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more than the return of the call- spread strategies and drives down the return/vol slightly from what's shown in Figure 16 and Figure 18. Page 10 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055507 CONFIDENTIAL SDNY_GM_00201691 EFTA01364946
e LP (Figure 16: ... but with much higher risk-adjusted returns j(36M calls and spreads rolled after 24M) 80% TE,., 70% 0 o> 60% 5096 It 40% ctO • 30% -8 20% afr 10% • 0% 1 1 Equity Outright Spread: Spread: Outright Spread. ATM ATM - 696ATM - 2% 10% I 0% - 2% Sant 0•400, ant iften
more than the return of the call- spread strategies and drives down the return/vol slightly from what's shown in Figure 16 and Figure 18. Page 10 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055594 CONFIDENTIAL SDNY_GM_00201778 EFTA01365008
e LP (Figure 16: ... but with much higher risk-adjusted returns j(36M calls and spreads rolled after 24M) 80% TE,., 70% 0 o> 60% 5096 It 40% ctO • 30% -8 20% afr 10% • 0% 1 1 Equity Outright Spread: Spread: Outright Spread. ATM ATM - 696ATM - 2% 10% I 0% - 2% Sant 0•400, ant iften
more than the return of the call- spread strategies and drives down the return/vol slightly from what's shown in Figure 16 and Figure 18. Page 10 Deutsche Bank Securities Inc. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0056044 CONFIDENTIAL SDNY_GM_00202228 EFTA01365338
e LP (Figure 16: ... but with much higher risk-adjusted returns j(36M calls and spreads rolled after 24M) 80% TE,., 70% 0 o> 60% 5096 It 40% ctO • 30% -8 20% afr 10% • 0% 1 1 Equity Outright Spread: Spread: Outright Spread. ATM ATM - 696ATM - 2% 10% I 0% - 2% Sant 0•400, ant iften
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