EFTA01364483.pdf

Multi-Asset Risk Premia Portfolio — TV5 Performance Overview Historical Performance vs MSCI World and Barclays Agg Rolling 2 year Correlation MSCI World - Excess Return 100% 180%, 80% 160% 60% 140% I 40% 120% 20% 100% 0% 80% -20% 60% 40% Risk Premia Portfolio 40% 40% —MSCI World - Suess Return 20% —Ban.lays Agg FIxeecs Return -80% 0% -100% Q s s • P s s Summary Statistics Average Risk Premium Weights MSCI Barclays • Equity Implied Dividend Risk Premia World - ASS - -kis. 7j% Data From 24-Feb-012 to 24-Feb-17 • Equity Low Beta Portfolio Excess Excess Return Return rilEquity Momentum Compounded Annual Growth 8.5% 9.2% 2.1% • Bprity Quality Volatility 4.8% 11.8% 3.2% REquity Value Sharpe 1.76 0.78 0.66 15A% Mammy Moment= Max Drawdown -4.0% -18.1% -4.9% ', Cum:my Value CAGR/ Max Drawdown 2.12 0.51 0.43 Rates Mtaucipal tebarage Max Drawdown / Volatility 0.83 1.53 1.54 • Equity Mean Reversion Correlation to MSCI World Excess Rtn -5% -19% RRaws alorneraum Correlation to Barden Au Excess Rtn 14% -19% • Commisclity Claw -Pena Beta to MSCI World Excess Rtn -2% -5% at(tilts. 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 (LB 7USTRUU). CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0055023 CONFIDENTIAL SDNY_GM_00201207 EFTA01364483