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Cash Equity Risk Premia Portfolio
Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia
Risk-weighted
Average of
Data from 31-Jan-02 Portfolio: Cash
Value Quality Momentum Low Beta Premia MSCI World PR
to 31-Oct-16 Equity Risk
Statistics
Premia
IRR 5.4% 2.2% 1.0% 6.3% 3.7% 4.4% 3.8%
Volatility 8 6% 6.5% 8.1% 7.3% 7.6% 3.2% 16.4%
IRRNolatility 0.63 0.34 0.13 0.86 0.49 1.38 0.23
Max Drawdown -25% -24% -27% -27% -26% -7% -59%
Beta to MSCI World 16% -18% 10% 19% 7% 4%
Source Deutsche Bank AG. Bloomberg. Risk-weighted Portfolio is monthly rebalanced. Premia are weighted proportional to inverse of 1-year realized volatilities on each rebalancing date Volatility
is calculated with daily return data. Beta and correlation are calculated using monthly return data. Risk Premia Portfolio contains Value. Quality. Momentum, and Low Beta. Performance. actual or
simulated. is not a reliable indcator of future results
11
CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054989
CONFIDENTIAL SDNY_GM_00201173
EFTA01364452
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