EFTA Document EFTA01387440

Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% 120% 100% SO% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MCI World - Excess Return —Bardays Agg Execcs Return Q s 1- s • t, Summary Statistics Risk Premia Data From 24-Feb-012 to 24-Feb-17 s MSCI World - s Barclays A88 - Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5% -19% Correlation to Barden Au Excess Rtn 14% -19% Beta to MSCI World Excess Rtn -2% 100% 80% 60% 40% 20% 0% -20% 40% 40% -80% -100% Rolling 2 year Correlation MSCI World - Excess Return Average Risk Premium Weights Its. 7j% 15A% • Equity Implied Dividend • Equity Low Beta rilEquity Momentum Fquiry Quality REquity Value Mammy Moment= ',Cum:my Value Rates Mtaucipal tebarage ' Equity Mean Reversion RRaws alorneraum • Commisclity Claw -Pena 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) CONFIDENTIAL DB-SDNY-0090050 SDNY_GM_00236234 EFTA01387440