EFTA01364422.pdf

Risk Premia Correlation Analysis Correlations Through Time • Risk Premia research has focused on the superiority of Risk Premia compared to asset classes as diversifiers during periods of market stress. 3Y Rolling Average Correlation to Equities 100% 80%• 60% • 40% 20% t eleayirbolikadv iskit, Correlation 0% 92 93 97 98 99 00 01 02 I I 06 07 08 09 10 11 12 13 14 15 -20% • -40% -60% Risk Premia Cross-Asset -80% Traditional Asset Classes -100% 'TraditionalAsset Classes refers to Equity, Bonds, Commodities, Hedge Funds, Private Equity and REITs. Source: Deutsche Bank. Bloomberg. Past performance is no indicator of future returns. 8 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0054958 CONFIDENTIAL SDNY_GM_00201142 EFTA01364422