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Corpus: 1990-03-17 – 2025-12-01

September 2014

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EFTA01470762Set 10

2014-09-3047p6,786w

Both P-values demonstrate statistical significance since 2011 — Going long XYZ / Short S&P500 only on Mondays produces over 2x a long/short strategy held over all days Strategy Implementation ... capturing the combined return of the Friday and Monday trades (short XYZ / Long S&P500 and Long XYZ / Short S&P500, respectively), with dividends and gains reinvested Underlying index will ... long XYZ / Short S&P500 on Mondays and short XYZ / Long S&P500 on Fridays. Strategy will use the SPDR S&P 500 ETF to replicate

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01470762.pdf

EFTA01170770Set 9

Corp. ■ addition, the largest eurobond markets at the core of the crisis — Italy — S&P500 O ended down on the week as it saw weak demand at bond auctions today ... View J.P,Morgan Retracement in government bond and equity • 296 companies of the S&P500 have reported so far and 65% have beaten markets Change from recent lows ... proportion of fall from expectations. The S&P500 EPS is tracking a $25.2 level for Q3, 3% above the highest level in July. bottom-up expectation at the beginning

https://www.justice.gov/epstein/files/DataSet%209/EFTA01170770.pdf

EFTA01176400Set 9

have traded lower this week. We like to interpret the upmove as S&P500 supporting our view that the main driver of this year's rally in credit and MSCI ... clients had underestimated a few weeks ago. • With more than half of the S&P500 companies having reported so far, 75% have beaten expectations and the S&P500 ... month (based on Bloomberg data). The $1.5-$2 surprise in the Q1 S&P500 EPS creates upside to our 2012 EPS forecast of €106.4 according to our US Equity Strategist

https://www.justice.gov/epstein/files/DataSet%209/EFTA01176400.pdf

EFTA00877419Set 9

2012-04-134p2,537w

reporting season kicked off this week. So far 31 of the S&P500 companies have reported and their EPS beat expectations by 4% on average. Revenues-Per-Share beat expectations ... weakness is well telegraphed. Indeed the consensus looks for 4% yoy growth in S&P500 Revenues-Per-Share and only 1% yoy growth in S&P500 EPS. We continue ... that the risk return/tradeoff is still better for US equities. This year the S&P500 is up by 9.5%, 1% above the MSCI AC World $ index. The Euro debt crisis

https://www.justice.gov/epstein/files/DataSet%209/EFTA00877419.pdf

EFTA01436030Set 10

2008-04-019p1,554w

actively managing a portfolio of short-dated index option spreads on the S&P500 index (SPX). CYES sells options to generate premium while purchasing further out of the money options ... correlation to S&P500 of 0.07 Worst month: Worst year: Worst trailing 12-month ... regulated futures contract, foreign currency contract, non-equity option e.g. cash-settled S&P500 Index options (SPX), dealer equity option or dealer securities futures contract. Each contract held

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01436030.pdf

EFTA00640206Set 9

2013-03-294p2,699w

long Brent and short gasoline. • US stocks continue to gain, with the benchmark S&P500 breaching its all time high level today in a gentle fashion. Bonds are generally ... monetize risk premia in Value stocks via a long in S&P500 Value vs S&P500 ETFs. It appears that a five year long underperformance of Value stocks has come ... take profit on trades that monetize skew risk premia in S&P500 due to sharp contraction over the past quarter. We continue to monetize equity risk premia via buying high

https://www.justice.gov/epstein/files/DataSet%209/EFTA00640206.pdf

EFTA01170207Set 9

rally. Balance of positive minus negative US economic surprises. • 125 companies of the S&P500 have reported so far and 63% have beaten 40 expectations. The S&P500 EPS tracks ... importantly, profit 20 • margins appear to have expanded over the past year. The S&P500 EPS is set to 10 • grow 16% YoY in Q3, vs 10% for Sales ... also opened an OW in Euro -30 area (MSCI EMU) vs US equities (S&P500) as investor underweights are more 40 extreme in the Euro area. Jan.09 Jul.09

https://www.justice.gov/epstein/files/DataSet%209/EFTA01170207.pdf

EFTA01410511Set 10

2014-11-0324p3,443w

CBOE launched Weekly options in October 2005. These were originally only on the S&P500 • The CBOE expanded the product in June 2010 to include more underlyings • Since June ... P500 Apple Ratio of calls to puts 0.00x 0.20x 0.40x 0.60x 0.80x 1.00x 1.20x 1.40x 1.60x 1.80x Deutsche Bank Equities ... Equity eBay Inc 2008 2009 2010 2011 2012 2013 2014 YTD AAPL S&P500 Source: Bloomberg. (a) As of June 6, 2014 (b) Not averaged over any time period

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01410511.pdf

EFTA00260438Set 9

2005-04-3019p2,149w

ORIGINAL - NEW COLOR: ELK . 7/10/2006 file://C:\Documents and Settingsflocal Settings\Temp\notes6030C8\276941-P500.. EFTA00260441 Page 2 of 3 MEARS MOTOR LEASING 3905 EL REY ROAD CLASS ... Documents and Settingsnocal Senings\Temp\notes6030C8\276941-P500... 7/10/2006 EFTA00260442 • Page 3 of 3 INSURANCE INFORMATION END DHSMV RESPONSE --NCIC-- 1L01FLS0842106369 FL05000N2 NO RECORD LIC/ --FCIC HIT RES/Wil- ... RECORDS POUND . 7/10/2006 file://CADocuments and SettingsM.ocal Senings\Temp\notes6030C8\276941-P500.. EFTA00260443 Call Type.: 093 ,S,U,S,PICIOUS VERIc1.6.. . .... • . . . . . . . . . . . . . . . . . CAA], NWDOP.r.:, Entry Day/Tm: 11/28/0

https://www.justice.gov/epstein/files/DataSet%209/EFTA00260438.pdf

EFTA00605992Set 9

2015-11-044p1,460w

without much daily volatility, (average daily absolute movement of 0.18% versus average daily S&P500 movement of 0.93%), underneath the surface there was a lot of individual manager volatility ... negative market days. We had positive performance on 53% of the days the S&P500 was down and 49% of the days the Russell 2000 was down during ... guidelines, all of which are subject to change without notice. References to the S&P500 and any other benchmark(s) referred to herein are for illustrative purposes only. Any such

https://www.justice.gov/epstein/files/DataSet%209/EFTA00605992.pdf

EFTA01149242Set 9

here. By our reckoning, Europe Fixed Income' we would need to see that S&P500 to have fallen by its average move of past US cash recessions — to about ... recession: US HG, and USTs. USHG spreads, now near 240bp over USTs, S&P500 arc already wider than all US recessions, with the exceptions of the 2008.09 MSCI AC Workr ... area equities currently Weeldy speed levels stce June 2010. suggests a long in S&P500 vs. MSCI EMU currency hedged (Panigirtzoglou Bp et al., Trading the US vs Europe, June

https://www.justice.gov/epstein/files/DataSet%209/EFTA01149242.pdf

EFTA01570923Set 10

2012-12-0176p8,370w

PROSHARES ULTRASHORT S&P500 NEW PROSHARES TRUST SCHLUMBERGER LTD Total US Large Cap Equity 74347B-30-0 SDS 30.61 74347X ... Notes: Settle Date Selection Method Securities Transferred In 10/5 Description NonTaxableExchange PROSHARES ULTRASHORT S&P500 NEW REVERSE SPLIT - HOLDERS RECEIVE 1 NEW UNIT FOR EVERY 4 OLD UNITS OF PROSHARES ... Type Quantity Cost 250.000 44,809.50 Transaction Market Value * PROSHARES ULTRASHORT S&P500 REVERSE SPLIT HOLDERS RECEIVE 1 NEW UNIT OF PROSHARES (1,000.000) 44,809.50 ULTRASHORT

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01570923.pdf

EFTA01146217Set 9

2012-10-268p6,030w

view. With around half Returns in USD. 'Local currency. "Hedged into USD. of S&P500 and a quarter of DJStoxx600 companies having reported so far, Euro Fixed Income is i8oxx ... indices. EM FX is ELhIl+ in S. Europe. In the case of the S&P500, the Q3 EPS is coming in line with the 2 EFTA01146218 Jan Loeys Global Asset ... Asia Pacific x Japan (MXAPJ index) and sell a Call Spread on the S&P500 index. This structure allows the investor to receive a premium upfront. • The OW in Cyclical

https://www.justice.gov/epstein/files/DataSet%209/EFTA01146217.pdf

EFTA00875398Set 9

2013-02-084p2,467w

dramatically as a result. So has the correlation between individual stocks in the S&P500 (charts on p. 2). • Inconsistencies and lower correlations do not suggest to us an inability ... globally, OW US housing sectors, i.e. US homebuilders and mortgage banks vs. the S&P500, OW EM equities vs. S&P500. • Of these four themes, it is the overweight

https://www.justice.gov/epstein/files/DataSet%209/EFTA00875398.pdf

EFTA00951102Set 9

2013-01-044p2,674w

November and pushed up the Nikkei 23%, three times the gain in the S&P500. For Japanese reflation to become a true EFTA00951102 game changer, though, we believe the policy ... capture the EM theme via a long in MSCI EM Asia vs. S&P500. Credit • Spreads have come in significantly this week, both on the US budget deal

https://www.justice.gov/epstein/files/DataSet%209/EFTA00951102.pdf

EFTA01783152Set 10

2016-08-0812p2,582w

shows hourly data of IEF (7-10y US Treasury ETF) and SPY (S&P500 ETF). Using 60 hourly data points, correlation has moved from around -80% a month ... shows hourly data of IEF (7-10y US Treasury ETF) and SPY (S&P500 ETF). Using 60 hourly data points, correlation has moved from around -80% a month

https://www.justice.gov/epstein/files/DataSet%2010/EFTA01783152.pdf

EFTA00643874Set 9

2016-07-194p1,669w

move uniquely driven by call skew [Chart 4] 1M ATM straddles on the S&P500 screen the most attractive among S&P500 at all-time highs but net 'buy-side

https://www.justice.gov/epstein/files/DataSet%209/EFTA00643874.pdf

EFTA02455428Set 11

2016-08-097p1,795w

commodity components within the hypothetical risk parity investment are represented by the S&P500, 10-Year US Treasury Bonds, a=d the S&P GSCI Index respectively. Risk parity allocations ... commodity components within the hypothetical risk parity investment are represented =y the S&P500, 10-Year US Treasury Bonds, and the S&P GSCI Index, r=spectively. Risk parity allocations

https://www.justice.gov/epstein/files/DataSet%2011/EFTA02455428.pdf

EFTA02454560Set 11

2016-08-1517p3,377w

shows hourly data of IEF (7-1=y US Treasury ETF) and SPY (S&P500 ETF). Using 60 hourly data points, =orrelation has moved from around -80% a month ... data of IEF (7-10y US Treasury ETF) and SPY (S&P500 ETF). Using 60 hourly data points, correlation has moved from around -80% a month

https://www.justice.gov/epstein/files/DataSet%2011/EFTA02454560.pdf

EFTA00598000Set 9

DJStoxx 600 companies are beating estimates, compared to 78% in S&P500. Matthew Lehmann • Credit — EM and HY remain preferred as they are furthest removed from ... magnitude of positive surprises shrank this week. With 302 companies of the S&P500 index having reported so far, the average EPS beat (vs. expectation at the beginning

https://www.justice.gov/epstein/files/DataSet%209/EFTA00598000.pdf

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Results by Dataset175 total

Set 9

80

Set 10

81

Set 11

14