EFTA01388507.pdf

RIM Pumas Portfolio VieOtte Overview • The Pottfobo is a 5% Validity-I noted Paft14/ 40 wth weights to the underlying oriel systenaboaty ack/Med based on a nsk-weighted (Equal Risk Contribution) aRocaton methodology, Risk-Weighting • The weights for the basket of nsk premix are sat based on an Equal Risk Contrbution approach and rebalanced quarterly to these weights • Risk-weights for the ream*, Sanborn within the basket are set based on 1-year traing re rid satabitoes and correlations. Volatility-Targeting • The allocation to the basket of nsk premia is adjusted daily to achieve a volaStity target of 5%, • The allocapon is based on two measures of short-term trailing mak/tett vanity. 3 1% llEquity Implied Dividend Premium ■ Equity Low Beta Equity Momentum • Equity Oualay ■Equity Value •Qineatcy Momentum ■Currency Vat vr *Rakes Muncipal Arbitrage Carry ■Equity Mean Reversion ■Rates Momentum IllCommodity Curve Par a Commodity Momentum te% CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0092089 CONFIDENTIAL SDNY_GM_00238273 EFTA01388507