
16p
5,505w
…T12M 59.92% Target Vo!adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.02 Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing. Leverage levels can be customized to eac h investor. T24M Sharpe Ratio…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288527.pdf
EFTA00288623
Dataset 9
2014-07-23
16p
5,390w
…98% No. of Profitable T24M Avg. Daily NAV (•) Change -0.89% Positions T12M 66.73%
Target Vol
•Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.69 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288623.pdf
EFTA00288607
Dataset 9
2014-07-17
16p
5,390w
…98% No. of Profitable T24M Avg. Daily NAV (-) Change -0.89% Positions T12M 65.81%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.45 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288607.pdf
EFTA00288639
Dataset 9
2014-07-28
16p
5,393w
…98% No. of Profitable T24M Avg. Daily NAV (..) Change 0.90% Positions 712M 67.20%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.67 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288639.pdf
EFTA00288511
Dataset 9
2014-06-12
16p
5,541w
…00% No. of Profitable T24M Avg. Daily NAV (.) Change -0.90% Positions T12M 61.06%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 2.99 Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288511.pdf
EFTA00288495
Dataset 9
2014-06-11
16p
5,516w
…00% No. of Profitable T24M Avg. Daily NAV (-) Change -0.91% Positions T12M 60.86%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.14 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288495.pdf
EFTA00288575
Dataset 9
2014-07-10
16p
5,485w
…99% No. of Profitable T24M Avg. Daily NAV (-) Change -0.89% Positions T12M 63.85%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.34 Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00288575.pdf
EFTA00591832
Dataset 9
2014-05-30
16p
676w
…40% • 50% historically T24M (+) NAV Days 53% T24M Avg. Daily NAV (+) Change 0.99% T24M Avg. Daily NAV (.) Change -0.91%
Target Vol
.AdJ. R isk Listed Equities 50.00%
Target Vol
•AdJ. R isk Global Macro 50.00% Targeted Max Loss (ex•Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we ups ize our positions by factor two time greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00591832.pdf
EFTA01364381
Dataset 10
2017-12-07
1p
282w
Subject:
RE: Sample Risk Premia Portfolio
From:
Tazia Smith
To:
Ashish Malhotra
…share opportunity with Deutsche Asset Management. I don't want to distract you from Eden, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap implementation we were discussing for the example in the April email chain below. We currently have an anchor indication on a 10x levered note on a 5%
target vol
, multi asset portfolio with 90% put protection. I thought this underlying and exposure…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01364381.pdf
EFTA01409332
Dataset 10
2017-12-07
6p
1,062w
Subject:
Risk Premia Solution...
From:
Tazia Smith a>
To:
Gene Lynch
…pause' on the alternative beta and market-neutral replacement conversation, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap or Deutsche Asset Management fund implementations that we were discussing in the spring. We currently have an anchor order for a 10x levered note on a 5%
target vol
, multi asset portfolio with 90% put protection. I thought this underlying exposure was very relevant for your risk…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01409332.pdf
EFTA01852337
Dataset 10
2014-07-28
16p
5,238w
…98% No. of Profitable T24M Avg. Daily NAV (-) Change -0.90% Positions T12M 67.20%
Target Vol
-Adj. Risk Listed Equities 50.00% Avg. Realized Gain / Avg.
Target Vol
-Adj. Risk Global Macro 50.00% Realized Loss 3.67 Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01852337.pdf
EFTA01409325
Dataset 10
2017-12-07
4p
749w
Subject:
RE: Sample Risk Premia Portfolio
From:
Tazia Smith ‹ >
To:
Ashish Malhotra
…share opportunity with Deutsche Asset Management. I don't want to distract you from Eden, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap implementation we were discussing for the example in the April email chain below. We currently have an anchor indication on a 10x levered note on a 5%
target vol
, multi asset portfolio with 90% put protection. I thought this underlying and exposure…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01409325.pdf
EFTA01364408
Dataset 10
2017-12-07
1p
277w
Subject:
Risk Premia Solution...
From:
Tazia Smith
To:
Gene Lynch
…earlier this year. I appreciate that Bill had `pressed pause' on the alternative beta and market-neutral replacement conversation, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap or Deutsche Asset Management fund implementations that we were discussing in the spring. We currently have an anchor order for a 10x levered note on a 5%
target vol
, multi asset portfolio with 90% put protection. I thought…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01364408.pdf
EFTA02690903
Dataset 11
2014-01-31
15p
4,054w
…Win Ratio: 40% - 50% historically T24M (+) NAV Days 48% T24M Avg. Daily NAV (+) Change 0.98215% T24M Avg. Daily NAV (-) Change -0.75201%
Target Vol
-Adj. Risk Listed Equities 50.00%
Target Vol
-Adj. Risk Global Macro 50.00% Targeted Max Loss (ex-Leverage) 10.00% Leverage Target At Inception: 2X Notes on Leverage: We implement leverage of 2X, in other words at inception we upsize our positions by a factor two times greater than our volatility adjusted position sizing…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02690903.pdf
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