EFTA01375239.pdf

Harvesting volatility risk premia in commodities: DB Brent Short Volatility II index (cont.) Area of expertise: Capital markets Theme: Current tactical ideas — Transparent: the strategy is fully transparent as it is based on listed option prices — Market Neutral: the strategy is constructed using a basket of options and implies limited directional exposure to Brent front month prices — Rebalancing: the index is rebalanced every year to provide equal exposure over the course of the year — Embedded Cost: index cost is embedded in the after cost implied volatility calculation — Transparency: rules-based index with the closing level published on Bloomberg page DBCMBSV2 <index> — Risk: losses , and mark to market losses , resulting from increase in volatility Comparative performance analysis' Year on year performance comparison) Jan 2008 - Oct 2014' DB Brent Short Volatility II S&P 500 Annual Returns for Excess Return Indices Annualized Returns 21.4% 6.0% DB Sent Short S&P 500 Calendar Year Volatility II Volatility 12.8% 23.3% Sharpe Ratio 1.67 0.26 2008 -25.95% -37.00% Maximum Drawdown -27.2% -52.5% Start Date Jan-08 Dec-07 2009 83.19% 26.46% End Date Dec-08 Mar-09 2010 30.65% 15.06% Max Monthly Consecutive 1 Foie -29.8% Loss 2011 22.60% 2.11% Start Date Sep-08 Sep-08 End Date Dec-08 Nov-08 2012 38.04% 16.00% Max / Min Returns Rolling 12 Months 83.7% / -25.9% 72.3% / -47.5% 2013 20.22% 32.39% Rolling 3 Months 25.8% 1 -20.6% 40.4% / -40.9% 2014 YTD 3.50% 3.22% Average Monthly Returns 1.7% 0.7% % Months with Gains 71.6% 64.2% Annualized Return 21.40% 5,98% Correlation S&P 500 0.28 1.00 (1) Source: Bloomberg. DB Brent Shod Volatility II Index has been retrospectively calculated and did not exist prior to 04 March 2014. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is net necessarily indicative of how the it will perform in the future. The performance of any investment product based on the DB Brent Shod Volatiity II Index have been lower than the Index as a result of fees and / or costs. Statistics shown am for excess return indices except SW 500 (SPIR vinclexv), which is a total return index. Data is as of 14 Oct 2014 Deutsche Asset e, .Tana;'.`, For U.S. Key Client Partners (KCP) Clients Only 22 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0070524 CONFIDENTIAL SDNY GM_00216708 EFTA01375239