EFTA01364484.pdf

Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg Rolling 2 year Correlation MSCI World - Excess Return 100% 200% 80% ISO% 60% 160% 40% 140% 20% 120% 0% 100% 80% -20% 60% 40% Risk Prania Portfolio 40% 40% MSCI World • Excess Return 20% Agg - Excess Return 40% 0% -100% Fcb-12 Feb-13 Feb-14 Feb-15 Feb-16 Feb-17 Summary Statistics Average Risk Premium Weights (Before Vol-Targeting) MSCI Barclays • Sauuy Implied Ps-Wend Risk Premia World - Agg. Data From 24-Feb-012 to 24-Feb-17 • Eresty Low Btu Portfolio Excess Excess Return Return rilEquity Moment= Compounded Annual Growth 12.4% 9.2% 2.1% IlE9114YQuallY Volatility 6.3% 11.8% 3.2% REquity Value Sharpe 1.97 0.78 0.66 15Th scmutey Moment= Max Drawdown -5.3 -18.1% -4.9% 111Curtawy Value CAGR / Max Drawdown 2.33 0.51 0.43 alkalis% Mtaucipal Arbitrage Max Drawdown / Volatility 0.85 1.53 1.53 ' Equity Mean Reversion Correlation to MSCI World Excess Rtn -7% -19% URaws1dornentum Correlation to Barclays Agg Excess Rtn 15% -19% • Commodity Claw -Pees Beta to MSCI World Excess Rtn -4% -5% airomnsdity Momentum Source: Deutsche Bank, Bloomberg. Past results are neither an indicator nor a guarantee of future performance. Performance is net of costs and fees. Correlation and beta are calculated over rolling weekly returns. Volatility is calculated with daily returns. MSCI World Excess Return is calculated by deducting Fed Funds daily from MSCI World Net Total Return Index (NDDUWI). Barclays Agg Excess Return is calculated by deducting Fed Funds daily from Barclays Agg Total Return Index (LBUSTRUU). 18 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0055024 CONFIDENTIAL SDNY_GM_00201208 EFTA01364484