Free Writing Prospectus
Filed pursuant to Rule 433 Registration Statement No. 333-184193 Dated: July 3,
2014

Equity Risk Premia

An Alternative Approach to Equity Market Beta June 30, 2014


 
 
 
 

 
 
 

Motivation

-- Investors are increasingly aware of the need to diversify away from
traditional assets

-- Traditional portfolios of equities and bonds can be dominated by equity risk
in times of market stress

-- Alternative investments have become a step toward the solution

-- Allocation to alternatives can be diversifying, but may require a
significant cost to access

-- However, even the "Yale Model" of seeking diversification through allocation
to alternative investments --hedge funds, private equity funds, commodities and
real estate -- proved ineffective during the most recent financial crisis

-- Is true diversification fundamentally unachievable?

-- Gradually, a new paradigm may be emerging -- diversification through
investment in risk factors, or risk "premia" -- Old ideas, applied in new ways

-- Capturing liquid, uncorrelated sources of return -- Simple, logical and well
documented strategies -- Portfolios constructed to maximize diversification
benefits

Page 2


 
 
 
 

 
 
 

What Do We Mean By Risk Premia?

-- A premium generated for taking a certain type of risk

-- Persistent source of potential return that can be accessed systematically,
also referred to as a risk factor or alternative beta

-- Some risk factors represent simple exposure to the excess return of an asset
class, such as the equity risk premium or the credit risk premium

-- Others represent systematic investment in assets with certain
characteristics or trading of related instruments to capture relative value: --
Equity investment strategies such as value, size and momentum

-- Convertible arbitrage and merger arbitrage strategies

-- Implied/realized volatility strategies

-- Also present beyond the equity space, in strategies such as FX carry and
rates term structure carry

-- Most well-known risk factors have been analyzed extensively in academic and
practitioner literature

Page 3


 
 
 
 

 
 
 

The Investment Universe

Market Risk, Alternative Beta and Alpha

-- The investment universe can be divided into three categories:

Alpha

+

Alternative Beta

+

Market Risk -- "Beta"

-- Pure alpha is what is left after market risk and alternative beta are
accounted for -- A valuable manager is one who can provide alpha over and above
the various beta premiums

-- A valuable manager should be able to offer market timing expertise

-- A high management fee is justifiable for a valuable manager providing pure
alpha, while efficient capture of market risk and alternative beta can be
achieved without involving managers -- The primary focus of DB's approach is
efficient alternative beta captured in a cost-effective way

Page 4


 
 
 
 

 
 
 

Identifying Risk Factors

-- When identifying risk factors for investment, it is important that they meet
several criteria: -- Explainable: risk factors should have a strong basis for
existence

-- Persistent: there must be a rationale for the persistence of the risk
factor

-- Attractive risk/return: it is important for risk factors to have attractive
return characteristics in isolation

-- Unique: in the portfolio framework it is important to find uncorrelated
sources of return -- risk factors should exhibit low correlations to
traditional market betas and to other risk factors being considered for
investment

-- Accessible: risk factors must be accessible at a level of cost that is
sufficiently low to avoid dilution of the return

-- The explanations for why a premium exists can generally be placed into one
of the following: -- Risk-Based: The premium is a compensation for taking on a
systematic risk

-- Behavioral : The premium occurs due to persistent behavior of investors in
the market place

-- Structural : The premium results from industry structure, constraints or
targets

-- Often more than one of the categories apply to any one risk factor, and
sometimes all three categories are applicable

Page 5


 
 
 
 

 
 
 

Implementing Risk Factors

-- The key to efficient risk factor implementation is taking a disciplined and
systematic approach --skill lies in designing strategies that are simple and
robust

-- Our approach is to isolate factors that meet the following criteria:

-- Fully transparent: strategies are fully systematic and work within
well-defined rules

-- Liquid: strategies are designed to allow cost-efficient entry and exit to
investors with no lock-ups

-- Low cost: a well-defined systematic approach allows efficient transactions
costs

-- Flexible access: strategies can be accessed in a variety of formats --
either funded or unfunded as a portfolio overlay and in a variety of wrappers

-- Portfolio construction then involves combining a range of these return
generators that are designed to capture different sources of risk premium

-- By creating a portfolio of liquid risk factors it is possible to build a
more diversified portfolio, thereby reducing drawdown risk and improving
risk-adjusted returns

Page 6


 
 
 
 

 
 
 

Equity Risk Factors

Examples

-- DB has surveyed a universe of well documented equity risk factors

-- Value

-- The concept of value investing is founded on the belief that cheap stocks
outperform expensive stocks in the long-run. The landmark Fama-French paper
from 1992 identified a systematic approach to value investing

-- An example of traditional measures of value are ratios such as
Price-to-Earnings and Enterprise Value-to-EBITDA where investment are made into
companies that are viewed as cheap

-- Growth

-- Growth investing involves investing in stocks whose earnings are expected to
grow at an above-average rate as compared to their industry or overall market

-- Examples of measuring growth include 12-month trailing EPS growth, long-term
EPS growth, current P/E vs. 5Y P/E and 12-month trailing dividend growth

-- Quality

-- In reporting seasons, earnings quantity tends to get the most attention --
in reality though the quality of earnings is a better gauge of future earnings
performance

-- Accruals -- the difference between cash and accounting earnings -- can be a
good inverse measure of earnings quality. Accrual earnings have been less
reliable than cash earnings because they involve subjective judgments regarding
the period in which revenues and expenses are recognized

-- Academic research (Sloan) has highlighted that earnings performance related
to accruals exhibits lower persistence than earnings attributed to cash flow

Page 7


 
 
 
 

 
 
 

Equity Risk Factors

Examples (con't)

-- Momentum

-- Prior stock returns have been shown to have explanatory power -- this
temporal pattern in prices is referred to as momentum

-- Jegadeesh and Titman (1993) show that a strategy that simultaneously buys
past winners and sells past losers generates significant abnormal returns over
holding periods of 3 to 12-months

-- Size

-- The Fama-French (1992) paper argues that investors have historically
received additional returns by investing in stocks of companies with relatively
small market capitalization

-- Low Beta/Volatility

-- Historical long term studies (Baker) show that low volatility and low beta
portfolios can offer a combination of high average returns coupled with low
drawdowns

-- Explanations for structural alpha in low-risk stocks appear to be rooted in
irrational investor behavior leading to market inefficiency

-- Metrics used to monetize the low risk factor include realized volatility and
market beta

Page 8


 
 
 
 

 
 
 

Equity Risk Premia

Investment Choices

-- The following risk factors in particular have been found to generally
display persistent and attractive risk-return characteristics: -- Value

-- Low Beta -- Quality -- Momentum

-- Investors can look at investing in risk factors in multiple ways

-- One option would be to look at each individual risk factor -- Assess an
existing portfolio for specific risk factor exposures

-- Use individual risk factors to address over- or under-exposures in the
portfolio

-- Another option is to allocate to a basket of investible risk factors

-- The investor may benefit from low correlation between factors in the basket

-- The correlation of the basket to the existing portfolio may also be low

Page 9


 
 
 
 

 
 
 

               Note: The Value Index did not exist prior to July 1, 2013 (the
"Live Date"). The Value Index has very limited performance history and no
actual investment which allowed tracking of the performance of the Value Index
was possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on the Value Index
would have been lower than the Value Index as a result of fees and/or costs.
See Risk Factors for more information. "MSCI World 'ER'" is the cumulative
daily Page 10 return of the MSCI World TR Net USD Index over the Fed Funds
Effective Rate. Source: Deutsche Bank, Bloomberg Finance L.P., 2014


                      DB Equity Value
                            Factor    MSCI World "ER"
                      --------------- --------------------
                                Jan 6, 2000 - Jun 30, 2014
--------------------- ------------------------------------
Return Over Period         326.6%           25.1%
--------------------- --------------- --------------------
 Annualized Return          10.5%            1.6%
--------------------- --------------- --------------------
       Volatility            9.6%           17.4%
--------------------- --------------- --------------------
    Sharpe Ratio              1.1             0.1
--------------------- --------------- --------------------
  Max. Drawdown            -20.5%           -59.0%
--------------------- --------------- --------------------
      Start Date        Jan 10, 2000     Nov 1, 2007
--------------------- --------------- --------------------
End Date (Recovery)     Nov 13, 2000     Aug 2, 2013
--------------------- --------------- --------------------
  Monthly Returns
--------------------- --------------- --------------------
     % Positive             64.2%           57.8%
--------------------- --------------- --------------------
         Best               13.8%           11.2%
--------------------- --------------- --------------------
        Worst               -9.9%           -19.0%
--------------------- --------------- --------------------
Correlation to Factor                         0.07
--------------------- --------------- --------------------


Performance Analysis

Equity Value Factor Index

Retrospective Performance

(BBG: DBGLSNVU)

Performance Annual Returns

12-Month Volatility


 
 
 
 

 
 
 

Equity Low Beta Factor Index

Retrospective Performance

(BBG: DBGLSTBU)

Performance Annual Returns

               Note: The Low Beta Index did not exist prior to July 1, 2013
(the "Live Date"). The Low Beta Index has very limited performance history and
no actual investment which allowed tracking of the performance of the Low Beta
Index was possible before the Live Date. All results prior to the Live Date
were retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on the Low Beta Index
would have been lower than the Low Beta Index as a result of fees and/or costs.
See Risk Factors for more information. "MSCI World 'ER'" is the cumulative Page
11 daily return of the MSCI World TR Net USD Index over the Fed Funds Effective
Rate. Source: Deutsche Bank, Bloomberg Finance L.P., 2014


                      DB Equity Low Beta
                              Factor     MSCI World "ER"
                      ------------------ --------------------
                                   Feb 7, 2000 - Jun 30, 2014
--------------------- ---------------------------------------
Return Over Period           160.3%            22.8%
--------------------- ------------------ --------------------
 Annualized Return             6.9%             1.4%
--------------------- ------------------ --------------------
      Volatility               7.4%            17.5%
--------------------- ------------------ --------------------
    Sharpe Ratio                0.9              0.1
--------------------- ------------------ --------------------
  Max. Drawdown               -26.9%           -59.0%
--------------------- ------------------ --------------------
       Start Date          Jun 5, 2007      Nov 1, 2007
--------------------- ------------------ --------------------
 End Date (Recovery)      Feb 28, 2013      Aug 2, 2013
--------------------- ------------------ --------------------
  Monthly Returns
--------------------- ------------------ --------------------
       % Positive             66.9%            58.1%
--------------------- ------------------ --------------------
          Best                 5.1%            11.2%
--------------------- ------------------ --------------------
         Worst                -7.3%            -19.0%
--------------------- ------------------ --------------------
Correlation to Factor                           0.34
--------------------- ------------------ --------------------


Performance Analysis 12-Month Volatility


 
 
 
 

 
 
 

Equity Quality Factor Index

Retrospective Performance

(BBG: DBGLSNQU)

Performance Annual Returns

Performance Analysis 12-Month Volatility


                      DB Equity Quality
                            Factor      MSCI World "ER"
                      ----------------- -------------------
                                 Feb 7, 2000 - Jun 30, 2014
--------------------- -------------------------------------
Return Over Period           92.1%            22.8%
--------------------- ----------------- -------------------
 Annualized Return           4.6%              1.4%
--------------------- ----------------- -------------------
      Volatility             7.4%             17.5%
--------------------- ----------------- -------------------
    Sharpe Ratio               0.6              0.1
--------------------- ----------------- -------------------
  Max. Drawdown             -24.2%            -59.0%
--------------------- ----------------- -------------------
       Start Date        Oct 11, 2002      Nov 1, 2007
--------------------- ----------------- -------------------
 End Date (Recovery)     Jul 11, 2008      Aug 2, 2013
--------------------- ----------------- -------------------
  Monthly Returns
--------------------- ----------------- -------------------
       % Positive            60.5%            58.1%
--------------------- ----------------- -------------------
          Best               8.1%             11.2%
--------------------- ----------------- -------------------
         Worst               -7.1%            -19.0%
--------------------- ----------------- -------------------
Correlation to Factor                          -0.19
--------------------- ----------------- -------------------


               Note: The Quality Index did not exist prior to July 1, 2013 (the
"Live Date"). The Quality Index has very limited performance history and no
actual investment which allowed tracking of the performance of the Quality
Index was possible before the Live Date. All results prior to the Live Date
were retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on the Quality Index
would have been lower than the Quality Index as a result of fees and/or costs.
See Risk Factors for more information. "MSCI World 'ER'" is the cumulative
daily Page 12 return of the MSCI World TR Net USD Index over the Fed Funds
Effective Rate. Source: Deutsche Bank, Bloomberg Finance L.P., 2014


 
 
 
 

 
 
 

Equity Momentum Factor Index

Retrospective Performance

(BBG: DBGLSNMU)

Performance Annual Returns

Performance Analysis 12-Month Volatility


                      DB Equity Momentum
                               Factor    MSCI World "ER"
                      ------------------ ---------------------
                                    Jan 9, 2001 - Jun 30, 2014
--------------------- ----------------------------------------
Return Over Period             25.6%           47.8%
--------------------- ------------------ ---------------------
 Annualized Return              1.7%            2.9%
--------------------- ------------------ ---------------------
      Volatility                8.7%           17.6%
--------------------- ------------------ ---------------------
    Sharpe Ratio                 0.2             0.2
--------------------- ------------------ ---------------------
  Max. Drawdown                -27.1%          -59.0%
--------------------- ------------------ ---------------------
       Start Date           Jul 15, 2008    Nov 1, 2007
--------------------- ------------------ ---------------------
 End Date (Recovery)       Jun 30, 2014     Aug 2, 2013
--------------------- ------------------ ---------------------
  Monthly Returns
--------------------- ------------------ ---------------------
       % Positive              56.5%           59.0%
--------------------- ------------------ ---------------------
          Best                  7.9%           11.2%
--------------------- ------------------ ---------------------
         Worst                  -7.4%          -19.0%
--------------------- ------------------ ---------------------
Correlation to Factor                           -0.03
--------------------- ------------------ ---------------------


               Note: The Momentum Index did not exist prior to July 1, 2013
(the "Live Date"). The Momentum Index has very limited performance history and
no actual investment which allowed tracking of the performance of the Momentum
Index was possible before the Live Date. All results prior to the Live Date
were retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on the Momentum Index
would have been lower than the Momentum Index as a result of fees and/or costs.
See Risk Factors for more Page 13 information. "MSCI World 'ER'" is the
cumulative daily return of the MSCI World TR Net USD Index over the Fed Funds
Effective Rate. Source: Deutsche Bank, Bloomberg Finance L.P., 2014


 
 
 
 

 
 
 

DB Equity Risk Premia 5% VT Portfolio

Retrospective Performance

(BBG: DBGLRP5U)

Performance Annual Returns

Performance Analysis 12-Month Volatility


                      DB Equity Risk Premia
                          5% VT Portfolio   MSCI World "ER"
                      --------------------- -------------------
                                    Feb 20, 2002 - Jun 30, 2014
--------------------- -----------------------------------------
Return Over Period             172.8%             92.7%
--------------------- --------------------- -------------------
 Annualized Return               8.5%              5.4%
--------------------- --------------------- -------------------
      Volatility                 5.1%             17.8%
--------------------- --------------------- -------------------
    Sharpe Ratio                  1.7               0.3
--------------------- --------------------- -------------------
  Max. Drawdown                 -8.5%             -59.0%
--------------------- --------------------- -------------------
       Start Date           Nov 20, 2008       Nov 1, 2007
--------------------- --------------------- -------------------
 End Date (Recovery)        Sep 14, 2010       Aug 2, 2013
--------------------- --------------------- -------------------
  Monthly Returns
--------------------- --------------------- -------------------
       % Positive               73.6%             61.5%
--------------------- --------------------- -------------------
          Best                   4.2%             11.2%
--------------------- --------------------- -------------------
         Worst                  -3.5%             -19.0%
--------------------- --------------------- -------------------
Correlation to Factor                              0.24
--------------------- --------------------- -------------------


               Note: The Risk Premia Portfolio did not exist prior to September
30, 2013 (the "Live Date"). The Risk Premia Portfolio has very limited
performance history and no actual investment which allowed tracking of the
performance of the Risk Premia Portfolio was possible before the Live Date. All
results prior to the Live Date were retrospectively calculated. Accordingly,
the results shown during the retrospective period are hypothetical and do not
reflect actual returns. Past performance is not necessarily indicative of how
an index will perform in the future. The performance of any investment product
based on the Risk Premia Portfolio would have been lower than the Risk Premia
Portfolio as a result of fees and/or costs. See Risk Page 14 Factors for more
information. "MSCI World 'ER'" is the cumulative daily return of the MSCI World
TR Net USD Index over the Fed Funds Effective Rate. Source: Deutsche Bank,
Bloomberg Finance L.P., 2014


 
 
 
 

 
 
 

Implementation

The Impact of a Shift to Risk Premia


 
 
 
 

 
 
 

Reduction of Drawdowns

-- By diversifying away from traditional equity beta it is possible to
construct a portfolio that significantly reduces drawdowns

-- The chart below shows the historical drawdowns of the Risk Premia Portfolio
compared to a long equity exposure (MSCI World)

Drawdowns of DB Equity Risk Premia Portfolio compared to MSCI World

               Note: The Risk Premia Portfolio did not exist prior to September
30, 2013 (the "Live Date"). The Risk Premia Portfolio has very limited
performance history and no actual investment which allowed tracking of the
performance of the Risk Premia Portfolio was possible before the Live Date. All
results prior to the Live Date were retrospectively calculated. Accordingly,
the results shown during the retrospective period are hypothetical and do not
reflect actual returns. Past performance is not necessarily indicative of how
an index will perform in the future. The performance of any investment product
based on the Risk Premia Portfolio would have been lower than the Risk Premia
Portfolio as a result of fees and/or costs. See Risk Page 16 Factors for more
information. "MSCI World 'ER'" is the cumulative daily return of the MSCI World
TR Net USD Index over the Fed Funds Effective Rate. Source: Deutsche Bank,
Bloomberg Finance L.P., 2014


 
 
 
 

 
 
 

Implementation Example

-- As an example, we proxy a basic 60% equity and 40% fixed income portfolio
and quantify the impact of a portfolio reallocation and the addition of a risk
premia overlay -- We move 5% of the portfolio's notional from the equity
allocation into cash and add a 25% risk premia allocation as an overlay -- The
risk reduction in the overall portfolio allows for a substantial allocation to
be made to the DB Equity Risk Premia 5% VT Portfolio

-- The 25% allocation to the risk premia overlay would have resulted in both an
overall risk reduction and improvement in returns (see returns on next page)

Initial Portfolio

Investment Proxy Capital Notional Allocation Exposure

Equity MSCI World Index 60% 60%

Fixed Income JPM Global Aggregate Bond Index 40% 40%

Reallocated Portfolio

Investment Proxy Capital Notional Allocation Exposure

     Equity MSCI World Index 55% 55% Fixed Income JPM Global Aggregate Bond
Index 40% 40% Cash DB Fed Funds Index 5% 5%

Risk Premia DB Equity Risk Premia 5% VT

           0% 25% Overlay Portfolio

               Note: The portfolios are calculated on a total return basis and
are rebalanced annually Page 17


 
 
 
 

 
 
 

Reallocation

Shifting 5% from Equity into Cash and Overlaying Risk Premia

Performance Annual Returns

350

                             30% Reallocated Portfolio with Risk Premia Overlay
300 20% Original Portfolio 250 10%

200

                              0% 150 -10%


        Reallocated Portfolio with 100 Risk Premia Overlay -20% Original
Portfolio 50


                         -30% 0

                                    2003 2004 2005 2006 2007 2008 2009 2010
2011 2012 2013 2014 Feb-2002 Feb-2004 Feb-2006 Feb-2008 Feb-2010 Feb-2012
Feb-2014

Performance Analysis 12-Month Volatility

Reallocated Portfolio 30% with Risk Premia Reallocated Portfolio with Risk
Premia
Overlay Original Portfolio Overlay 25%
                                          Feb 20, 2002 - Jun 30, 2014 Original
Portfolio Return Over Period 209.8% 149.6% 20% Annualized Return 9.6% 7.7%
Volatility 9.8% 10.3% 15% Sharpe Ratio 0.8 0.6 Max. Drawdown -33.5% -36.6%
Start Date Nov 1, 2007 Nov 1, 2007 10% End Date Sep 24, 2010 Oct 14, 2010
Monthly Returns 5% % Positive 67.6% 62.8% Best 6.3% 7.0% 0%
Worst -10.7% -12.1% Feb-2003 Feb-2005 Feb-2007 Feb-2009 Feb-2011 Feb-2013

               Note: The Risk Premia Portfolio used for calculating the
Reallocated Portfolio with Risk Premia Overlay did not exist prior to September
30, 2013 (the "Live Date"). The Risk Premia Portfolio has very limited
performance history and no actual investment which allowed tracking of the
performance of the Portfolio was possible before the Live Date. All results
with respect to the Risk Premia Portfolio and the Reallocated Portfolio with
Risk Premia Overlay prior to the Live Date were retrospectively calculated.
Accordingly, the results shown during the retrospective period are hypothetical
and do not reflect actual returns. Past performance is not necessarily
indicative of how an index or a portfolio will perform in the future. The Page
18 performance of any investment product based on the Risk Premia Portfolio
would have been lower than the Risk Premia Portfolio as a result of fees and/or
costs. Source: Deutsche Bank, Bloomberg Finance L.P., 2014


 
 
 
 

 
 
 

Appendix I

Equity Risk Factors: In-Depth Analysis


 
 
 
 

 
 
 

DB Equity Value Factor

Introduction

-- The landmark paper on Value investing (in a systematic context) is the
original Fama-French paper from 1992 which argued that cheap stocks outperform
expensive stocks in the long-run

-- Explanations for the premium:

-- Risk-based: the Value premium is a rational phenomenon, which is priced in
equilibrium, and represents compensation for systematic risk (exposure to
financial distress, gearing, cash flow risk, volatility risk)

-- Behavioral: investor overreaction

-- Structural: money managers and pension funds gravitating towards successful
growth-orientated names. VAR limits may prevent investors from accessing cheap
assets

-- Risk-based explanations have significant support in academia. There has been
increasing evidence of the Value premium being explained by modeling economic
uncertainty (eg. Bali and Zhou (2012))

-- The Value premium has all the characteristics of a "true" premium: It is not
confined to one market or geography; it is not limited to one size segment.
Value strategies have been successful in sector and country selection. And
finally, there is burgeoning evidence of a value premium across asset classes
(for example, see "Value and Momentum Everywhere", Asness et al, 2010)

Page 20 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Value Factor

Metrics

-- There are various valuation metrics that can be used to gauge the relative
cheapness or expensiveness of a company

-- The DB Equity Value Factor scores stocks based on one defensive and one
cyclical measure of value -- Defensive: 12-month Trailing Dividend Yield

-- Cyclical: EV/EBITDA (the inverse, EBITDA/EV is used to score the stocks)

-- Why EV/EBITDA?

-- P/E ratios are impacted by a company's choice of capital structure;
companies that raise money via debt will have lower P/E's than companies that
raise an equivalent amount of money by issuing shares

-- Enterprise Value includes the value of debt

-- EBITDA excludes interest payments on that debt and also excludes the cost of
upfront investments or capital expenditures which can make it a more
appropriate measure of a business's underlying profit potential

Page 21 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Value Factor

Sector Neutralization

-- Value tends to tilt toward specific sectors due to structural industry
biases -- For example: Technology vs. Financials vs. Industrials

          -- Younger technology companies may have a smaller focus on earnings
and dividend yields -- Industrials may focus heavily on earnings -- Financials
may focus more on dividends -- These sector biases are not necessarily
reflective of relative value of the companies cross-sector

-- The Value score of each stock is adjusted to take into account the average
score for that stock's sector, in order to mitigate the sector bias inherent in
the value metrics

Page 22 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Value Factor

Index Construction

-- For the MSCI World universe of stocks, we determine the 12-month Trailing
Dividend Yield and EBITDA/EV

-- The metrics are then normalized and sector-adjusted to get a Value score

-- We rank the stocks according to their Value score

-- The universe is then divided into five quintiles based on that score

-- The stocks in the Top quintile (high Value score) constitute the Long Value
basket, and the stocks in the Bottom quintile (low Value score) constitute the
Short Value basket

-- The process is repeated every month and the stocks in both baskets are
equally weighted

-- The Long and Short baskets are then combined to form the aggregated Value
Factor

Page 23 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Low Beta Factor

Introduction

-- The Low Beta anomaly is often considered to be one of the greatest anomalies
in finance -- Based on a study of stock returns between 1968 and 2008, Baker et
al. (2011) find that low volatility and low beta portfolios offer an enviable
combination of high average returns and small drawdowns

-- Although the anomaly has received particular interest in recent years, it
was actually pointed out decades ago (eg. Black, Jensen and Scholes (1972),
Haugen and Baker (1991))

-- Explanations for the premium:

-- Behavioral and Structural: Attention bias and overconfidence

-- One of the main reasons behind the Low Beta premium are institutional
constraints. Fixed-benchmark mandates (capitalization weighted) discourage
investments in low-volatility stocks and are usually accompanied by leverage
constraints

-- The Low Beta premium appears robust to time periods, geographies, and even
asset classes, rendering it a powerful candidate for a consistent return source
(Frazzini and Pedersen (2011)) -- Structural conditions suggest future
persistence of the premium: -- Popular benchmarking methods would inhibit many
"smart" investors from exploiting it

-- For the low beta anomaly to erode significantly, either the market
capitalization benchmark would need to be gradually abolished, or a separate
allocation to low risk (low beta/low volatility) strategies would need to be
made an essential part of strategic asset allocation frameworks

Page 24 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Low Beta Factor

Beta Neutralization

-- A simple long-low-beta/short -high-beta strategy fails to generate abnormal
returns, despite the long leg exhibiting significantly higher risk-adjusted
returns compared to the short leg -- A reason for this lies in the asymmetry of
the volatilities of both legs, as well as the inherent negative beta exposure
of the strategy

-- To mitigate the asymmetry, the exposure to the long leg is kept at 100%, and
the exposure to the short leg is reduced to match the long leg's beta

Page 25 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Low Beta Factor

Index Construction

-- On a monthly basis, the 5-year rolling beta of each stock, in relation to
the MSCI World Equal Weight Index, is computed using daily returns

-- We rank the stocks according to their Beta, low to high -- The universe is
then divided into five quintiles

-- The stocks in the Top quintile (low Beta) constitute the Long Beta basket,
and the stocks in the Bottom quintile (high Beta) constitute the Short Beta
basket

-- To address turnover control, the ranking is further split into deciles

-- If a stock's beta moves to an adjacent quintile, there is minimal impact on
the strategy's profile

-- For existing constituents, unless its Beta moves below (above) the 4(th)
(6(th)) decile, it will not be removed from the long (short) portfolio upon
rebalancing

-- The process is repeated every month and the stocks in both baskets are
equally weighted

-- To neutralize beta, the exposure to the Short basket is reduced by a factor
equivalent to the ratio of the overall beta of the Long basket to the overall
beta of the Short basket -- The difference in exposure between the two baskets
is made up by adding a cash component to the short basket

-- The Long basket and the Short basket are combined to create the aggregated
Low Beta Factor

Page 26 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Quality Factor

Introduction

-- The strength and composition of a company's balance sheet, the source of its
earnings, the ability of a company to generate profits, the rate at which it
turns over its assets, and the reputation of its management could all be
considered aspects of a company's "quality"

-- Explanations for the premium

-- Behavioral: There is an attention bias; investors tend to look more at
earnings quantity versus earnings quality (Sloan, "Do Stock Prices Fully
Reflect Information in Accruals and Cash Flow about Future Earnings?", The
Accounting Review, July 1996)

-- From a rational expectations point of view, quality is about changing
expectations of future cash flows, and changing perceptions of quality should
be expected to move stock prices

-- The Quality anomaly seems to be a strong predictor of returns in
international stock markets, across various time periods and market segments

Page 27 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Quality Factor

Metrics

-- The DB Equity Quality Factor uses a measure of earnings quality and a
measure of profitability -- Earnings Quality: represented by Accruals as an
inverse indicator

-- Profitability: represented by Return on Invested Capital

-- Accrual accounting attempts to match expenses with associated revenues, with
a substantial amount of discretion left to managers -- Revenues and expenses
for a certain financial year can be recognized more or less aggressively with
the consequence that subsequent years will depend on bookings from the previous
years

-- The degree to which a company relies on accruals to boost net income results
in lower quality earnings

-- Accruals are represented by the year on year Change in Net Operating Assets,
normalized by the previous year's Net Operating Assets -- Operating assets are
calculated as the residual from total assets after subtracting financial
assets, and operating liabilities are the residual amount from total assets
after subtracting equity and financial liabilities

Page 28 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Quality Factor

Sector Neutralization

-- Quality tends to tilt toward specific sectors due to structural industry
biases

-- For example, industrial companies may operate businesses with stricter
accounting rules with less potential for accruals, while technology or service
companies may operate businesses with less strict accounting rules and more
potential for accruals

-- These sector biases are not necessarily reflective of relative quality of
the companies cross-sector

-- The Quality score of each stock is adjusted to take into account the average
score for that stock's sector, in order to mitigate the sector bias inherent in
the Quality metrics

Page 29 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Quality Factor

Index Construction

-- For the MSCI World Universe of stocks, the accruals and profitability score
are determined and then adjusted for sector

-- The normalized and sector-adjusted accruals score is then subtracted from
the normalized and sector-adjusted profitability score to arrive at the final
Quality score of the stock

-- The stocks are ranked according to their Quality score, high to low -- The
universe is then divided into five quintiles based on that score

-- The stocks in the Top quintile (high Quality score) constitute the Long
Quality basket, and the stocks in the Bottom quintile (low Quality score)
constitute the Short Quality basket

-- The process is repeated every month and the stocks in both baskets are
equally weighted

-- The Long and Short baskets are then combined to form the aggregated Quality
Factor

Page 30 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Momentum Factor

Introduction

-- Prior stock returns have been shown to have explanatory power in the cross
section of common stock returns (eg. Jegadeesh and Titman's (1993), Carhart
(1997)) independent of market, size, or value factors. An abundance of
empirical evidence in favor of the Momentum factor exists in the academic
literature

-- Explanations for the premium:

-- Risk-Based: momentum profits represent reward for priced business cycle
risk, and trends in the business cycle drive trends in prices (and vice versa).
Momentum is related to economic distress risk and consumption risk

-- Behavioral: initial under-reaction followed by over-reaction induces price
trends. Overconfidence leads to extrapolation of past price trends

-- Structural: closet index tracking by fund managers (market indices exhibit
momentum)

-- It is likely that none of the above explanations in their own right are
adequate to explain the existence and persistence of this phenomenon over time
-- Momentum is one of the strongest premiums/anomalies, which though less
profitable over the past decade, still may persist in the future based on its
pervasiveness across assets, geographies, and time periods

Page 31 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Momentum Factor

Horizon Performance

-- First-11-Month Momentum, despite its popularization in both academic and
investment circles following the Carhart (1997) publication, has remained the
most profitable look-back window to define momentum stocks

-- All else being equal, we give preference to a longer look-back horizon
because it will require less turnover and, on average, impose less transaction
costs

Return to momentum across different look-back horizons Sharpe ratios across
different look-back horizons

1.00% 0.6


            0.4 0.50% 0.2
   0.00% 0 return spread (%) Annualized Sharpe Ratio -0.2 -0.50%
Average monthly long/short decile -0.4 -1.00% -0.6
 1 Month 3-1 Month 6-1 Month 9-1 Month 12-1Month 1 Month 3-1 Month 6-1 Month
9-1 Month 12-1Month Momentum Momentum Momentum Momentum Momentum Momentum
Momentum Momentum Momentum Momentum

Page 32 Source: Axioma, Bloomberg Finance LLP, Compustat, IBES, S&P, Thomson
Reuters, MSCI, BMI, Deutsche Bank


 
 
 
 

 
 
 

DB Equity Momentum Factor

Performance and Risk

-- The strong positive returns of momentum strategies are punctuated with
strong reversals, or "crashes. " Like the returns to the carry trade in
currencies, momentum returns are negatively skewed

-- These drawdowns in the strategy coincide with periods of strong and sudden
reversals in market sentiment or investor risk aversion -- For example: the
technology bubble crash starting in the spring of 2000; the re-risking episode
after the end of the bear market at the end of 2002; the re-risking episode in
the spring of 2009 following the financial crises

-- Additionally, the momentum portfolio will typically be concentrated in
stocks with attributes that are common across relative winners (e.g. defensive
stocks, growth stocks) -- For example, when market sentiment is strong and
investor risk appetite is high, momentum strategies commonly have a strong tilt
towards higher volatility stocks (e.g. technology bubble period); similarly,
when investors are decreasing risk appetite, momentum strategies will align
themselves with a tilt towards less volatile stocks (e.g. early to end of
2008)

Page 33 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Momentum Factor

Risk Neutralization

-- According to academic research, momentum is to a great extent related to
sector effects (Moskowitz and Grinblatt, 1999) as well as country exposures --
Constraints on region and sectors mitigate the drawdown, but suppresses
performance

-- We utilize a factor neutralization approach to reduce exposure to market
beta/volatility

-- Our momentum metric is the traditional First-11-Month Momentum, uncontrolled
for sector or region

-- We use idiosyncratic (stock-specific) volatility, measured as the volatility
of each stock relative to a market, as a proxy for risk

-- We compute a risk-neutralized Momentum score incorporating each stock's
momentum and idiosyncratic volatility and the relationship between that
volatility and market momentum generally

Page 34 Source: Deutsche Bank


 
 
 
 

 
 
 

DB Equity Momentum Factor Index Construction

-- Using the MSCI World universe, with total returns in USD, the
risk-neutralized Momentum scores are calculated -- Correlations and
volatilities needed for the neutralization are computed based on 1-year rolling
daily returns

-- The stocks are ranked according to their Momentum score, high to low -- The
universe is then divided into five quintiles based on that score

-- The stocks in the Top quintile (high Momentum score) constitute the Long
Momentum basket

-- The process is repeated every month and the stocks in Long basket are
equally weighted

-- The strategy is long the Long Momentum basket and short the benchmark (MSCI
World)

Page 35 Source: Deutsche Bank


 
 
 
 

 
 
 

Appendix II

Portfolio Construction


 
 
 
 

 
 
 

Effect of Combining Individual Risk Factors

-- By combining risk factors, it is possible to achieve a significant
diversification benefit and improved risk adjusted returns Performance 12-Month
Volatility


                      Risk Premia  DB Equity Value DB Equity Low DB Equity Quality      DB Equity
                         Basket         Factor      Beta Factor        Factor      Momentum Factor
                      ------------ --------------- ------------- ----------------- ----------------
                                                      Feb 20, 2002 - Jun 30, 2014
--------------------- ------------ ----------------------------------------------- ----------------
Return Over Period        83.1%         149.7%         103.3%           39.9%             15.1%
--------------------- ------------ --------------- ------------- ----------------- ----------------
 Annualized Return        5.0%           7.7%            5.9%           2.8%               1.1%
--------------------- ------------ --------------- ------------- ----------------- ----------------
       Volatility         3.3%           9.1%            7.7%           7.0%               9.0%
--------------------- ------------ --------------- ------------- ----------------- ----------------
    Sharpe Ratio            1.5            0.8            0.8             0.4               0.1
--------------------- ------------ --------------- ------------- ----------------- ----------------
  Max. Drawdown           -7.2%         -16.6%          -26.9%         -24.2%             -27.1%
--------------------- ------------ --------------- ------------- ----------------- ----------------
       Start Date     Nov 20, 2008   May 25, 2007    Jun 5, 2007    Oct 11, 2002       Jul 15, 2008
--------------------- ------------ --------------- ------------- ----------------- ----------------
 End Date (Recovery)  Sep 17, 2010    Apr 2, 2009   Feb 28, 2013    Jul 11, 2008      Jun 30, 2014
--------------------- ------------ --------------- ------------- ----------------- ----------------
  Monthly Returns
--------------------- ------------ --------------- ------------- ----------------- ----------------
       % Positive         73.6%          61.5%          64.8%           60.0%             55.9%
--------------------- ------------ --------------- ------------- ----------------- ----------------
          Best            2.9%           13.8%           4.2%           8.1%               4.8%
--------------------- ------------ --------------- ------------- ----------------- ----------------
          Worst           -3.0%          -4.8%          -7.3%           -7.1%             -7.4%
--------------------- ------------ --------------- ------------- ----------------- ----------------
Correlation to Basket                     0.31           0.63            0.43              0.28
--------------------- ------------ --------------- ------------- ----------------- ----------------



   Individual Risk Factor Correlations
--------------------------------------
          Quality Momentum Low Beta
--------- ------- -------- -----------
   Value  1.2%      -45.2%   -0.3%
--------- ------- -------- -----------
  Quality           -21.1%   -3.6%
--------- ------- -------- -----------
Momentum                    11.4%
          ------- --------


The Risk Premia Basket contains the Equity Value, Equity Low Beta, Equity
Quality and Equity Momentum factor indices. The factor indices are weighted
proportionally to the inverse of their historical realized volatilities,
rebalanced monthly.  Volatility is calculated on a rolling 1-year basis using
daily returns.
Source: Deutsche Bank, Bloomberg Finance L.P., 2014

Page 37


 
 
 
 

 
 
 

Portfolio Construction: Introduction

-- When constructing a diversified portfolio of investments we seek to: --
Maximize the benefits of diversification and low correlation between portfolio
constituents

-- Increase the likelihood of positive returns

-- Reduce the likelihood of significant losses

-- Equally weighting exposure across investments is an unbiased and simple
approach but does not capture the full benefits of diversification where assets
have different volatilities

-- One traditional tool for portfolio construction is mean-variance
optimization (MVO)

-- However, MVO-based optimizations can be very sensitive to input parameters,
so we tend to avoid this approach

-- A Risk Parity approach seeks to construct a portfolio that allocates risk
evenly between its components

-- Although somewhat simplistic, Risk Parity avoids some of the sensitivity to
inputs of other methods

Page 38


 
 
 
 

 
 
 

Inverse Volatility Risk Parity

-- Risk Parity is a dynamic allocation mechanism which determines the weights
of the portfolio components in such a way that the "risk" is distributed evenly
among its components

-- "Risk distribution" is achieved by assigning a lower weight to components
with a high historical volatility and a higher weight to components with a low
historical volatility

Equal Weighted Portfolio Risk Parity Weighted Portfolio

Asset Volatility Weight Risk Allocation Asset Volatility Weight Risk Allocation
(Volatility x Weight) (Volatility x Weight)

A 40% 33.3% 13.3% A 40% 14.3% 5.7% B 20% 33.3% 6.7% B 20% 28.6% 5.7% C 10%
33.3% 3.3% C 10% 57.1% 5.7%

[] Equal nominal weights do not ensure equal risk [] Risk Parity weights are
proportional to the inverse allocation of the volatility of each asset

[] Asset A dominates risk whereas Asset C [] Risk Parity seeks to ensure that
investment risk of contributes much less to the risk of the index the index is
well distributed among its components

Page 39


 
 
 
 

 
 
 

Volatility Targeting

-- With the aim of stabilizing the volatility and also to create an index with
a volatility comparable to a diversified hedge fund portfolio, we created the
DB Equity Risk Premia 5% VT Portfolio (the "Portfolio"), which targets an
annualized volatility of 5%

-- On a monthly basis, we determine a risk-parity based allocation to the four
individual risk factor indices (the "risk-parity basket")

-- We then calculate a hypothetical trailing 1-year volatility of the
risk-parity basket

-- The Portfolio increases (or decreases) its overall exposure to the
risk-parity basket such that the historical volatility would have equaled 5%

-- The exposure to the risk-parity basket is capped at 2 and floored at 0.5

Page 40


 
 
 
 

 
 
 

Risk Factors

THE PORTFOLIO INDEX AND THE RISK PREMIUM INDICES ARE SUBJECT TO STRATEGY RISK
-- The Deutsche Bank Equity Risk Premia 5% VT Portfolio Index (the "Portfolio
Index") and Deutsche Bank Value Factor Index, Quality Factor Index, Low Beta
Factor Index and Momentum Factor Index (each a "Risk Premium Index") aim to
generate returns by identifying persistent risk premia in the equity markets
and implementing systematic strategies to access them. However, the risk premia
may not persist and the Portfolio Index and the Risk Premium Indices Deutsche
Bank develop to access them may fail to generate positive returns associated
with such risk premia.

THE PORTFOLIO INDEX AND THE RISK PREMIUM INDICES CONTAIN EMBEDDED COSTS -- The
Portfolio Index is subject to a deduction for the cost of hypothetically
implementing the volatility controlled, "risk-parity" weighted portfolio of
Risk Premium Indices (the "Rebalancing Transaction Cost"). As a result of this
deduction, the levels of the Portfolio Index will be lower than would otherwise
be the case if such cost were not included. Because the Portfolio Index is
linked to the performance of the weighted portfolio of four Risk Premium
Indices, any deduction of costs or fees from the levels of the Risk Premium
Indices will lower the level of the Portfolio Index. The calculation of each
Risk Premium Index includes a daily deduction for the sum of the cost of
hypothetically implementing the notional long position and short position (if
applicable) . The calculation of the notional long and short positions also
include a cost deduction in connection with their monthly reconstitution. As a
result of these deductions, the levels of the Risk Premium Indices will be
lower than would otherwise be the case if such costs were not included. These
deductions of costs and fees from the levels of the Risk Premium Indices are in
addition to the Rebalancing Transaction Cost at the Portfolio Index level.

THE PORTFOLIO INDEX AND THE RISK PREMIUM INDICES HAVE VERY LIMITED PERFORMANCE
HISTORY -- Calculation of the Portfolio Index began on September 30, 2013, and
the calculation of each of the Risk Premium Indices began on July 1, 2013.
Therefore, the Portfolio Index and the Risk Premium Indices have very limited
performance history and no actual investment which allowed tracking of the
performance of the Portfolio Index or the Risk Premium Indices was possible
before their respective live dates. The index performance data prior to their
respective live dates shown in this presentation have been retrospectively
calculated using historical data and the same methodologies as described above.
Although the Index Sponsor believes that these retrospective calculations
represent accurately and fairly how these indices would have performed before
their respective live dates, the Portfolio Index and the Risk Premium Indices
did not, in fact, exist before their respective live dates. Furthermore, the
index methodologies of the Portfolio Index or the Risk Premium Indices were
designed, constructed and tested using historical market data and based on
knowledge of factors that may have possibly affected their performance. The
returns prior to their respective live dates were achieved by means of a
retroactive application of such back-tested index methodologies designed with
the benefit of hindsight. It is impossible to predict whether the Portfolio
Index and the Risk Premium Indices will rise or fall. The actual performance of
these indices may bear little relation to their retrospectively calculated
performance.

DEUTSCHE BANK AG, LONDON BRANCH, AS THE SPONSOR OF THE PORTFOLIO INDEX AND THE
RISK PREMIUM INDICES, MAY ADJUST EACH INDEX IN A WAY THAT AFFECTS ITS LEVEL AND
MAY HAVE CONFLICTS OF INTEREST -- Deutsche Bank AG, London Branch is the
sponsor of the Portfolio Index and the Risk Premium Indices (the "Index
Sponsor") and will determine whether there has been a market disruption event
with respect to these indices. In the event of any such market disruption
event, the Index Sponsor may use an alternate method to calculate the closing
levels of the Portfolio Index and the Risk Premium Indices. The Index Sponsor
carries out calculations necessary to promulgate these indices and maintains
some discretion as to how such calculations are made. In particular, the Index
Sponsor has discretion in selecting among methods of how to calculate the
Portfolio Index and the Risk Premium Indices in the event the regular means of
determining these indices are unavailable atthetimea determination is scheduled
to take place. There can be no assurance that any determinations made by the
Index Sponsor in these various capacities will not affect the value of the
levels of these indices. Any of these actions could adversely affect the value
of securities linked to these indices. The Index Sponsor has no obligation to
consider the interests of holders of securities linked to the Portfolio Index
or the Risk Premium Indices in calculating or revising these indices.

Furthermore, Deutsche Bank AG, London Branch or one or more of its affiliates
may have published, and may in the future publish, research reports on the
Portfolio Index and the Risk Premium Indices or investment strategies reflected
by these indices (or any transaction, product or security related to these
indices or any components thereof) . This research is modified from time to
time without notice and may express opinions or provide recommendations that
are inconsistent with purchasing or holding of transactions, products or
securities related to these indices. Any of these activities may affect the
Portfolio Index and the Risk Premium Indices or transactions, products or
securities related to these indices. Investor should make their own independent
investigation of the merits of investing in contracts or products related to
the Portfolio Index and the Risk Premium Indices.

Page 41


 
 
 
 

 
 
 

Important Information

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Deutsche Bank does not provide accounting, tax or legal advice.

Page 42


 
 
 
 

 
 
 

Important Information

Backtested, hypothetical or simulated performance results presented herein have
inherent limitations. Unlike an actual performance record based on trading
actual client portfolios, simulated results are achieved by means of the
retroactive application of a backtested model itself designed with the benefit
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Structured Products discussed herein are not insured by the Federal Deposit
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agency of the United Kingdom.

These Structured Products typically involve a high degree of risk, are not
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UNDERSTAND AND HAVE MADE AN INDEPENDENT ASSESSMENT
OF THE APPROPRIATENESS OF THE STRUCTURED PRODUCT IN LIGHT OF YOUR OWN
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world. Deutsche Bank Alex Brown is a division of Deutsche Bank Securities Inc.

Page 43


 
 
 
 

 
 
 

Important Information

NONE OF THE PORTFOLIO INDEX, ANY RISK PREMIUM INDEX (THE RISK PREMIUM INDICES,
TOGETHER WITH THE PORTFOLIO INDEX, THE "DB INDICES ") NOR
ANY FINANCIAL PRODUCT IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC.,
ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD
PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI
INDEX (COLLECTIVELY, THE "MSCI PARTIES "). THE
MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES
ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE
FOR CERTAIN PURPOSES BY DEUTSCHE BANK AG. NEITHER ANY DB INDEX NOR ANY
FINANCIAL PRODUCT HAS BEEN PASSED ON BY
ANY OF THE MSCI PARTIES AS TO ITS LEGALITY OR SUITABILITY WITH RESPECT TO ANY
PERSON OR ENTITY AND NONE OF THE MSCI PARTIES MAKES ANY WARRANTIES OR BEARS ANY
LIABILITY WITH RESPECT TO THE DB INDICES OR ANY FINANCIAL PRODUCT. WITHOUT
LIMITING THE GENERALITY OF THE
FOREGOING, NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY,
EXPRESS OR IMPLIED, TO THE INDEX SPONSOR, THE RISK PREMIUM
INDEX SPONSORS OR THE ISSUER OR OWNERS OF ANY FINANCIAL PRODUCT OR ANY OTHER
PERSON OR ENTITY REGARDING THE ADVISABILITY OF
INVESTING IN FINANCIAL PRODUCTS GENERALLY OR IN ANY FINANCIAL PRODUCT
PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK
MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN
TRADEMARKS, SERVICE MARKS AND TRADE
NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY
MSCI WITHOUT REGARD TO THE DB INDICES OR ANY FINANCIAL PRODUCT OR ANY ISSUER OR
OWNER OF ANY FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI
PARTIES HAS ANY
OBLIGATION TO TAKE THE NEEDS OF THE DB INDICES OR ISSUERS OR OWNERS OF ANY
FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN
DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI
PARTIES IS RESPONSIBLE FOR OR HAS
PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF
ANY FINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION
OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH ANY FINANCIAL
PRODUCT IS REDEEMABLE OR IN THE CALCULATION OF THE DB
INDICES. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE ISSUER
OR OWNERS OF ANY FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY IN
CONNECTIONWITH THE ADMINISTRATION, MARKETING OR OFFERING OF THE DB INDICES OR
ANY FINANCIAL PRODUCT.

ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE
CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI
CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE
ORIGINALITY, ACCURACY AND/OR COMPLETENESS OF ANY MSCI INDEX
OR ANY DATA INCLUDED THEREIN OR THE RESULTS TO BE OBTAINED BY THE INDEX
SPONSOR, THE RISK PREMIUM INDEX SPONSORS OR THE ISSUER OF ANY
FINANCIAL PRODUCT, OWNERS OF ANY FINANCIAL PRODUCT, OR ANY OTHER PERSON OR
ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN AND NONE OF
THE MSCI PARTIES SHALL HAVE ANY LIABILITY TO ANY PERSON OR ENTITY FOR ANY
ERRORS, OMISSIONS OR INTERRUPTIONS OF OR
IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE
OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND AND THE
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OF EXAMPLE ONLY, ALL WARRANTIES OF TITLE, SEQUENCE, AVAILABILITY, ORIGINALITY,
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USAGE, COURSE OF DEALING AND
COURSE OF PERFORMANCE) WITH RESPECT TO EACH MSCI INDEX AND ALL DATA INCLUDED
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Page 44