The document discusses the DB Equity Risk Premia Portfolio TV5, which targets an annualized volatility of 5% by stabilizing the volatility of the Risk-weighted portfolio of Cash Equity Premia. The strategy involves monthly rebalancing based on 1-year trailing realized volatility and caps allocation at 2 times notional investment.
documents/vol00010-efta01364398-pdf.pdf
{"document_type":"other","document_subtype":"financial report","key_organizations":["DB Equity"],"reference_numbers":["DB-SDNY-0054931","SDNY_GM_00201115","EFTA01364398"]}