EFTA00797982Set 9
16p9,971w
certain variables
reduces or even obliterates the effects of the predictors if they are correlated with the control variables
(Angrist & Pischke, 2008). Indeed, the kind of variables we consider here ... likely to be correlated on the
national level, because they are ultimately related across explanatory levels. For example, conditions that
exert a certain genetic selection pressure will eventually alter traits ... Lynn and Vanhanen (2012) considered no less than 244 national-level variables
that all correlated with national-level IQ estimates, which led them to propose a
...three stage causal model
https://www.justice.gov/epstein/files/DataSet%209/EFTA00797982.pdf
EFTA01434591Set 10
2017-12-079p1,375w
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From: Xavier Avila <IM= I>
Date: Thu, 07 Dec 2017 16:10:16 -0500
To: "Paul Barrett
Cc: Stewart Oldfield ... Paul, I was with trading today. We have seen also good interest in TRY
correlation from fast money, the numbers look as good or better than MXN,
similar downside ... higher upside vs average and min realized correlation.
Thanks
fcid:image001.png@OlD36F73.10ECCECO1
From: Xavier Avila
Sent: Wednesday, December 06, 2017 5:47 PM
To: 'Paul Barrett •c M>
Cc: Stewart
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01434591.pdf
EFTA01416150Set 10
2017-12-068p1,174w
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From: Xavier Avila ‹ >
Date: Wed, 06 Dec 2017 13:15:15 -0500
To: "Paul Barrett (
Cc: Stewart Oldfield
Joshua Shoshan ... Stewart Oldfield Joshua Shoshan
; Martin Zeman
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
Paul, file attached to look at calculations of implied and realized. Thanks
From: Xavier ... Oldfield ; Joshua Shoshan
< M>; Martin Zeman
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
EFTA01416150
From: Xavier Avila
Sent: Friday, December 01, 2017 5:55 PM
To: 'Paul
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01416150.pdf
EFTA01435685Set 10
2017-12-058p1,142w
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From: Xavier Avila
Date: Tue, 05 Dec 2017 16:16:56 -0500
To: "Paul Barrett
Cc: Stewart Oldfield
Joshua Shoshan ... Oldfield ; Joshua Shoshan
<joshua.shoshan@db.com>; Martin Zeman
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
From: Xavier Avila
Sent: Friday, December 01, 2017 5:55 PM
To: 'Paul Barrett ... Oldfield ; Joshua Shoshan
<joshua.shoshan@db.com>; Martin Zeman
Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap
Paul, see below the note and analysis that Vimal put together. Attached also
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01435685.pdf
EFTA02693119Set 11
2011-07-1342p11,748w
model. This procedure was
175 repeated for all the possible combinations. The Pearson correlation coefficient ( r ) was calculated
176 between the known measured signal and the predicted decoder's output ... velocity (d0/dt) the sensors were ranked
201 based on the maximum value of the correlations calculated at each lag. For the Cartesian
202 positions (x, y,z) reconstructions, the sensors ... lags, R., is the rank of sensor n and c are the best correlation
208 coefficients for each Cartesian position (x,y,z). These procedures were followed
https://www.justice.gov/epstein/files/DataSet%2011/EFTA02693119.pdf
EFTA01139976Set 9
2013-07-0117p9,769w
family's capital to the platform
BOMBAY'S INVESTMENT STRATEGY: AVOID CORRELATION, ISOLATE PORTFOLIO ALPHA, CREATE STRUCTURAL ALPHA
Boothbay has two distinct but complimentary investment strategies. One is colloquially known ... small edge that — processed through the law of large
numbers and avoiding correlation among bets and concentration risk— leads to consistent profits. Boothbay
applies this philosophy to investments in portfolio ... allocates to a diverse group of portfolio
managers with positive expectancy, low cross correlations and low concentration. This leads to a portfolio
whose risk /reward characteristics are "whole greater than
https://www.justice.gov/epstein/files/DataSet%209/EFTA01139976.pdf
EFTA01415820Set 10
2017-10-31222p30,137w
Intermodal volumes and
U.S. retail sales
10%
15%
(15%)
(10%)
(5%)
0%
5%
Correlation: 83%
U.S. Intermodal Volumes
Source: Deutsche Bank, AAR, FactSet ... Canadian Intermodal volumes
(RHS) and CA retail sales (LHS)
10%
(10%)
(5%)
0%
5%
Correlation: 88%
CA Intermodal Volumes
Source: Deutsche Bank, AAR, FactSet ... parity with coal (including
transport
costs associated with coal). We have witnessed a 65% correlation with U.S.
coal
carloads and natural gas prices over the past ten years.
Page
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01415820.pdf
EFTA00875398Set 9
2013-02-084p2,467w
risk-off dead?
Click here for the full Note and disclaimers.
• Asset allocation — Correlation between risky assets has fallen dramatically, as global tail risks have faded allowing local
forces ... Currencies — Reduce Yen shorts.
• Commodities — We expect the recent fall in correlation between commodity and equity returns to continue, supporting
commodity investment.
• Our investment strategy has performed well ... sovereigns have tightened, but EU HY is wider.
• Inconsistencies from one side imply lower correlations from the other side. The average correlation between six different
major risk classes, US equities
https://www.justice.gov/epstein/files/DataSet%209/EFTA00875398.pdf
EFTA01405764Set 10
2015-09-04147p21,516w
last
decade, has been positive for real rates and the curve. 5y5y is well
correlated with changes in global liquidity and based on recent trends
should be closer ... last
decade, has been positive for real rates and the curve. 5y5y is well
correlated with changes in global liquidity and based on recent trends
should be closer ... assets, proxied by global equity prices. It would
appear at
first glance that the correlation is negative in that when central bank
liquidity is
expanding, equities are falling and vice
https://www.justice.gov/epstein/files/DataSet%2010/EFTA01405764.pdf
EFTA01188511Set 9
2013-03-0827p11,302w
kept within acceptable limits as we select stocks. In addition, Electron's return correlation
to interest rates historically is slightly lower than the HFRI Equity Hedge Index's return
correlation ... diversification enables higher returns per unit of risk. Electron's 7-
year track record correlation to the S&P 500 and HFRI Equity Hedge indices is .41 and .68,
respectively ... given cross-border commodity linkages.
In Europe, in an example of the regional, non-correlated character of the global utility sector, a quite
different dynamic has taken shape, with coal
https://www.justice.gov/epstein/files/DataSet%209/EFTA01188511.pdf