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EFTA Document EFTA01364476EFTA Document EFTA01364478
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sd-10-EFTA01364477Dept. of JusticeOther

EFTA Document EFTA01364477

Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

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Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

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Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7% 4% MSCI World PR 3.8% 16.4% 0.23 -59% Source Deutsche Bank AG. Bloomberg. Risk-weighted Portfolio is monthly rebalanced. Premia are weighted proportional to inverse of I -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) CONFIDENTIAL DB-SDNY-0055017 SDNY_GM_00201201 EFTA01364477

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Cash Equity Risk Premia Portfolio Diversification Benefit is a Critical Driver of Attractiveness of Risk Premia Data from 31-Jan-02 Value to 31-Oct-16 Average of Quality Momentum Low Beta Premia Statistics IRR 5.4% 2.2% Volatility 8 6% 6.5% IRRNolatility 0.63 0.34 Max Drawdown -25% -24% 1.0% 8.1% 0.13 -27% 6.3% 7.3% 0.86 -27% Beta to MSCI World 16% -18% 10% 19% Risk-weighted Portfolio: Cash Equity Risk Premia 3.7% 4.4% 7.6% 0.49 -26% 3.2% 1.38 -7% 7

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