EFTA Document EFTA01364395

Risk Premia Implementation Isolating Alternative Beta: Equities Example • Long only implementation of factor research produces portfolios which derive their risk from and are highly correlated traditional market risk • Long/Short "Relative Performance" implementation of factor research isolate exposure to the factor/risk that is rewarded and eliminates directional market exposure producing return sources which are highly diversifying • The charts below show correlations to MSCI World of Relative Performance vs Long-Only strategies: Rolling 1-Year Correlation to MSCI-World Long Only Avg Correlation - Relative Performance Rolling Correlation — Long Only Rolling Correlation 100% VALUE SO% 40% 20% 0% 40% re b03 Feb04 (*OS reb46 robe) Feta reb09 Feb-10 Feb-Ilk -0.12 rob-13 LOW BETA ..ey‘e•-••fr KV% 0% 10% 40% 60% SO% 76bAl hett4M1•006 Feb 06 Feb-07 Ida tit Fab 09 F•010 Sty 1 1 Feb-12 Feta•I 3 91% dB% 100% --- Relative Performance Avg Correlation QUALITY 40% - Fe 943 rape kb .05 re4”06fttr07 reta reb -09 ;N A° f ctn.) IGO% eme: 4" I 30% 40% MOMENTUM ads F4643 fat-04146.45 940-06 9,6-07 F•608 F•909 F444-10 Fetb-Ilivb.12 991.-13 27% 23% Source: Deutsche Bank. Bloomberg. Correlation is calculated using monthly returns. Data Period: Jan-02 to Jul-13. The average correlations shown are the average 1yr rolling correlation over the dataset. 9 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0054928 SDNY_GM_00201112 EFTA01364395