EFTA01462583.pdf

Deutsche Asset & Wealth Management Cash Return On Capital Invested A Real Value Investment Process Real Value Investment Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value EFTA01462583 What is CROCI? Cash Return On Capital Invested What How Invested CROCI is a proprietary stock-valuation methodology. The four stages of applying CROCI methodology: 1. Research the distortions in reported financial statements and systematically adjust them to provide a comparable platform for investment and research purposes; 2. Maintain a database of 800 large cap stocks on a global basis going back to 1989; 3 Provide clients with publications on the regional and sector CROCI indices; and History clients regional sector 4. Deliver the CROCI valuation process and indices that offer exposure to real value and growth and long term performance. CROCI is nearly 20 years old and is a DB registered trademark. Launched in 1996 as a research service to institutional clients, the first indices were launched in 2004. CROCI moved into Deutsche Asset & Wealth Management in the fourth quarter of 2013. Team Published CROCI indices blished We never rush decisions, we prefer to get things right. Dedicated 60 persons with an average 11 year tenure at DB. There are 10 CROCI indices which have been used to model investment strategies using various product wrappers by DB entities throughout the world. In the United States, Deutsche Investment Management Americas, Inc. (DIMA) has the capability of offering investment mandates utilizing the CROCI valuation process and indices. are which various Past performance is not indicative of future results. Indices are sponsored by DB AG London. Performance information for indices was not calculated by an independent calculation agent. It is not possible to invest directly in an index. Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 1 EFTA01462584 EFTA01462585 CROCI team structure Head of CROCI (1998) Francesco Curto AWM—CROCI analysis Colin Chris Wane Sarvesh Agrawal Mulligan AWM—CROCI Americas McKenzie (1998) (2000) (2002) Dirk Schlueter (2012) Lynn (1999) DB Center (offshore)1 Mukarram Subha Venkat Gyanendra Yogendar Mital Bharat Rajiv Vikash Irevna (outsourced) 39 non-DB analysts 1The first is the data of joining DB; the second is the date of joining the CROCI team at Irevna, a third-party research and analytics outsourcing provider solely dedicated to CROCI data adjustments. Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 2 Joe Hall (2013) Fred Karan Chris Ali Rathi Bijjaram Jaiswal Khairari Parekh Shah Shah Sonica Mehta EFTA01462586 AWM-CROCI database Virginie Galas Town (2010, 2002) (2011, 2009) (2007, 2004) (2007, 2005) (2007, 2003) (2007, 2002) (2006, 2002) (2007, 2003) (2009, 2006) Schachinger (2013) (2010) (1995) (2000) Sujit Modi (2007, 2003) AWM—CROCI strategies Markus Barth Shinil Michael JB Yakir Mayer (2002) Balakrishnan (2006) (2010) (2001) EFTA01462587 The CROCI valuation methodology Main differences between accounting and economic data Ati dt Accounting data Book value Is historical cost accounted and ignores intangible economic assets, such as research and development, and brand advertising. Return on Equity Does not represent a real return (for example depreciation is not charged economically and asset life is inconsistent.) real Market capitalization Only includes the value of the equity, ignoring debt and other calls on shareholders. Net income Does not reflect the real level of profitability. rn (for Economic dataEi dt Net capital invested such as research and development, and brand advertising. CROCI Includes cash return over the life of the assets. Depreciation is charged economically, with similar assets having similar lives. rn Enterprise value Includes financial debt and other liabilities, such as leases, warranties and pension underfunding. Economic earnings Offers a true and comparable measure of profitability Source: Deutsche Bank CROCI team Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 3 of the Is adjusted for inflation, and also includes capitalized intangibles, EFTA01462588 Converting accounting data into real economic data Economic P/E correlations are much higher than for accounting P/E Accounting inputs Economic inputs Price-to-book value (P/BV) Return on equity (E/BV) Accounting P/E Accounting P/E: P/BV vs. ROE1 35 40 10 15 20 25 30 0 5 -200% -100% 0% 100% 200% 300% R, = 0.3295 P/BV ROE 20 25 10 15 5 0 -40% -20% 0% 20% 40% 60% 80% 100% 120% 1P/BV vs. ROE and EV/NCI vs. CROCI is for CROCI global universe during 2012, using average share price where necessary. Companies with negative P/BVs have been removed from both, along with three extreme outliers in the accounting chart. price Source: Deutsche Bank Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 4 Companies with P/BVs Enterprise value / net capital invested (EV/NCI) Cash Return On Capital Invested (CROCI) Invested (CROCI) Economic P/E EFTA01462589 Economic P/E: EV/NCI vs. CROCI1 R2 = 0.7517 EV/NCI CROCI EFTA01462590 CROCI selection methodology regional pp Overview of country, regional and global CROCI indices Large-cap selection pools excluding financials) (S&P 500 Index, EuroSTOXX Large Index, TOPIX 100, MSCI World Index) The transition from Rank stocks by trailing 12 month economic P/E 12economic SelecSl t fixed number of hi h hig est-ranked s ocks kd t CROCI Index CROCI Index (equal-weighted, long-only, rebalanced monthly, no cash position)2 — CROCI World and CROCI World ex Japan Indices are targeted to be region neutral to the MSCI World and MSCI CROCI indices are rebalanced on a monthly basis and are equally weighted.2 gg Kokusai Indices respectively. — CROCI Sectors III Index selects the 10 stocks with the lowest economic P/E from each of the three global sectors with the lowest median economic P/E. (1) (2) That are included in the CROCI database. Th Deutsche Asset & Wealth Management db CROCI Global Dividends Index and CROCI US Dividends Index are rebalance on a quarterly basis. Index returns assume reinvestment of dividends and do not reflect any fees or expenses. It is not possible to invest directly in an index. For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 5 CROCI data to CROCI id index is entirely systematic, transparent an tt d without subjectivity. EFTA01462591 Benchmarking real value investment: CROCI indicesl Country, regional, global and sustainable dividend building blocks regional, global Country Regional Global Dividends CROCI US Index CROCI CROCI Euro In exEl d CROCI World Index CROCI Global Dividends Index CROCI Japan Index dividend CROCI UK Index CROCI Wld JI d CROCI Sectors III Index CROCI US Dividends Index — CROCI index daily closing levels are available on Bloomberg, Reuters and DBIQ. - CROCI World and CROCI World ex Japan indices are targeted to be region - neutral to their benchmark, the MSCI World Index and the MSCI Kokusai Index. — CROCI Sectors III Index selects the 10 stocks with the lowest economic P/E from each of the three global sectors with the lowest median economic P/E. — CROCI Dividends Index targets companies with sustainable dividends AND attractive valuations. (1) It is not possible to invest directly in an index. Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 6 World ex Japan In ex blocks CROCI Germany Index EFTA01462592 Index performance since live date vs. benchmark indices as of 1/31/14 CROCI Index US Japan World USD Benchmark index S&P 500 Index TR Euro EuroSTOXX 50 TR TOPIX 100 TR TOPIX MSCI World USD Net TR Index Sectors III USD MSCI World USD Net TR Index Germany Template Table.xlsm","Worksheet_Name":"Sheetl","Shape_Name":"perf_since_live_datel. ("Signature":"9991489328D37A508983C5E7C90AE938","Workbook_Name":"P:\\_An alysis Template\\CROCI Indices Performance DAX Index UK World ex Japan US Dividends Net Performance FTSE 100 TR Index MSCI Kokusai Net USD Index Global Dividends USD MSCI World HDY Net USD Index S&P High Yield Dividend Aristocrats TR Index 11/25/10 3/31/05 7/29/05 2/1/07 8/31/10 3/15/12 5/28/12 Index live datel 2/1/04 2/1/04 2/1/04 Cumulative growth 151.4% 102.6% 42.7% 47.9% 184.8% 123.2% 92.5% 78.0% 28.7% EFTA01462593 43.6% Compounded annual growth 9.7% 7.3% 36% 13.1% 12.6% 9.9% 9.8% 18.3% 14.3% 24.0% Excess annualised return2 3.6% 2.9% 3.7% 14% 1.4% 2.0% 6.6% 2.0% 5.5% 3.2% 1.7% 3.7% Source: Deutsche Bank and Bloomberg as of 1/31/14. Performance is historical and does not guarantee future results. Indices are sponsored by DB AG London. gp Performance information for indices was not calculated by an independent calculation agent. Index returns assume reinvestment of dividends and do not reflect any fees or expenses. It is not possible to invest directly in an index. This performance is not representative of the performance any DIMA investment strategy or mandate. This represents performance of the CROCI indices. DIMA is not a party to the management or publication of these indices. While DIMA expects to manage investment strategies based on CROCI and these indexes, this is not intended to represent that activity. Performance of the indices do not take into account the effect of management fees and other transaction costs associated with the management of a separate account strategy implementing the CROCI valuation process. These fees and expenses will reduce an investors overall return. 1 Index live date refers to the first date that CROCI levels were calculated on a live basis(i.e., not backtested). 2 Excess annualized return is the difference in the compounded annual growth rate (CAGR) for a particular Index and that of its benchmark. EFTA01462594 Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 7 EFTA01462595 CROCI US Index (ticker DBUSCRUT) Simulated data prior to 2/2/04 Relative performance vs. S&P 500 Index 3000 Thli 1500 2000 2500 1000 500 0 0 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 Index performance analysis 1 Feb 1996 - 31 Jan 2014 Grow th Over Period Compounded Annual Grow th Annualised Daily Volatility Sharpe Ratio (2.90%) Worst drawdow n Median monthly return Best monthly return Worst monthly return % of months w ith gains gains of onths wi Trailing 12M Dividend Yield Correlation CROCI US S&P 500 TR 866.2% 13.4% 19.6% 0.54 -53.1% 1.1% 16.1% -18.5% 60.5% 5% 1.9% 289.3% 7.8% 19.8% 0.25 -55.3% 1.3% 10.9% -16.8% 63.3% 2.5% 0.91 EFTA01462596 96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 CROCI US S&P 500 TR Historical sector allocation, rolling five years 100% 80% 90% 60% 70% 50% 30% 40% 10% 20% 0% 09 Industrials Health Care 10 Utilities 11 12 13 Information Technology Consumer Discretionary Energy Consumer Staples Materials Source: Deutsche Bank and Bloomberg as of 1/31/14. Performance is historical and does not guarantee future results. Indices are sponsored by DB AG London. Performance information for indices was not calculated by an independent calculation agent. Index returns assume reinvestment of dividends and do not reflect any fees or expenses. It is not possible to invest directly in an index. This performance is not representative of the performance any DIMA investment strategy or mandate. This represents performance of the CROCI indices. DIMA is not a party to the management or publication of these indices. While DIMA expects to manage investment strategies based on CROCI and these indexes, this is not intended to represent that activity. Performance of the indices do not take into account the effect of management fees and other transaction costs associated with the management of a separate account strategy implementing the CROCI valuation gg PgY g process. These fees and expenses will reduce an investors overall return. The CROCI US Index was launched on 2/2/04 and has no prior operating history. Performance data prior to this date is backtested. Live date refers only to the CROCI index and indicates when that index performance date was live, not backtested. Please see slide 4 for important information about backtesting. Deutsche Asset EFTA01462597 & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 8 14 The relative performance line plots the Index return compared tthb to the benchmark return. The line moves upward if Index return exceeds benchmark return and vice-versa. d if I d 10000 6000 8000 2000 4000 Historical index performance, 2/1/96 — 1/31/14 prior Index performance 12000 II Live Date I I Live Date I EFTA01462598 Important information about backtested data Backtested performance is not an indicator of future actual results. The results reflect performance of a strategy not historically offered to investors and do not represent returns that any investor actually attained. Backtested results are calculated by the retroactive application of a model constructed on the basis of historical data and based on assumptions integral to the model which may or may not be testable and are pg y subject to losses. General assumptions include: The index would have been able to purchase the securities recommended by the model and the markets were sufficiently liquid to permit all trading. Changes in these assumptions may have a material impact on the backtested returns presented. This information is provided for illustrative purposes only. Backtested performance is developed with the benefit of hindsight and has inherent limitations. Specifically backtested results do not reflect actual trading or the effect of material economic and market factors on the decision-making process. Since trades have not actually been executed, results may have under or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity, and may not reflect the impact that certain economic or market factors may have had on the decision-making process. Actual performance may differ significantly from backtested performance. is the res do Backtested results are adjusted to reflect the reinvestment of dividends and other income and, except where otherwise indicated, are presented results to reflect reinvestment otherwise indicat gross-of-fees and do not include the effect of backtested transaction costs, management fees, performance fees or expenses, if applicable. All CROCI indices in this presentation have a history that combines backtested data with live data. Inception dates refer to the first instance of a CROCI index which would have been backtested and live dates refer to the moment in time when a particular CROCI index was no longer backtested (i.e. "live"). All CROCI performance shown in this presentation reflects the returns of an index and not any investment product portfolio management or shown in this presentation reflects the mandated strategy. It is not possible to invest directly in an index. CROCI Index US Euro EFTA01462599 Japan World USD Sectors III USD Deutsche Asset & Wealth Management 2/1/04 2/1/04 2/1/04 11/25/10 3/31/05 of an index presented Index live date CROCI Index Germany UK World ex Japan Global Dividends USD US Dividends Net For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value Index live date 7/29/05 2/1/07 8/31/10 3/15/12 5/28/12 9 EFTA01462600 Disclaimer This document is intended for discussion purposes only and does not create any legally binding obligations on the part of Deutsche Bank AG and/or its affiliates ("DB"). Without limitation, this document does not constitute an offer, an invitation to offer or a recommendation to enter into any transaction. When making an investment decision, you should rely solely on the final documentation relating to the transaction and not the summary contained herein DB is not acting as your financial adviser or in any other fiduciary capacity with respect to this proposed transaction. The transaction(s) or products(s) mentioned herein may not be appropriate for all investors and before entering into any transaction you should take steps to ensure that you fully understand the transaction and have made an independent assessment of the appropriateness of the transaction in the light of your own objectives and circumstances, including the possible risks and benefits of entering into such transaction. For general information regarding the nature and risks of the proposed transaction and types of financial instruments please go to www.globalmarkets.db.com/riskdisclosures. You should also consider seeking advice from your own advisers in making this assessment. If you decide to enter into a transaction with DB, you do so in reliance on your own judgment. The information contained in this document is based on material we believe to be reliable; however, we do not represent that it is accurate, current, complete, or error free. Assumptions, estimates and opinions contained in this document constitute our judgment as of the date of the document and are subject to change without notice. Any projections are based on a number of assumptions as to market conditions and there can be no guarantee that any projected results will be achieved. Past performance is not a guarantee of future results. The distribution of this document and availability of these products and services in certain jurisdictions may be restricted by law You may not distribute this document in whole or in part without . DB is adviser respect to this products services jurisdictions be restricted by law. may this our express written permission. CROCI® is a registered trade mark of Deutsche Bank AG in certain jurisdictions. Deutsche Bank AG reserves all of its registered and unregistered trade mark rights. CROCI is DeAWM's proprietary equity valuation process and is a Deutsche Bank registered trademark. Deutsche Investment Management Americas Inc ("DIMA" or the "Advisor") intends to utilize the CROCI teams proprietary investment valuation process and indices to develop EFTA01462601 . ("DIMA" "Advisor") intends and manage investment strategies. Deutsche Asset & Wealth Management represents the asset management and wealth management activities conducted by Deutsche Bank AG or any of its subsidiaries. Clients will be provided Deutsche Asset & Wealth Management products or services by one or more legal entities that will be identified to clients pursuant to the contracts, agreements, offering materials or other documentation relevant to such products or services. I-34272-1 (3/14) the proprietary process Deutsche Asset & Wealth Management For institutional use only I Not for public viewing or distribution Investment products: No bank guarantee I Not FDIC insured I May lose value 10 EFTA01462602