EFTA01364395.pdf

Risk Premia Implementation Isolating Alternative Beta: Equities Example • Long only implementation of factor research produces portfolios which derive their risk from and are highly correlated traditional market risk • Long/Short "Relative Performance" implementation of factor research isolate exposure to the factor/risk that is rewarded and eliminates directional market exposure producing return sources which are highly diversifying • The charts below show correlations to MSCI World of Relative Performance vs Long-Only strategies: Rolling 1-Year Correlation to MSCI-World — Long Only Rolling Correlation Long Only Avg Correlation - Relative Performance Rolling Correlation --- Relative Performance Avg Correlation VALUE QUALITY 100% 100% SO% 40% 40% 20% 0% - 27% 40% reb03 Feb04 (*OS reb46 robe) Feta reb09 Feb-10 Feb-Ilk -0.12 rob-13 Fe 943 rape kb .05 re4”06fttr07 reta reb -09 ;NA° f ctn.) LOW BETA MOMENTUM IGO% 91% ..ey‘e•-••fr m ee: dB% 4" I KV% 23% 0% 10% 30% 40% 40% 60% SO% ads 76bAl hett4M1•006 Feb 06 Feb-07 Ida tit Fab 09 F•010 Sty1 1Feb-12 Feta•I 3 F4643 fat-04146.45 940-06 9,6-07 F•608 F•909 F444-10 Fetb-Ilivb.12 991.-13 Source: Deutsche Bank. Bloomberg. Correlation is calculated using monthly returns. Data Period: Jan-02 to Jul-13. The average correlations shown are the average 1yr rolling correlation over the dataset. 9 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054928 CONFIDENTIAL SDNY_GM_00201112 EFTA01364395