EFTA01364401.pdf

Multi-Asset Risk Premia Portfolio Portfolio Construction OVERVIEW ■ The Portfolio is a Volatility-Targeted Portfolio with weights to the underlying systematically rebalanced based on an Equal Risk Contribution allocation methodology. RISK-WEIGHTING ■ The weights for the basket of risk premia are set according to a risk-weighted allocation considering both strategy volatility and correlation to other risk premia included in the portfolio — the basket is rebalanced quarterly to these weights. ■ Risk-weights for the relative allocations within the basket are set based on 1-year trailing realized volatilities. VOLATILITY-TARGETING ■ The allocation to the basket of risk premia is adjusted daily to achieve the volatility target. ■ The allocation is based on two measures of short-term trailing realized volatility. ■ Volatility is calculated using exponential moving averages with half-lives of 20-days and 60-days for the two measures - this provides more weight to recent observations while also accounting for data further back in history. LEVERAGE CAPS AND RISK CONTROL ■ A leverage cap at the aggregate portfolio level ensures that the maximum exposure to all the strategies combined does not exceed 500% of the notional invested in the Portfolio. ■ Caps on individual strategy weights are set based on a multiple of historical risk-weighted allocations. ■ Individual strategies are monitored between rebalance dates and deleveraged if short-term volatility exceeds risk- based thresholds. 16 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054935 CONFIDENTIAL SDNY_GM_00201119 EFTA01364401