EFTA01364478.pdf

Cash Equity Risk Premia Portfolio Volatility Targeting ■ With the aim of stabilizing the volatility of the Risk-weighted portfolio of Cash Equity Premia and also to create an index with a volatility comparable to a diversified hedge fund portfolio, we created the DB Equity Risk Premia Portfolio TV5, which targets an annualized volatility of 5%. ■ The strategy allocates to the Risk-weighted portfolio of Cash Equity Premia based on the 1-year trailing realized volatility and rebalances monthly. ■ The allocation is capped at 2 times notional investment. ,2 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055018 CONFIDENTIAL SDNY_GM_00201202 EFTA01364478