Multi-Asset Risk Premia Portfolio — TV5
Performance Overview
Historical Performance vs MSCI World and Barclays Agg Rolling 2 year Correlation MSCI World - Excess Return
100%
180%,
80%
160%
60%
140% I
40%
120% 20%
100% 0%
80% -20%
60% 40%
Risk Prcmia Portfolio
40% 40%
—MSCI World - Excess Return
20% —Ban.lays Agg Excess Return -80%
0% -100%
• Q s 1- s • t, s ▪ s
Summary Statistics Average Risk Premium Weights
MSCI Barclays • Equity Implied Dividend
Data From 24-Feb-012 to 24-Feb-17
Risk Premia World - A88 - Six. 7j%
• Equity Low Beta
Portfolio Excess Excess
Return Return rilEquity Momentum
Compounded Annual Growth 8.5% 9.2% 2.1% • Bprity Quality
Volatility 4.8% 11.8% 3.2% REquity Value
Sharpe 1.76 0.78 0.66 15A% Mammy Moment=
Max Drawdown -4.0% -18.1% -4.9% ', Cum:my Value
CAGR/ Max Drawdown 2.12 0.51 0.43 Rates Mtaucipal tebarage
Max Drawdown Volatility 0.83 1.53 1.54 • Equity Mean Reversion
Correlation to MSCI World Excess Rtn -5% -19% RRaws alorneraum
Correlation to Barden Au Excess Rtn 14% -19% • Commisclity Claw -Pena
Beta to MSCI World Excess Rtn -2% -5% at (tilts. Momentum
Source: Deutsche Bank, Bloomberg. Past results are neither an indicator nor a guarantee of future performance. Performance is net of costs and fees. Correlation and beta are calculated over rolling
weekly returns. Volatility is calculated with daily returns. MSCI World Excess Return is calculated by deducting Fed Funds daily from MSCI World Net Total Return Index (NDDUWI). Barclays Agg
Excess Return is calculated by deducting Fed Funds daily from Barclays Agg Total Return Index (LB 7USTRUU).
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0054967
CONFIDENTIAL SDNY_GM_00201151
EFTA01364431