EFTA Document EFTA01384454

18 September 2017 Long•Term Asset Return Study. The Next Financial Crisis Table Of Contents Executive Summary 3 Data Summary on a page 9 Identifying Financial Crises through history 10 Why has the frequency of financial crises increased? 17 Candidates for the next Financial Crisis 28 The Great Central Bank unwind 28 Are we out of bullets when the next recession arrives? 33 What if inflation continues to disappoint? More OE and negative rates? 35 Italy: A crisis waiting to happen? 38 A China Crisis? 43 Global imbalances still elevated 47 The Rise of Populism 50 Stretched Asset Prices succumbing to Gravity 52 Japan: A permanent stupor or 56 Brexit 60 (A lack of) Financial Market Liquidity...and changing market structure 61 Future Returns based on Mean Reversion 66 Mean reversion assumptions 69 Historical US & International Asset Returns 71 Long-Term Asset Returns in Charts 86 International equity return charts 86 International 10 year government bond return charts 87 International equity minus bond return charts 88 Page 2 Deutsche Bank AG/London CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0084651 CONFIDENTIAL SDNY_GM_00230835 EFTA01384454