EFTA01433382.pdf

Subject: Re: DB - Harvest Collateral Yield Enhancement Strategy From: Paul Barrett < E> Date: Fri, 13 Oct 2017 19:35:56 -0400 To: Andrew King MMIMIMORIPMOM Cc: Stewart Oldfield Thanks Andrew. Will review. Paul Barrett Alpha Group Capital LLC New York, NY 10019 On Oct 13, 2017, at 5:03 PM, Andrew King wrote: > Paul, I'm an Investment Specialist on Stew Oldfield's team at DB. During your last meeting with Stew, you had discussed a managed option strategy on our platform: the Harvest Collateral Yield Enhancement Strategy (CYES). As a follow-up, I thought I would send more information for your review. As background, CYES is an overlay that seeks to exploit the volatility risk premium and time decay properties of options by actively managing a portfolio of short-dated index option spreads on the S&P 500 index. The strategy sells options to generate premium while purchasing further out of the money options to contain risk. In a disciplined manner, the strategy seeks to mitigate exposure to market directional risk by defensively adjusting positions in response to a large move or reducing exposure ahead of specific market events. The strategy enables an investor to add an incremental return stream to their existing portfolio, and the potential diversification benefit provided EFTA01433382 by the strategy's historically low correlation to equities. It requires no capital outlay and instead uses an investor's existing portfolio as collateral. The strategy is implemented through a separately managed account (SMA) with complete transparency and daily liquidity. Harvest is an established leader in managed option strategies. It was founded in April 2008 and has over $10BN in AUM. The strategy is managed by an experienced team of 15 investment professionals that have deep trading and portfolio management backgrounds and have demonstrated success through the global financial crisis and other market events. If you have any questions or would like to discuss further, please just let me know. There are risks associated with investing in this strategy, please see slide 20 of the attached presentation for a summary of risks. Best regards, Andrew King <image001.gif> Andrew King, CFA Vice President I Investment Solutions Group Deutsche Bank Securities Inc. Deutsche Bank Wealth Management New York, NY 10154 Tel. Mobi Emai <image002.gif> EFTA01433383 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Please refer to https://db.com/disclosures for additional EU corporate and regulatory disclosures. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. <Harvest Presentation - August 2017.pdf> <Harvest Factsheet - August 2017.pdf> EFTA01433384