Chart 18: Long SPX Top50 dispersion strategies performed the best during the dotcom bubble era, providing adequate convexity during both its formation as well as its bursting 90% Long dispersion provided better convexity vs. outright long vol position both 80% during the ‘making’ and the ‘bursting’ of the dotcom bubble 10% LY 60% 50% i 40% | | 30% ' qt\ 20% intanatelll VA vo er’ 10% 4 ' oy Coad | 0% Q N = ico) foe) Q N a i<o) oOo 2 N + ico) Lop) Loz) Lo?) Lop) Lop) Q Q Q OQ oOo <— = = oO oO oO oO oO Q OQ Q Q Qo 2 Q Q Q ~~ = _ _ _ N N N N N N N N N ——2m SPX realized dispersion -==—=2m SPX realized vol Source: BofA Merrill Lynch Global Research. Daily data from 14-Mar-90 to 2-Jun-17 ; ig oes Bankot America 8 Global Equity Volatility Insights | 06 June 2017 Merrill Lynch HOUSE_OVERSIGHT_023582