EFTA01365027.pdf

Strategy Implementation Monday outperformance vs SPY Friday underperformance vs SPY DB proposes a strategy 800 800 referencing the combined return of the Friday and 700 Ann. Return Volatility Sharpe Ratio 700 Ann. Return Vplablity Sharpe Ratio '08 to '10 11.5% 14.2% 0.81 '08 to 10 1.2% 14.6% 0.08 Monday trades with gains 600 '11 to Present 30.6% 11.5% 2.67 600 '11 to Present 13 4% 8.4% 1.59 or losses reinvested in the 500 500 strategy on a daily basis 400 400 (alternatively, a strategy on Monday-only could 300 300 also be implemented) 200 200 .004,.....,••••••••••••• 100 100 . 1 4/ Strategy will use SPY, the 0 , 0 SPDR S&P 500 ETF, to 0 A% <' "4 replicate the S&P 500 A A • '• szi% .1•1\ sti total return Off' OP 1 4 1fr Vlis se e off' .061 o Combined Friday / Monday performance vs SPY Annual Returns Strategy assumes dividends are reinvested 800 - Ann Return Volatility Shiite.Rein 80% as Monday on the ex-date '08 to 410 12.8% 19.9% 064 70% 700 '11 to Present 48 2% 12.5% 3.86 0Friday 60% -I 600 50% I ', Combined Strategy incorporates a 40% transaction cost of 500 30% -1 0.002% per execution on 400 20% I notional amount executed 10% 300 0% 200 -10% 1 -20% 100 I 2014 2008 2009 1 2010 2011 2012 2013 YTD 0 Monday -7.6% 27.3% 180% 33.1% 47.0% 23.5% 32.8% % <I' 0 Friday 16.8% -9.5% -1 7% 2 5% 19.5% 27.4% -0.1% AA Ce ti t e ct d if Combined 8.0% 152% 159% 365% 757% 574°A 327% Deutsche Bank This Strategy assumes trading an equal dollar amount long and short (or then and long) of AAPL and SPY on each execution day and reinvesting the gains or losses in the strategy. Source: Deutsche Bank. Bloomberg Finance L.P., as of November 3, 2014 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055619 CONFIDENTIAL SDNY_GM_00201803 EFTA01365027