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efta-efta01364478DOJ Data Set 10CorrespondenceEFTA Document EFTA01364478
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Cash Equity Risk Premia Portfolio
Volatility Targeting
■ With the aim of stabilizing the volatility of the Risk-weighted portfolio of Cash Equity Premia and also
to create an index with a volatility comparable to a diversified hedge fund portfolio, we created the
DB Equity Risk Premia Portfolio TV5, which targets an annualized volatility of 5%.
■ The strategy allocates to the Risk-weighted portfolio of Cash Equity Premia based on the 1-year
trailing realized volatility and rebalances monthly.
■ The allocation is capped at 2 times notional investment.
,2
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0055018
CONFIDENTIAL
SDNY_GM_00201202
EFTA01364478
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