EFTA01364399.pdf

Cash Equity Risk Premia Portfolio TV5 Bloomberg: Historical Performance Performance Summary 3,000 20 Fob 2002 31 Oct 2016 Equity Portfolio TV5 MSCi t'ktrIti PR -Equity Portfolio TVS Growth Over Period 171.5% 78.7% 2,500 • --MSCI World PR Compounded Annual Growth 7.0% 4.0% Annualised Daily Volatility 5.0% 17.2% 2,000 Information Ratio 1.41 0.23 Worst Drawdown -8.5% -59.1% 1,500 Calmar Ratio 0.83 0.07 Average monthly return 0.5% 0.3% 1,000 Best monthly return 4.2% 10.8% Worst monthly return -3.2% -19.2% 500 96 months with gains 69% 58% 0 Correlations (Period, 5Y, 3Y, 1Y) 0.00; 0.26 ; 0.33; 0.14 02 03 04 05 08 07 06 09 10 11 12 13 14 15 16 Source: Deutsche Bank, Bloomberg Index). The Index has only existed since 21 October 2013. Prior to this date, the Index's historical performance has been simulated and calculated by means of a retrospective application of the Index model. Returns shown for retrospective periods do not reflect actual historical returns. MI prospective investors fl uid be aware that no actual investment which allowed a tracking of the performance of the Index was possible at any time prior to October 2013. Performance. actual or simulated. is not a reliable indicator of future results. 13 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0054932 CONFIDENTIAL SDNY_GM_00201116 EFTA01364399