EFTA01364480.txt Text dataset_10 View on DOJ

This document presents option pricing for the Cash Equity Risk Premia Portfolio TV5 and compares it to the S&P 500, noting the cost-efficiency of the portfolio's diversification for purchasing protection. It provides indicative pricing for out-of-the-money put options on the portfolio as of December 2016.

Subject

Cash Equity Risk Premia Portfolio TV5 Option Pricing

Sender

—

Recipients

—

Document ID

DB-SDNY-0055020

Date

2016-12

Protection on equity portfolios can expensive relative to the expected return on a long equity position — e.g. a 2-year 90% option on the S&P 500 costs 6.9%, or over 3.4% per annum.*

However, the diversification between the strategies in the Cash Equity Risk Premia Portfolio TV5 allows protection on the Portfolio to be purchased relatively cost-efficiently. E.g. a 2-year 90% option costs 0.85%, or less than 0.45% per annum, versus backtested returns of —7% per annum on the index.

Financial transactions/money flowBusiness dealings

S&P 500Cash Equity Risk Premia Portfolio TV5

Tone

Informative

Purpose

To provide information on the pricing of put options on the Cash Equity Risk Premia Portfolio TV5 and compare it to the S&P 500.

Significance

The document compares the cost of protection on the Cash Equity Risk Premia Portfolio TV5 to the S&P 500, highlighting the cost-efficiency of the portfolio's diversification.

File Name

EFTA01364480.txt

Dataset

dataset_10

Type

Text

Model

gemini-2.0-flash-001

Processed

2026-02-07T18:41:10.452358

DOJ Source

View on DOJ