EFTA Document EFTA01364400

Cash Equity Risk Premia Portfolio TV5 Option Pricing* • Protection on equity portfolios can expensive relative to the expected return on a long equity position - e.g. a 2-year 90% option on the S&P 500 costs 6.9%, or over 3.4% per annum.* Maturity/Strike 90% Strike 85% Strike SPX 2 years 6.91% 3 years 9.27% 7.14% • However, the diversification between the strategies in the Cash Equity Risk Premia Portfolio TV5 allows protection on the Portfolio to be purchased relatively cost-effic