The document contains a detailed comparison of performance under rising and falling markets for equity versus various 18-month call option strategies. It includes a table with returns, volatility, and return/volatility ratios for different periods and strategies.
documents/vol00010-efta01364951-pdf.pdf
{"title":"Spotlight Derivatives US - Appendix A: Backtest Results","document_date":"2013-12-03","document_type":"tabular","document_subtype":"financial analysis","key_organizations":["Deutsche Securities Bank"],"reference_numbers":["DB-SDNY-0055514","SDNY_GM_00201698","EFTA01364951"]}