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
EFTA00597681Set 9
2015-10-1688p28,838w
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/EFTA00597681.pdf
EFTA01085858Set 9
2015-02-26100p34,196w
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/EFTA01085858.pdf
EFTA00556664Set 9
2012-06-0433p5,638w
process relying on 3 largely
uncorrelated investment axes: multi-asset directional, market neutral and volatility
arbitrage.
We typically target a minimum Sharpe Ratio of 2, with an annualized Return ... adjusted size by instrument)
• Specific risk manager for each investment style (directional,
market neutral, volatility arbitrage)
• Global aggregation for ultimate capital preservation
constraint
Execution Management (cf. Appendix p21)
• Specific algorithms ... relative weights are controlled via a proprietary portfolio
allocation model; directional, market neutral and volatility arbitrage are effectively
uncorrelated through different market cycles
Investment Axis Description Asset Class Horizon
Equities
https://www.justice.gov/epstein/files/DataSet%209/EFTA00556664.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
EFTA01365010Set 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/EFTA01365010.pdf
EFTA01442887Set 10
2018-03-3061p17,672w
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
EFTA01442906
GLDUS124 ... 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/EFTA01442887.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
EFTA01079016Set 9
2015-12-3169p22,497w
sustained market rebound and an increasingly optimistic
economic outlook. However, estimates remain volatile due to uncertainty around U.S. fiscal policy and the global economic
recovery, with fourth quarter 2015 estimates ... systematic, or market, risk factor beta, such as: (1) relatively higher or lower volatility of economic income; (2)
concentration of customer base; (3) key person dependence or small management base ... estimated RP. is based on specific financial analysis.28 Berkshire Capital
incorporates volatility of economic income and risk of insolvency due to limited capital resources in the scenario analysis
https://www.justice.gov/epstein/files/DataSet%209/EFTA01079016.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