The document outlines a financial strategy proposed by Deutsche Bank, focusing on Monday outperformance and Friday underperformance versus SPY. The strategy involves trading SPY and AAPL, with gains or losses reinvested daily. It includes transaction costs and assumes dividends are reinvested on the ex-date. The report provides annual returns, volatility, and Sharpe ratios for different periods.
documents/vol00010-efta01365027-pdf.pdf
{"title":"Strategy Implementation Report","document_date":"2014-11-03","document_type":"tabular","document_subtype":"financial strategy report","key_organizations":["Deutsche Bank","Bloomberg Finance L.P."],"reference_numbers":["DB-SDNY-0055619","SDNY_GM_00201803","EFTA01365027"]}