EFTA01364397.pdf

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Risk-weighted Average of Data from 31-Jan-02 Portfolio: Cash Value Quality Momentum Low Beta Premia MSCI World PR to 31-Oct-16 Equity Risk Statistics Premia IRR 5.4% 2.2% 1.0% 6.3% 3.7% 4.4% 3.8% Volatility 8 6% 6.5% 8.1% 7.3% 7.6% 3.2% 16.4% IRRNolatility 0.63 0.34 0.13 0.86 0.49 1.38 0.23 Max Drawdown -25% -24% -27% -27% -26% -7% -59% Beta to MSCI World 16% -18% 10% 19% 7% 4% Source Deutsche Bank AG. Bloomberg. Risk-weighted Portfolio is monthly rebalanced. Premia are weighted proportional to inverse of 1-year realized volatilities on each rebalancing date Volatility is calculated with daily return data. Beta and correlation are calculated using monthly return data. Risk Premia Portfolio contains Value. Quality. Momentum, and Low Beta. Performance. actual or simulated. is not a reliable indcator of future results 11 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054930 CONFIDENTIAL SDNY_GM_00201114 EFTA01364397