EFTA02690885Dataset 11
16p2,623w
…is to maximize randomness I minimize basis and attribution risk I maximize outsized price persistence and construct a portfolio to mitigate correlation risk. • Portfolio positions are diversified by Region, Asset Class, Directional Bias and Volatility State. • The two main components of the portfolio: "Global Macro" and "Listed Equities" balance returns across global volatility states. — When markets are 'moving,' i.e. high volatility, the importance of the contribution from listed equities will be equal to that of the Global Macro book…
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02690885.pdf
EFTA00621325Dataset 9
16p2,646w
…is to maximize randomness I minimize basis and attribution risk I maximize outsized price persistence and construct a portfolio to mitigate correlation risk. • Portfolio positions are diversified by Region, Asset Class, Directional Bias and Volatility State. • The two main components of the portfolio: "Global Macro" and "Listed Equities" balance returns across global volatility states. When markets are 'moving,' i.e. high volatility, the importance of the contribution from listed equities will be equal to that of the Global Macro book…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00621325.pdf
EFTA00293314Dataset 9
16p2,640w
…is to maximize randomness I minimize basis and attribution risk I maximize outsized price persistence and construct a portfolio to mitigate correlation risk. • Portfolio positions are diversified by Region, Asset Class, Directional Bias and Volatility State. • The two main components of the portfolio: "Global Macro" and "Listed Equities" balance returns across global volatility states. When markets are 'moving,' i.e. high volatility, the importance of the contribution from listed equities will be equal to that of the Global Macro book…
https://www.justice.gov/epstein/files/DataSet%209/EFTA00293314.pdf
EFTA01458611Dataset 10
2015-09-251p514w
…this will not last a shift into State 1 or State 3. In contrast, Commodity and EM underperform all G4 majors, and display elevated volatility. State 3 is when risk is consistently negative - enough that not only does it keep the Fed steady but it propels the ECB and B0J into action with more QE accommodation. In this case EUR/USD tests the cycle low and probably extends to parity. Risk trades mostly negative, except immediately after the policy response…
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01458611.pdf