EFTA01101257Set 9
2014-11-11100p33,692w
limited to, the following: (1) to the extent that they are available,
volatility metrics for hedge funds are generally based on monthly (not daily)
reported data, which may lead ... smoothing of volatility measures over time; (2)
ACIII, ACIV, ACV, ACVI, HAO, SWF, WCP and TEN4.
31 ASC, AVC, FCI II, APTP, APSHL, ACP, CVRF ... November 11, 2014
APO' GRAT No. 2 - Valuation Date: March 3, 2014
Page 20
volatility metrics based on historical investment returns only provide a measure of
the historical risk
https://www.justice.gov/epstein/files/DataSet%209/EFTA01101257.pdf
EFTA01086276Set 9
2015-11-03108p35,449w
limited to, the following: (1) to the extent that they are available,
volatility metrics for hedge funds are generally based on monthly (not daily)
reported data, which may lead ... smoothing of volatility measures over time; (2)
volatility metrics based on historical investment returns only provide a measure of
the historical risk of the underlying investment portfolio ... limited to, the following: (1) to the extent that
they are available, volatility metrics for hedge funds are generally based on monthly
(not daily) reported data, which may lead
https://www.justice.gov/epstein/files/DataSet%209/EFTA01086276.pdf
EFTA01086067Set 9
2014-03-03101p34,062w
limited to, the following: (I) to the extent that they are available,
volatility metrics for hedge funds are generally based on monthly (not daily)
reported data, which may lead ... smoothing of volatility measures over time; (2)
3° ACIII, ACIV, ACV, ACVI, HAO, SWF, WCP and TEN4.
ASC, AVC, FCI II, APTP, APSHL, ACP, CVRF, KSC, LC and MG.
" Risks ... November II. 2014
APOI GRAT No. 2 - Valuation Date: March 3. 2014
Page 20
volatility metrics based on historical investment returns only provide a measure of
the historical risk
https://www.justice.gov/epstein/files/DataSet%209/EFTA01086067.pdf
EFTA01101457Set 9
2014-11-11100p33,689w
limited to, the following: (1) to the extent that they are available,
volatility metrics for hedge funds are generally based on monthly (not daily)
reported data, which may lead ... smoothing of volatility measures over time; (2)
volatility metrics based on historical investment returns only provide a measure of
the historical risk of the underlying investment portfolio ... limited to, the following: (1) to the extent that
they are available, volatility metrics for hedge funds are generally based on monthly
(not daily) reported data, which may lead
https://www.justice.gov/epstein/files/DataSet%209/EFTA01101457.pdf
EFTA01085958Set 9
2015-10-12108p35,610w
limited to, the following: (1) to the extent that they are available,
volatility metrics for hedge funds are generally based on monthly (not daily)
reported data, which may lead ... smoothing of volatility measures over time; (2)
volatility metrics based on historical investment returns only provide a measure of
the historical risk of the underlying investment portfolio ... limited to, the following: (1) to the extent that
they are available, volatility metrics for hedge funds are generally based on monthly
(not daily) reported data, which may lead
https://www.justice.gov/epstein/files/DataSet%209/EFTA01085958.pdf
EFTA01464418Set 10
2013-05-1660p12,430w
abruptly ended
after Lehman: the Eurozone crisis, narrow rate
differentials, CHF strength and very volatile equity
markets all played their part. On all these fronts, we
think things are changing ... continue, but may well reverse to fulfill
the policy promise of greater two-way volatility.
Second, one-way USD selling pressure onshore should
begin to normalize. Authorities are clamping down ... time of band-widening.
Fourth, market signals may be foreshadowing a turn.
Volatility markets are becoming less complacent. CNH
implied volatility has been moving higher since midApril
with realized volatility
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01464418.pdf
EFTA00788475Set 9
2017-07-2429p16,328w
factors: safety, liquidity, and return. Diversification is a
Francisco Bland.
plus. Bitcoin remains very volatile. But it has experienced a surge in liquidity in the last Commodity & Dertv Strategist ... alone predict returns. Could bitcoin
see a virtuous cycle of increased liquidity, lower volatility, attractive returns. and wider
acceptance? Possibly, if regulated financial institutions move to allow bitcoin as
pledgeable ... from a more constructive ECB and we remain directionally long NOK and long SEK volatility.
G10 Rates With game' risks fading, we expect EUR duration to move more in line
https://www.justice.gov/epstein/files/DataSet%209/EFTA00788475.pdf
EFTA01090474Set 9
2011-11-1524p14,876w
money (ATM) implied
positive correlation with the prompt NYM gas futures price, volatility in the prompt CMX gold contract doubled (Exhibit
even on low frequency horizons, such as rolling ... Research
Commodity Markets Outlook and Strategy
J.P.Morgan
15 November 2011
Exhibit 19: ATM implied volatility. 1st month COMEX gold prices as "bearish": by definition, high implied volatility
Percentage tannualtzech requires ... because it is close to the
spiking toward 70%. This regime shift in volatility is the industry's marginal cost (inclusive of capital costs), set by
strongest in more than
https://www.justice.gov/epstein/files/DataSet%209/EFTA01090474.pdf
EFTA00506026Set 9
44p14,024w
Subject to credit approval.
3. Based on factors including the underlying stock price, volatility, interest rates, dividend yield and time to maturity.
Note: This information is intended ... call strike prices.
4. Based on factors including the underlying stock price, volatility, interest rates, dividend yield and time to maturity.
Note: This information is intended to be a high ... than 30 days before expiry
4. Based on factors including the underlying stock price, volatility, interest rates, dividend yield and time to maturity.
Note: This information is intended
https://www.justice.gov/epstein/files/DataSet%209/EFTA00506026.pdf
EFTA01364948Set 10
2013-12-031p413w
December 2013
US Derivatives Spotlight
Understanding volatility, rate, and dividend yield risks for
long-dated calls
In this section we provide a more in-depth look at how implied vols ... also how changes in rates and dividends impact the price
of calls.
Vega implied volatility sensitivity
Buyers of options are long vega, and an increase in implied volatility will result ... vega and as time passes the
sensitivity of the options to changes in implied volatility declines.
Investors holding outright long calls will benefit from the delta exposure
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01364948.pdf
EFTA01440262Set 10
2018-03-3061p17,665w
sourcing
capability, to identify managers with strong performance track records,
including looking at
return, volatility and drawdowns.
The third stage of the diligence process is designed for iCapital to conduct ... investment
due to leveraging or
other speculative practices. Additionally,
Investors may experience volatility of returns, a
10
the Funds it manages. Prospective
advisers and review the offering
EFTA01440281
GLDUS138 ... conditions, and other similar conditions. All of these
factors may affect the
level and volatility of security prices and the liquidity and the value of
the securities held
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01440262.pdf
EFTA01428879Set 10
2018-03-3061p17,701w
sourcing
capability, to identify managers with strong performance track records,
including looking at
return, volatility and drawdowns.
The third stage of the diligence process is designed for iCapital to conduct ... investment
due to leveraging or
other speculative practices. Additionally,
Investors may experience volatility of returns, a
10
the Funds it manages. Prospective
advisers and review the offering
EFTA01428898
GLDUS238 SOUTHERN ... conditions, and other similar conditions. All of these
factors may affect the
level and volatility of security prices and the liquidity and the value of
the securities held
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01428879.pdf
EFTA01439454Set 10
2018-03-3061p17,665w
sourcing
capability, to identify managers with strong performance track records,
including looking at
return, volatility and drawdowns.
The third stage of the diligence process is designed for iCapital to conduct ... investment
due to leveraging or
other speculative practices. Additionally,
Investors may experience volatility of returns, a
10
the Funds it manages. Prospective
advisers and review the offering
EFTA01439473
GLDUS132 EverWatch ... conditions, and other similar conditions. All of these
factors may affect the
level and volatility of security prices and the liquidity and the value of
the securities held
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01439454.pdf
EFTA01362030Set 10
2015-09-041p603w
woods yet. For one, previous
episodes of shocks to the volatility risk premium tend to last substantially
longer than two weeks; they take an average of 50 days ... more
appropriately viewed as early warning indicators for more extended periods of
high volatility, and less as standalone examples.) Also, the equity markets have
tended to hit rock bottom during ... these episodes an average of 30 days or so
after implied volatility rises. The S&P 500 hit its low just four days after the vol
shock, which seems
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01362030.pdf