June 2014 Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-184193 Dated June 12, 2014 Deutsche Bank Commodity Indices June 2014 1 |
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Contents Section 1. Optimum Yield Indices * DB Commodity Booster - DJUBS ERAC Index * DB Commodity Booster DJUBS - TV14 ERAC Index * DB Commodity Booster - Benchmark Index 2. Mean Reversion Indices * DBLCI - MR Index * DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15 Index * DBLCI - MR+ Index 3. Market Neutral Indices * DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index 4. Long-Short Indices * DB Commodity Backwardation Alpha 22 Index 5. DB Commodity Risk Parity 18 Index 6. Optimum Yield Enhanced Indices * DB Commodity Booster OYE DJUBS Index * DB Commodity Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index * DB Commodity Curve Alpha ERAC 10 Index Appendix 1 Appendix 2 |
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Executive Summary The Evolution of Commodity Markets [] Commodities are an asset class in their own right and exhibit unique characteristics such as historically low correlation with traditional asset classes and a positive correlation with inflation [] An investment in a commodity index is a simple way for investors to gain exposure to the asset class while insulating them from the mechanics of rolling futures and posting collateral. This transparent, rule-based roll mechanism eliminates human intervention [] Deutsche Bank is one of the largest providers of non-benchmark commodity indices with a comprehensive suite of commodity index products aimed at enhancing beta returns and extracting market neutral alpha returns in the commodity space [] As the commodity market has evolved, Deutsche Bank has created new indices that may benefit from the special features of the asset class 3 |
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DB Commodity -- Family of Indices Introduction [] The Deutsche Bank suite of Commodity indices seeks to enhance returns by altering traditional commodity index construction rules related to: Relative value asset allocation (Mean Reversion); Market momentum filter (Momentum); Futures Rolling Methodology (Optimized Yield); Controlled Risk (Target Volatility) and Risk Parity DB Commodity Indices Mean Reversion Momentum Optimized Yield DB Commodity Booster -- DJUBS [] ERAC DB Commodity Booster DJUBS -- [] TV14 ERAC DB Commodity Booster -- Benchmark [] DBLCI-MR [] DBLCI-MR+ [] [] DBLCI -- Mean Reversion Enhanced [] [] ex NG ERAC DB MR Enhanced 15 [] [] DB Commodity Harvest ERAC [] DB Commodity Harvest -- 10 ERAC [] DB Commodity Backwardation Alpha 22 DB Commodity Risk Parity 18 Index [] DB Commodity Booster OYE DJUBS DB Commodity Booster OYE Benchmark Light Energy DB Commodity Curve Alpha ERAC DB Commodity Curve Alpha ERAC 10 DB Commodity Indices Optimized Yield Risk Parity Target Volatility Enhanced DB Commodity Booster -- DJUBS ERAC DB Commodity Booster DJUBS -- [] TV14 ERAC DB Commodity Booster -- Benchmark DBLCI-MR DBLCI-MR+ DBLCI -- Mean Reversion Enhanced ex NG ERAC DB MR Enhanced 15 [] DB Commodity Harvest ERAC DB Commodity Harvest -- 10 ERAC [] DB Commodity Backwardation Alpha [] 22 DB Commodity Risk Parity 18 Index [] [] DB Commodity Booster OYE DJUBS [] DB Commodity Booster OYE Benchmark Light Energy [] DB Commodity Curve Alpha ERAC [] DB Commodity Curve Alpha ERAC 10 [] [] 4 |
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Optimum Yield Indices Section 1 5 |
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DB Commodity Booster -- DJUBS ERAC Index Summary [] Composition of DB Commodity Booster DJUBS ERAC Index: The DB Commodity Booster -- DJUBS ERAC Index has the same base weights as the DJUBS Index. Weights are rebalanced annually. [] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield ("OY") technology, which rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Embedded Cost: 0.70% per annum [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBCMBDEN) Note: 1 ERAC: Excess Return After Cost 6 |
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[] Optimize roll returns by attempting to invest in contracts with the highest implied roll yield DB Commodity Booster -- DJUBS [] Subtract 0.70% fees per annum DB Commodity Booster -- DJUBS ERAC Note: 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 30 May 2014 2 ERAC: Excess Return After Cost 7 |
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DB Commodity Booster -- DJUBS ERAC Performance Analysis Index Returns (1) 400 Live Date: 12 Oct 2010 0 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 ------ --------- ---------- DJUBS S&P-GSCI DB Commodity Booster - DJUBS ERAC Performance Analysis 1 DB Commodity Jan 2004 -- May 2014 Booster -- DJUBS DJUBS S&P-GSCI ERAC Annualized Returns 4.9% -0.1% -0.5% Volatility 16.9% 18.3% 24.5% Sharpe Ratio(2) 0.29 -0.01 -0.02 Maximum Drawdown -54.3% -57.1% -71.6% Start Date Jul-08 Jul-08 Jul-08 End Date Mar-09 Mar-09 Feb-09 Max Monthly Consecutive Loss -51.7% -54.5% -67.8% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 46% / -48.8% 39.9% / -52.7% 74.8% / -64.8% Rolling 3 Months 24.2% / -38.5% 24.7% / -39.7% 34.4% / -53.4% Average Monthly Returns 0.5% 0.1% 0.2% % Months with Gains 60.0% 57.6% 56.8% Correlation DJUBS 0.97 1.00 0.91 S&P-GSCI 0.89 0.91 1.00 ---------------------------- ---------------- -------------- -------------- Notes: Index Sector Exposure (1) ------------------------- ---------------------- Sector Current Weight (%) Energy 32.21 Precious Metal 14.57 Industrial Metal 15.84 Agriculture 37.40 ------------------------- ---------------------- Year on Year Performance Comparison 1 Annual Returns for Excess Return / ERAC Indices ------------------------------------------------- DB Commodity Booster -- Calendar Year DJUBS ERAC DJUBS S&P-GSCI 2004 22.26% 7.64% 15.65% 2005 29.73% 17.54% 21.61% 2006 11.79% -2.71% -19.07% 2007 15.87% 11.08% 26.81% 2008 -30.94% -36.61% -47.29% 2009 18.97% 18.72% 13.30% 2010 16.13% 16.67% 8.88% 2011 -9.77% -13.37% -1.23% 2012 0.21% -1.14% -0.01% 2013 -11.24% -9.58% -1.28% 2014 YTD 4.37% 6.43% 3.50% Annualized Return 4.87% -0.10% -0.52% ----------------- ------------------------ ------- ---------------- 1 Source: Bloomberg. DB Commodity Booster -- DJUBS ERAC has been retrospectively calculated and did not exist prior to 12 October 2010 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Booster -- DJUBS ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Sharpe Ratio = annualized return / volatility. ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 8 |
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DB Commodity Booster DJUBS -- TV14 ERAC Index Summary [] Composition: Same base weights as the DJUBS Index [] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield ("OY") technology, which rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Target Volatility: Varies its exposure to the DB Commodity Booster -- DJUBS ERAC Index with a view to target a volatility of 14%. Exposure is capped at 500%. [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBCMBTVN) Note: 1 ERAC: Excess Return After Cost 9 |
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Index replicates the DJUBS Index by using the corresponding OY indices, thereby providing similar commodity exposure while seeking to manage roll returns more effectively Applies Target Volatility technology with the aim of achieving a smoother return profile, as well as to benefit from the historically negative correlation between index returns and realized volatility DB Commodity Booster DJUBS -- TV14 ERAC Index Construction Agriculture Industrial Metals Precious Metals Energy 37.40% (35.94% (1)) 15.84% (16.59% (1)) 14.57% (15.67% (1)) 32.21% (31.79% (1)) Apply Optimum Yield Technology [] Optimize roll returns by attempting to invest in contracts with the highest implied roll yield DB Commodity Booster -- DJUBS [] Subtract 0.70% fees per annum DB Commodity Booster -- DJUBS ERAC DB Commodity Booster DJUBS Note: 1 Weights shown are: Current Weight (Base Weight) . Current weights are as of 30 May 2014 2 ERAC: Excess Return After Cost Apply Target Volatility Technology [] Volatility is targeted at 14% by varying exposure to the DB Commodity Booster -- DJUBS ERAC Index -- TV14 ERAC 10 |
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DB Commodity Booster DJUBS -- TV14 ERAC Performance Analysis Index Returns (1) DB Commodity Booster - DJUBS ERAC DJUBS DB Commodity Booster DJUBS - TV14 ERAC Performance Analysis 1 Jan 2004 -- May 2014 Annualized Returns Volatility Sharpe Ratio Maximum Drawdown Start Date End Date Max Monthly Consecutive Loss Start Date End Date Max/Min Returns Rolling 12 Months Rolling 3 Months Average Monthly Returns % Months with Gains Correlation DB Commodity Booster -- DJUBS ERAC DJUBS Notes: DB Commodity DB Commodity Jan 2004 - May 2014 Booster DJUBS - Booster - DJUBS TV 14 ERAC DJUBS ERAC Annualized Returns 6.0% 4.9% -0.1% Volatility 14.6% 16.9% 18.3% Sharpe Ratio 0.41 0.29 -0.01 Maximum Drawdown -37.8% -54.3% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date Jan-14 Mar-09 Mar-09 Max Monthly Consecutive Loss -33.2% -51.7% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 41%/-31.6% 46%/-48.8% 39.9%/-52.7% Rolling 3 Months 21.6%/-23.6% 24.2%/-38.5% 24.7%/-39.7% Average Monthly Returns 0.6% 0.5% 0.1% % Months with Gains 60.0% 60.0% 57.6% Correlation DB Commodity Booster - DJUBS 0.94 1.00 0.97 ERAC DJUBS 0.92 0.97 1.00 Index Exposure (1) ------------------ ---------------------- ---------------- ------------- Current Exposure to DB Commodity Booster -- DJUBS ERAC 200.00% Underlying Sector Current Weight (%) Energy 32.21 Precious Metal 14.57 Industrial Metal 15.84 Agriculture 37.40 ------------------ ---------------------- ---------------- ------------- Year on Year Performance Comparison (1) ========================================================== ============= Annual Returns for Excess Return / ERAC Indices ------------------ ----------------------------------------------------- DB Commodity DB Commodity Booster DJUBS - TV 14 Booster -- DJUBS Calendar Year ERAC ERAC DJUBS 2004 26.18% 22.26% 7.64% 2005 29.49% 29.73% 17.54% 2006 10.23% 11.79% -2.71% 2007 15.91% 15.87% 11.08% 2008 -16.19% -30.94% -36.61% 2009 12.73% 18.97% 18.72% 2010 15.63% 16.13% 16.67% 2011 -8.94% -9.77% -13.37% 2012 -2.25% 0.21% -1.14% 2013 -16.79% -11.24% -9.58% 2014 YTD 9.14% 4.37% 6.43% Annualized Return 6.05% 4.87% -0.10% ------------------ ---------------------- ---------------- ------------- 1 Source: Bloomberg. DB Commodity Booster DJUBS -- TV14 ERAC has been retrospectively calculated and did not exist prior to 12 October 2010 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Booster DJUBS -- TV14 ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. Current weights shown are for DB Commodity Booster -- DJUBS ERAC Index 11 |
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DB Commodity Booster -- Benchmark Index Summary [] Composition: Same base weights as the S&P GSCI Index [] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield ("OY") technology, which rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBCMBSEU) 12 |
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[] Optimize roll returns by attempting to invest in contracts with the highest implied roll yield DB Commodity Booster -- Benchmark Note: 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 30 May 2014 13 |
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DB Commodity Booster -- Benchmark Performance Analysis Index Returns (1) Index Sector Exposure (1) ------------------------- ---------------------- Sector Current Weight (%) Energy 72.03 Precious Metal 2.57 Industrial Metal 6.32 Agriculture & Livestock 19.08 ------------------------- ---------------------- DB Commodity Jan 2004 - May 2014 Booster - DJUBS S&P-GSCI Benchmark Annualized Returns 7.0% -0.1% -0.5% Volatility 21.9% 18.3% 24.5% Sharpe Ratio 0.32 -0.01 -0.02 Maximum Drawdown -64.6% -57.1% -71.6% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Mar-09 Feb-09 Max Monthly Consecutive Loss -60.7% -54.5% -67.8% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max / Min Returns Rolling 12 Months 76.3% / -56.7% 39.9% / -52.7% 74.8% / -64.8% Rolling 3 Months 33.4% / -47.4% 24.7% / -39.7% 34.4% / -53.4% Average Monthly Returns 0.8% 0.1% 0.2% % Months with Gains 56.0% 57.6% 56.8% Correlation DJUBS 0.89 1.00 0.91 S&P-GSCI 0.98 0.91 1.00 Year on Year Performance Comparison (1) ============================================================= ========== Annual Returns for Excess Return Indices ------------------------------------------- ---------- DB Commodity Calendar Year Booster -- Benchmark DJUBS S&P-GSCI 2004 38.49% 7.64% 15.65% 2005 41.80% 17.54% 21.61% 2006 -2.31% -2.71% -19.07% 2007 25.49% 11.08% 26.81% 2008 -36.65% -36.61% -47.29% 2009 20.31% 18.72% 13.30% 2010 9.69% 16.67% 8.88% 2011 -0.55% -13.37% -1.23% 2012 0.60% -1.14% -0.01% 2013 -1.86% -9.58% -1.28% 2014 YTD 2.85% 6.43% 3.50% Annualized Return 7.04% -0.10% -0.52% Notes: 1 Source: Bloomberg. DB Commodity Booster -- Benchmark has been retrospectively calculated and did not exist prior to 15 December 2007 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Booster -- Benchmark Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 14 |
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Mean Reversion Indices Section 2 15 |
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DBLCI -MR Index Summary [] Components: Tracks the performance of a basket of 6 commodity futures: Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn, and Wheat [] Dynamic Weights: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among six of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture. The commodity weight is determined formulaically based on the ratio between a one-year and five-year moving average price [] Rebalancing: A rebalancing will occur whenever one of the commodities undergoes a "trigger event. " A trigger event occurs when the one-year moving average price of the commodity trades +/-- 5% than the five-year moving average [] Roll Frequency and Method: Fixed monthly roll for Energy components, fixed yearly roll for Metals and Agriculture components [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBLCMMCL) 16 |
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[] Weight of each component determined based on the ratio of 1 year moving average price to 5 year moving average price Corn Gold Heating Oil WTI Crude Oil Aluminium Wheat (20.87% (2)) (13.74% (2)) (11.18% (2)) (19.56% (2)) (23.19% (2)) (11.46% (2)) Source: Deutsche Bank, 2014 Notes: 1 Base Weights of DBLCI-MR Index 2 Current Weights as of 30 May 2014 17 |
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DBLCI -MR Performance Analysis 40% 100 20% 0 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 DBLCI DJUBS DBLCI - MR 0% Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Energy Industrial Metals Precious Metals Agriculture Performance Analysis (1) Year on Year Performance Comparison (1) Annual Returns for Excess Return Indices Jan 2004 -- May 2014 DBLCI-MR DBLCI DJUBS Annualized Returns 7.7% 3.1% -0.1% Volatility 21.0% 22.4% 18.3% Sharpe Ratio 0.37 0.14 -0.01 Maximum Drawdown -62.8% -65.2% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Mar-09 Max Monthly Consecutive Loss -59.0% -61.9% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max / Min Returns Rolling 12 Months 84% / -56.3% 83.1% / -60.7% 39.9% / -52.7% Rolling 3 Months 33.3% / -43.1% 28.4% / -47.4% 24.7% / -39.7% Average Monthly Returns 0.8% 0.4% 0.1% % Months with Gains 59.2% 55.2% 57.6% Correlation DBLCI 0.91 1.00 0.90 DJUBS 0.84 0.90 1.00 Calendar Year DBLCI-MR DBLCI DJUBS 2004 25.85% 26.11% 7.64% 2005 2.96% 13.89% 17.54% 2006 39.22% 3.06% -2.71% 2007 42.49% 34.67% 11.08% 2008 -35.43% -39.60% -36.61% 2009 22.29% 10.17% 18.72% 2010 13.62% 12.33% 16.67% 2011 -2.47% -1.13% -13.37% 2012 3.33% 0.79% -1.14% 2013 -9.05% -9.58% -9.58% 2014 YTD 2.59% 2.82% 6.43% Annualized Return 7.71% 3.14% -0.10% Notes: 1 Source: Bloomberg. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI -- MR Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 18 |
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DBLCI -- Mean Reversion Enhanced ex NG ERAC Index Summary [] Components: Tracks the performance of a basket of 11 commodities: Aluminum, Nickel, Zinc, Copper, Lead, WTI Crude Oil, Gold, Silver, Corn, Wheat and Soybeans. [] Wheat : Wheat exposure is taken through an equally-weighted basket of Chicago Wheat, Minneapolis Wheat and Kansas Wheat [] Dynamic Weights and Diversification: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among twelve of the most liquid commodities in four sectors: Energy, Base Metals, Precious Metals, Agriculture. In order to avoid concentration and ensure adequate diversification, single commodity allocations are first subject to a 32% cap and then to 18% cap on subsequent commodities. [] Optimizing Roll Returns: Deutsche Bank's proprietary Optimum Yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Rebalancing: A rebalancing will occur if on the monthly rebalance date, the one-year moving average price of one or more commodities trade +/-- 5% than the five-year moving average [] Embedded Cost: 1.00% per annum [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBLCMNGU) Note: 1 ERAC: Excess Return After Cost 19 |
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Invests in 11 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones Employs OY technology seeking to maximize roll yield by selecting the optimum futures contract DBLCI -- Mean Reversion Enhanced ex NG ERAC Index Construction Agriculture Industrial Metal Precious Metal (25% (1)) (20% (1)) (20% (1)) Energy (35% (1)) Basket with Base Weights Apply Optimum Yield Technology [] Optimize roll returns by attempting to invest in contracts with the highest implied roll yield Basket with Base Weights using OY sub-indices Apply MR Technology [] Weight of each component determined based on the ratio of 1 year moving average (MA) price to 5 year MA price DBLCI Mean Reversion Enhanced ex NG [] Subtract 1.00% fees per annum DBLCI Mean Reversion Enhanced ex NG ERAC Agriculture Industrial Metal Precious Metal Energy (22.39% (2)) (29.25% (2)) (25.68% (2)) (22.68% (2)) Source: Deutsche Bank, 2014 Notes: 1 Base Weights of DBLCI-MR Enhanced ex NG ERAC Index. Current Weights as of 30 May 2014 2 ERAC: Excess Return After Cost 20 |
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DBLCI -- Mean Reversion Enhanced ex NG ERAC Jan 2004 -- May 2014 Annualized Returns Volatility Sharpe Ratio Maximum Drawdown Start Date End Date Max Monthly Consecutive Loss Start Date End Date Max/Min Returns Rolling 12 Months Rolling 3 Months Average Monthly Returns % Months with Gains Correlation DBLCI -- MR DJUBS Notes: DBLCI Mean Reversion Enhan DBLCI-MR DJUBS ced ex NG ERAC 10.5% 7.7% -0.1% 20.1% 21.0% 18.3% 0.52 0.37 -0.01 -50.9% -62.8% -57.1% Jul-08 Jul-08 Jul-08 Dec-08 Feb-09 Mar-09 -46.9% -59.0% -54.5% Jul-08 Jul-08 Jul-08 Feb-09 Feb-09 Feb-09 72.9% / -43.2% 84% / -56.3% 39.9% / -52.7% 38.1% / -38.4% 33.3% / -43.1% 24.7% / -39.7% 1.0% 0.8% 0.1% 60.0% 59.2% 57.6% 0.89 1.00 0.84 0.86 0.84 1.00 -------------- -------------- -------------- Index Sector Exposure (1) ------------------------- ---------------------- Sector Current Weight (%) Energy 22.68 Precious Metal 25.68 Industrial Metal 29.25 Agriculture 22.39 ------------------------- ---------------------- Year on Year Performance Comparison 1 Annual Returns for Excess Return / ERAC Indices ------------------------------------------------------ ------- DBLCI Mean Reversion Enhanced Calendar Year ex NG ERAC DBLCI-MR DJUBS 2004 20.87% 25.85% 7.64% 2005 11.93% 2.96% 17.54% 2006 29.59% 39.22% -2.71% 2007 34.65% 42.49% 11.08% 2008 -25.15% -35.43% -36.61% 2009 55.25% 22.29% 18.72% 2010 19.46% 13.62% 16.67% 2011 -9.69% -2.47% -13.37% 2012 3.22% 3.33% -1.14% 2013 -12.66% -9.05% -9.58% 2014 YTD 6.48% 2.59% 6.43% Annualized Return 10.54% 7.71% -0.10% ----------------- -------------------- --------------------------------- ------- 1 Source: Bloomberg. DBLCI -- Mean Reversion Enhanced ex NG ERAC has been retrospectively calculated and did not exist prior to 30 August 2012 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI -- Mean Reversion Enhanced ex NG ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 21 |
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DB MR Enhanced 15 Index Summary [] Components: Tracks the performance of a basket of 12 commodities: Aluminum, Nickel, Zinc, Copper, Lead, WTI Crude Oil, Natural Gas, Gold, Silver, Corn, Wheat and Soybeans [] Wheat (1) : Wheat exposure is taken through an equally-weighted basket of Chicago Wheat, Minneapolis Wheat and Kansas Wheat [] Dynamic Weights and Diversification (2): Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among twelve of the most liquid commodities in four sectors: Energy, Base Metals, Precious Metals, Agriculture. In order to avoid concentration and ensure adequate diversification, single commodity allocations except Agriculture commodities are first subject to a 32% cap and then to 18% cap on subsequent commodities. Agriculture commodities are subject to a cap of 18% [] Optimizing Roll Returns: Deutsche Bank's proprietary Optimum Yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Target Volatility: Exposure to the DBLCI Mean Reversion Enhanced is reset monthly in order to target a realized volatility of 15%. Exposure is capped at 300%. [] Rebalancing: A rebalancing will occur if on the monthly rebalance date, the one-year moving average price of one or more commodities trade +/-- 5% than the five-year moving average [] Transparency: The DB MR Enhanced 15 is a rule-based index with the closing level and weights published daily on Bloomberg (DBLCMTEU) Notes: 1 Until Feb 2012 exposure to Wheat in the Mean Reversion Enhanced Index was aken entirely through Chicago Wheat futures 2 Until Feb 2012 the single commodity weighting cap was 35% (currently 32%) and the subsequent individual cap was 20% (currently 18%) 22 |
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DB MR Enhanced 15 Invests in 12 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones Employs OY technology seeking to maximize roll yield and Target Volatility technology with the aim of obtaining a smoother return profile Index Construction Agriculture Industrial Metal Precious Metal (25% (1)) (18% (1)) (17% (1)) Energy (40% (1)) Basket with Base Weights Apply Optimum Yield Technology [] Optimize roll returns by attempting to invest in contracts with the highest implied roll yield Basket with Base Weights using OY Sub-indices Apply Mean Reversion Technology [] Weight of each component determined based on the ratio of 1 year MA price to 5 year MA price DBLCI -- Mean Reversion Enhanced 2 Agriculture(22.95%), Industrial Metal(26.98%), Precious Metal(22.38%) & Energy(27.69%) Apply Target Volatility Technology [] Volatility targeted at 15% by varying exposure to the DBLCI -- Mean Reversion Enhanced Index DB MR Enhanced 15 Note: 1 Base Weights of DBLCI -- Mean Reversion Enhanced Index 2 Current Weights of DBLCI-Mean Reversion Enhanced Index as of 30 May 2014 23 |
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DB MR Enhanced 15 Participation(L) 3m MRE Vol(R) 1 MRE TV15 Average Vol(R) Target Vol(R) Performance Analysis Year on Year Performance Comparison (1) DBLCI -- Mean Annual Returns for Excess Return Indices DB MR Enhanced Jan 2004 -- May 2014 Reversion DJUBS 15 Enhanced Annualized Returns 7.6% 5.5% -0.1% Volatility 15.4% 19.6% 18.3% Sharpe Ratio 0.49 0.28 -0.01 Maximum Drawdown -42.1% -55.9% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date Jan-14 Mar-09 Mar-09 Max Monthly Consecutive Loss -33.5% -53.8% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 51.8% / -31.1% 71.2% / -46.5% 39.9% / -52.7% Rolling 3 Months 22.8% / -22.2% 36% / -37.4% 24.7% / -39.7% Average Monthly Returns 0.7% 0.6% 0.1% % Months with Gains 55.2% 55.2% 57.6% Correlation DBLCI-MR 0.93 1.00 0.85 DJUBS 0.81 0.85 1.00 DB MR DBLCI -- Mean Calendar Year Enhanced 15 Reversion Enhanced DJUBS 2004 25.18% 23.16% 7.64% 2005 15.77% 10.43% 7.54% 2006 30.96% 28.54% -2.71% 2007 24.84% 26.67% 11.08% 2008 -11.82% -26.29% -36.61% 2009 18.57% 37.53% 18.72% 2010 5.99% 5.29% 16.67% 2011 -16.78% -21.87% -13.37% 2012 -5.02% -4.42% -1.14% 2013 -9.29% -7.37% -9.58% 2014 YTD 13.80% 7.33% 6.43% Annualized Return 7.59% 5.55% -0.10% Notes: 1 Source: Bloomberg. DB MR Enhanced 15 has been retrospectively calculated and did not exist prior to 28 September 2009 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB MR Enhanced 15 Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 24 |
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DBLCI MR+ Index Summary [] Components: Tracks the performance of 6 commodity futures: Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn and Wheat [] Dynamic Weights: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among six of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture [] Dynamic Allocation: The "Plus" strategy aims to preserve excess returns generated by the DBLCI-MR by adjusting its exposure monthly to reflect upward and downward momentum cycles. A sample set of returns for each period ranging between one and twelve months are calculated. The weight assigned to DBLCI-MR is based on the number of periods with positive returns [] Rebalancing: A rebalancing in the underlying index (DBLCI-MR) will occur whenever one of the commodities undergoes a "trigger event. " A trigger event occurs when the one-year moving average price of the commodity trades +/-- 5% than the five-year moving average [] Roll Frequency and Method: Fixed monthly roll for Energy components, fixed yearly roll for Metals and Agriculture components [] Transparency: Rule-based index with the closing level, weights and exposure published daily on Bloomberg (DBLCMPUE) 25 |
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Invests in 6 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones Aims to offer upside exposure to DBLCI -MR but limit potential drawdowns by employing a momentum algorithm DBLCI MR+ Index Construction Corn Gold Heating oil WTI Aluminum Wheat (11.25%(1)) (10%(1)) (20%(1)) (35%(1)) (12.5%(1)) (11.25%(1)) Basket with Base Weights Apply Mean Reversion Technology [] Weight of each component determined based on the ratio of 1 year MA price to 5 year MA price DBLCI-MR Returns(3) DBLCI-MR (2) -------------------------------------------------------------------------------- 1 Month -0.6% Corn(20.9%), Gold(13.7%), Heating Oil(11.2%), Crude Oil(19.6%), Aluminium(23.2%) & Wheat(11.5%) 2 Month 2.0% 3 Month 5.8% Apply 'Plus' Strategy 4 Month 8.8% 5 Month 3.9% [] Variable exposure to DBLCI-MR with the aim of preserving the 6 Month 4.0% upside but limiting loses 7 Month -1.6% 8 Month -1.9% [] Exposure to DBLCI-MR = total number of positive returns / 12 (6/12 = 50.00%) 9 Month -0.7% 10 Month -0.9% 11 Month 0.1% 12 Month -0.6% DBLCI MR+ Note: 1 Base Weights of DBLCI-MR Index 2 Current Weights of DBLCI-MR Index as of 30 May 2014 3 Returns are calculated as of 6(th) business day of each month, from May 2013 to May 2014. 26 |
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DBLCI MR+ Performance Analysis Index Returns 1 Historical Weighting 1 400 100% 1,400 Live Date: 20 Jun 2007 80% 1,200 300 1,000 200 60% 800 40% 600 100 400 20% 200 0 Current Participation 1: 50.00% Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 0% 0 DBLCI - MR DJUBS DBLCI MR+ Jan-04Jan-06Jan-08Jan-10 Jan-12Jan-14 Participation(L) DBLCI - MR(R) Jan 2004 - May 2014 DBLCI MR+ DBLCI-MR DJUBS Annualized Returns 6.7% 7.7% -0.1% Volatility 14.9% 21.0% 18.3% Sharpe Ratio 0.45 0.37 -0.01 Maximum Drawdown -33.8% -62.8% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date Jun-10 Feb-09 Mar-09 Max Monthly Consecutive Loss -27.1% -59.0% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Nov-08 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 81.8% / -31.4% 84% / -56.3% 39.9% / -52.7% Rolling 3 Months 28.4% / -26.7% 33.3% / -43.1% 24.7% / -39.7% Average Monthly Returns 0.6% 0.8% 0.1% % Months with Gains 51.2% 59.2% 57.6% Correlation DBLCI - MR 0.85 1.00 0.84 DJUBS 0.71 0.84 1.00 Annual Returns for Excess Return Indices Calendar Year DBLCI MR+ DBLCI-MR DJUBS 2004 24.07% 25.85% 7.64% 2005 -4.53% 2.96% 17.54% 2006 24.53% 39.22% -2.71% 2007 38.57% 42.49% 11.08% 2008 -0.67% -35.43% -36.61% 2009 8.87% 22.29% 18.72% 2010 2.36% 13.62% 16.67% 2011 -2.84% -2.47% -13.37% 2012 -2.45% 3.33% -1.14% 2013 -7.36% -9.05% -9.58% 2014 YTD -1.09% 2.59% 6.43% Annualized Return 6.70% 7.71% -0.10% Notes: 1 Source: Bloomberg. DBLCI MR+ has been retrospectively calculated and did not exist prior to 20 June 2007 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI MR+ Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 27 |
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Market Neutral Indices Section 3 28 |
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DB Commodity Harvest ERAC Index Summary [] Market Neutral Strategy: The DB Commodity Harvest ERAC Index goes short the S&P Goldman Sachs Light Energy Index and long the DB Commodity Booster -- Benchmark Light Energy Index, an Optimum Yield version of the S&P Goldman Sachs Light Energy Index, in an attempt to provide market-neutral exposure, and to generate returns from DB's optimum yield technology. [] Optimizing Roll Returns: Deutsche Bank's proprietary optimum yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Embedded Cost: 0.60% per annum [] Transparency: Rule based index with the closing level and weights published daily on Bloomberg (DBLCHNUE) Note: 1 ERAC: Excess Return After Cost 29 |
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DB Commodity Harvest ERAC Index Construction Precious Industrial Agriculture & Strategy aims to Energy Metals Metals Livestock 39.17% (39.09% (1)) generate alpha from 5.60% (5.96% (1)) 13.78% (14.73% (1)) 41.45% (40.25%(1)) roll returns by going long the OY index and short the benchmark index S&P GSCI Light Energy S&P GSCI Light Energy Apply Optimum Yield Technology [] Optimize roll returns by attempting to S&P GSCI Light Energy rolls maximize implied roll yield each commodity to its nearest available futures contract DB Commodity Booster -- Benchmark Light Energy Long Short Carry Strategy [] Market neutral equally weighted Long and Short positions to generate Alpha. Exposure to long and short legs rebalanced monthly DB Commodity Harvest to maintain overall neutrality [] Subtract 0.60% fees per annum At each rebalance date, the Short position (S&P GSCI Light Energy) rolls to the nearest dated futures contract for each commodity whereas the Long position (DB Commodity Booster -- Benchmark Light Energy) rolls to the future contract with the highest implied roll yield and expires within DB Commodity Harvest ERAC the next 13 months. Note: 1 Weights shown are: Current Weight (Base Weight). Current eights are as of 30 May 2014 2 ERAC: Excess Return After Cost 30 |
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DB Commodity Harvest ERAC Performance Analysis Index Returns (1) Index Constituents (1) 300 Live Date: 14 Oct 2008 Index Current Weight (%) 0 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 --------------- DB Commodity Booster - Benchmark Light Energy S&P-GSCI Light Energy DB Commodity Harvest ERAC Performance Analysis (1) Year on Year Performance Comparison (1) DB Commodity Return / ERAC Indices ------------------------------------------------------ DB Commodity S&P-GSCI Jan 2004 -- May 2014 Booster -- Benchmark Harvest ERAC Light Energy Light Energy Annualized Returns 3.9% 4.9% 0.2% Volatility 3.1% 17.7% 19.1% Sharpe Ratio 1.26 0.28 0.01 Maximum Drawdown -6.5% -56.8% -60.9% Start Date Feb-09 Jul-08 Jul-08 End Date Mar-14 Mar-09 Feb-09 Max Monthly Consecutive Loss -5.3% -53.8% -42.0% Start Date Jun-07 Jul-08 Jul-08 End Date Sep-07 Feb-09 Feb-09 Max / Min Returns Rolling 12 Months 17% / -4.9% 51.7% / -50.3% 48.2% / -55.8% Rolling 3 Months 6.4% / -5.6% 24.8% / -42.4% 26.1% / -44.6% Average Monthly Returns 0.3% 0.5% 0.2% % Months with Gains 65.6% 56.8% 55.2% Correlation DB Commodity Booster -- -0.39 1.00 0.98 Benchmark Light Energy S&P-GSCI Light Energy -0.52 0.98 1.00 Annual Returns for Excess DB DB Commodity Commodity Harvest Booster -- Benchmark S&P-GSCI Calendar Year ERAC Light Energy Light Energy 2004 12.84% 22.05% 7.31% 2005 10.17% 28.51% 15.51% 2006 12.30% 9.15% -3.77% 2007 -0.44% 17.49% 17.16% 2008 10.61% -33.20% -40.39% 2009 0.58% 17.02% 15.17% 2010 -1.38% 16.11% 16.94% 2011 1.58% -5.21% -7.28% 2012 -0.89% 1.46% 1.60% 2013 -2.02% -9.40% -8.16% 2014 YTD -1.21% 3.94% 4.93% Annualized Return 3.87% 4.95% 0.18% Notes: 1 Source: Bloomberg. DB Commodity Harvest ERAC has been retrospectively calculated and did not exist prior to 14 October 2008 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Harvest ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 31 |
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DB Commodity Harvest -- 10 ERAC Index Summary [] Market Neutral Strategy: The DB Commodity Harvest Index goes short the S&P Goldman Sachs Light Energy Index and long the DB Commodity Booster -- Benchmark Light Energy Index, an Optimum Yield version of the S&P Goldman Sachs Light Energy Index, in an attempt to provide market-neutral exposure, and to generate returns from DB's optimum yield technology [] Optimizing Roll Returns: Deutsche Bank's proprietary optimum yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Target Volatility: Varies exposure to the DB Commodity Harvest ERAC Index with a view to target a volatility of 10%. Exposure is capped at 500%. [] Transparency: Rule based index with the closing level and weights published daily on Bloomberg (DBCMHVEG) Note: 1 ERAC: Excess Return After Cost 32 |
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DB Commodity Harvest -- 10 ERAC Index Construction Strategy aims to Energy Precious Industrial Agriculture & generate alpha from 39.17% (39.09% (1)) Metals Metals Livestock 5.60% (5.96% (1)) 13.78% (14.73% (1)) 41.45% (40.25%(1)) roll returns and to smoothen the return profile by varying exposure to the underlying index in S&P GSCI Light Energy S&P GSCI Light Energy response to changes in realized volatility Apply Optimum Yield Technology [] Optimize roll returns by attempting to maximize implied roll yield S&P GSCI Light Energy rolls each commodity to its nearest DB Commodity Booster -- available futures contract Benchmark Light Energy Long Short DB Commodity Harvest ERAC Apply Target Volatility Technology [] Volatility targeted at 10% by varying exposure to the DB Commodity Harvest ERAC DB Commodity Harvest -- 10 ERAC Note: 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 30 May 2014 2 ERAC: Excess Return After Cost 33 |
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DB Commodity Harvest -- 10 ERAC Performance Analysis Current Exposure (1): 500.00% DB Commodity Harvest ERAC S&P-GSCI Light Energy DB Commodity Harvest - 10 ERAC 0% Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Performance Analysis (1) DB Commodity DB ERAC Indices S&P-GSCI Jan 2004 -- May 2014 Harvest -- 10 Commodity Light Energy ERAC Harvest ERAC S&P-GSCI Annualized Returns 10.9% 3.9% 0.2% Volatility 10.6% 3.1% 19.1% Sharpe Ratio 1.03 1.26 0.01 Maximum Drawdown -29.7% -6.5% -60.9% Start Date Jun-10 Feb-09 Jul-08 End Date Mar-14 Mar-14 Feb-09 Max Monthly Consecutive Loss -17.2% -5.3% -42.0% Start Date Jun-07 Jun-07 Jul-08 End Date Sep-07 Sep-07 Feb-09 Max / Min Returns Rolling 12 Months 66.4% / -21.5% 17% / -4.9% 48.2% / -55.8% Rolling 3 Months 20.9% / -17.6% 6.4% / -5.6% 26.1% / -44.6% Average Monthly Returns 0.9% 0.3% 0.2% % Months with Gains 65.6% 65.6% 55.2% Correlation DB Commodity Harvest ERAC 0.96 1.00 -0.52 S&P-GSCI Light Energy -0.49 -0.52 1.00 Year on Year Performance Comparison(1) Annual Returns for Excess Return / DB DB Commodity Commodity Harvest Calendar Year Harvest -- 10 ERAC ERAC Light Energy 2004 47.35% 12.84% 7.31% 2005 34.80% 10.17% 15.51% 2006 36.68% 12.30% -3.77% 2007 -2.51% -0.44% 17.16% 2008 39.69% 10.61% -40.39% 2009 1.85% 0.58% 15.17% 2010 -5.88% -1.38% 16.94% 2011 3.51% 1.58% -7.28% 2012 -6.10% -0.89% 1.60% 2013 -9.13% -2.02% -8.16% 2014 YTD -6.01% -1.21% 4.93% Annualized Return 10.91% 3.87% 0.18% Notes: 1 Source: Bloomberg. DB Commodity Harvest -- 10 ERAC has been retrospectively calculated and did not exist prior to 14 October 2008 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Harvest -- 10 ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 34 |
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Long-Short Indices Section 4 35 |
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DB Commodity Backwardation Alpha 22 Index Summary [] Concept: The Index goes long the top 11 backwardated commodities, and short the remaining 11 commodities, from a universe of 22 commodities. The hypothesis is that the backwardated commodities' basket will outperform the basket of the remaining commodities. [] Components: 22 commodities futures spanning the energy, industrial metals, agriculture and precious metals sectors. [] Summary: The strategy goes long the 11 commodities with the most backwardation (or least contango) with a weight of 1/11 each and shorts the remaining 11 commodities with a weight of 1/11 each. -- Short exposure is provided via front month contracts -- Long exposure is provided via OY Enhanced single commodity Indices [] 'Backwardation' Measure: Backwardation for each commodity is measured as the weighted backwardation of the basket of contracts included in the Optimum Yield Enhanced Index for such commodity. [] Rebalancing: The index is rebalanced every month at the end of the 2(nd) index business day of the month. [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCBWUE) 36 |
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DB Commodity Backwardation Alpha 22 Index Construction Industrial metals Precious metals Energy Agriculture Basket with 22 Commodities Measure Backwardation Measure implied roll return of the OYE basket of contracts Long basket of 11 commodities Short basket of 11 commodities OY Enhanced single commodity indices Single commodity front month indices Weight = 1/11 for each commodity Weight = 1/11 for each commodity DB Commodity Backwardation Long DB Commodity Backwardation Short Weight = 100% Weight = -100% DB Commodity Backwardation Alpha 22 DB Commodity Backwardation Alpha 22 37 |
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DB Commodity Backwardation Alpha 22 Performance Analysis Index Returns (1) S&P GSCI DJUBS DB Commodity Backwardation Alpha 22 Performance Analysis (1) DB Commodity Jan 2004 -- May 2014 Backwardation S&P GSCI DJUBS Alpha 22 Annualized Returns 17.7% -0.5% -0.1% Volatility 13.9% 24.5% 18.3% Sharpe Ratio 1.28 -0.02 -0.01 Maximum Drawdown -18.8% -71.6% -57.1% Start Date Apr-12 Jul-08 Jul-08 End Date Jul-12 Feb-09 Mar-09 Max Monthly Consecutive Loss -14.9% -67.8% -54.5% Start Date Apr-12 Jul-08 Jul-08 End Date Jul-12 Feb-09 Feb-09 Max / Min Returns Rolling 12 Months 67.4% / -13.8% 74.8% / -64.8% 39.9% / -52.7% Rolling 3 Months 24.4% / -17.1% 34.4% / -53.4% 24.7% / -39.7% Average Monthly Returns 1.4% 0.2% 0.1% % Months with Gains 68.0% 56.8% 57.6% Correlation S&P GSCI 0.06 1.00 0.91 DJUBS 0.06 0.91 1.00 Year on Year Performance Comparison (1) Annual Returns for Excess Return Indices DB Commodity Backwardation Alpha S&P GSCI DJUBS Calendar Year 22 2004 30.90% 15.65% 7.64% 2005 40.71% 21.61% 17.54% 2006 48.18% -19.07% -2.71% 2007 10.97% 26.81% 11.08% 2008 26.71% -47.29% -36.61% 2009 35.40% 13.30% 18.72% 2010 3.73% 8.88% 16.67% 2011 8.35% -1.23% -13.37% 2012 -3.31% -0.01% -1.14% 2013 5.15% -1.28% -9.58% 2014 YTD -7.89% 3.50% 6.43% Annualized Return 17.71% -0.52% -0.10% Notes: 1 Source: Bloomberg. DB Commodity Backwardation Alpha 22 has been retrospectively calculated and did not exist prior to 15 October 2012 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Backwardation Alpha 22 Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 38 |
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DB Commodity Risk Parity 18 Index Section 6 39 |
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DB Commodity Risk Parity 18 Index Summary [] Risk Parity: Provides exposure to 4 commodity sector indices such that risk contribution of each to the resulting portfolio is equal. Risk contribution is determined by using past 3 month realized volatilities and correlations. Volatility is targeted at 18% by leveraging the equal risk weighted portfolio; such leverage is capped at 300%. [] Components: The 4 sector indices used to construct the index are: DBLCI-OY Energy Index, DBLCI-OY Industrial Metal Index, DBLCI-OY Precious Metal Index and DBLCI-OY Agriculture Index. [] Rebalancing: Each month, sector exposures are adjusted with the aim of achieving equal risk contributions and a volatility of 18%. [] Optimizing Roll Returns: All 4 sector indices employ Deutsche Bank's proprietary optimum yield ("OY") technology, which rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBCMRPTV) 40 |
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DB Commodity Risk Parity 18 Index Construction ------------------ ------------------ ------------------ ------------------ DBLCI-OY DBLCI-OY DBLCI-OY DBLCI-OY Energy Index Industrial Metal Precious Metal Agriculture (26.57% (1)) Index (25.05% (1)) Index (21.83% (1)) Index (26.55% (1)) Basket with 4 Sector Indices Apply Risk Parity Technology [] Allocates weights to each sector index such that the risk contribution of all components is equal DB Commodity Risk Parity Apply 0.50% fees per annum Apply Target Volatility Technology [] Volatility is targeted at 18% by varying exposure to each underlying sector index DB Commodity Risk Parity 18 Note: 1 Current weights are as of 30 May 2014 41 |
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DB Commodity Risk Parity 18 Performance Analysis Index Returns (1) 500 Live Date: 12 Dec 2010 Performance Analysis 1 DB Commodity Jan 2004 -- May 2014 S&P GSCI DJUBS Risk Parity 18 Annualized Returns 11.4% -0.5% -0.1% Volatility 19.5% 24.5% 18.3% Sharpe Ratio 0.59 -0.02 -0.01 Maximum Drawdown -44.4% -71.6% -57.1% Start Date Apr-11 Jul-08 Jul-08 End Date Jan-14 Feb-09 Mar-09 Max Monthly Consecutive Loss -33.5% -67.8% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max / Min Returns Rolling 12 Months 118.5% / -35% 74.8% / -64.8% 39.9% / -52.7% Rolling 3 Months 47.9% / -28.8% 34.4% / -53.4% 24.7% / -39.7% Average Monthly Returns 1.1% 0.2% 0.1% % Months with Gains 56.0% 56.8% 57.6% Correlation S&P GSCI 0.74 1.00 0.91 DJUBS 0.85 0.91 1.00 Historical Exposure(1) 300% Exposure to DBLCI -- OY Energy (2): 68.24% Exposure to DBLCI -- OY Agriculture (2): 68.19% 250% Exposure to DBLCI -- OY Precious Metal (2): 56.05% Exposure to DBLCI -- OY Industrial Metal (2): 64.34% 200% 150% 100% 50% 0% Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Energy Agriculture Precious Metals Base Metals Year on Year Performance Comparison 1 Annual Returns for Excess Return Indices ------------------------------------------------- ------- DB Commodity Risk S&P GSCI DJUBS Calendar Year Parity 18 2004 34.22% 15.65% 7.64% 2005 57.65% 21.61% 17.54% 2006 26.76% -19.07% -2.71% 2007 20.15% 26.81% 11.08% 2008 -17.48% -47.29% -36.61% 2009 26.22% 13.30% 18.72% 2010 27.90% 8.88% 16.67% 2011 -7.48% -1.23% -13.37% 2012 1.63% -0.01% -1.14% 2013 -26.18% -1.28% -9.58% 2014 YTD 3.58% 3.50% 6.43% Annualized Return 11.42% -0.52% -0.10% Notes: 1 Source: Bloomberg. DB Commodity Risk Parity 18 has been retrospectively calculated and did not exist prior to 12 December 2010 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Risk Parity 18 Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 42 |
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Optimum Yield Enhanced Indices Section 8 43 |
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DB Commodity Booster OYE DJUBS Index Summary [] Composition: Same base weights as the DJUBS Index. Weights are rebalanced annually [] Optimizing Roll Returns: Employs Deutsche Bank's proprietary Optimum Yield Enhanced ("OY Enhanced") technology, which provides exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield. Exposure to the 3 contracts is assessed and rebalanced monthly -- Exposure to short-term contract (front month), medium-term and long-term contracts (pre- defined schedule based on liquidity) -- For livestock, exposure is to three-month forward contracts [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBCMODUE) 44 |
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Index replicates the DJUBS by using OY Enhanced indices thereby providing similar commodity exposure while seeking to manage roll returns more effectively [] Optimize roll returns by providing exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield DB Commodity Booster OYE DJUBS Note: 1 Weights shown are: Rebalance Weights for 2014 45 |
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DB Commodity Booster OYE DJUBS Index Sector Exposure (1) ------------------------- ------------------------- Sector Rebalance Weight (%) Energy 31.79 Precious Metal 15.67 Industrial Metal 16.59 Agriculture & Livestock 35.94 ------------------------- ------------------------- Year on Year Performance Comparison (1) =================================================================== ========== Annual Returns for Excess Return Indices ------------------------------------------------- ---------- DB Commodity Booster OYE Calendar Year DJUBS DJUBS S&P-GSCI 2004 24.99% 7.64% 15.65% 2005 34.94% 17.54% 21.61% 2006 14.89% -2.71% -19.07% 2007 19.35% 11.08% 26.81% 2008 -27.14% -36.61% -47.29% 2009 21.67% 18.72% 13.30% 2010 16.88% 16.67% 8.88% 2011 -6.80% -13.37% -1.23% 2012 1.11% -1.14% -0.01% 2013 -10.78% -9.58% -1.28% 2014 YTD 5.98% 6.43% 3.50% Annualized Return 7.55% -0.10% -0.52% ----------------- --------------------------- --------------------- ---------- Notes: 1 Source: Bloomberg. DB Commodity Booster OYE DJUBS has been retrospectively calculated and did not exist prior to 31 October 2011 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Booster OYE DJUBS Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 46 |
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DB Commodity Booster OYE Benchmark Light Energy Index Summary [] Composition: Same base weights as the S&P GSCI Light Energy Index. Weights are rebalanced annually [] Optimizing Roll Returns: Employs Deutsche Bank's proprietary Optimum Yield Enhanced ("OY Enhanced") technology, which provides exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield. Exposure to the 3 contracts is assessed and rebalanced monthly -- Exposure to short-term contract (front month), medium-term and long-term contracts (pre- defined schedule based on liquidity) -- For livestock, exposure is to three-month forward contracts [] Transparency: Rule-based index with the closing level published daily on BloombeHrg (DBRCOSUE) 47 |
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Index replicates the S&P GSCI Light Energy by using OY Enhanced indices thereby providing similar commodity exposure while seeking to manage roll returns more effectively DB Commodity Booster OYE Benchmark Light Energy Index Construction Agriculture & Industrial Metal Precious Metal Energy Livestock 14.73% 1 5.96% 1 39.09% 1 40.25% 1 S&P GSCI Light Energy Apply Optimum Yield Enhanced Technology Optimize roll returns by providing exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield 48 |
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DB Commodity Booster OYE Benchmark Light Energy Notes: Index Sector Exposure (1) ------------------------- -------------------------- Sector Rebalance Weight (%) Energy 39.09 Precious Metal 5.96 Industrial Metal 14.73 Agriculture & Livestock 40.25 ------------------------- -------------------------- Performance Analysis 1 DB Commodity S&P-GSCI Light Jan 2004 - May 2014 Booster OYE DJUBS Energy Benchmark LE Annualized Returns 7.4% -0.1% 0.2% Volatility 16.9% 18.3% 19.1% Sharpe Ratio2 0.44 -0.01 0.01 Maximum Drawdown -55.3% -57.1% -60.9% Start Date Jul-08 Jul-08 Jul-08 End Date Mar-09 Mar-09 Feb-09 Max Monthly Consecutive Loss -52.3% -54.5% -58.0% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 56.7% / -48.7% 39.9% / -52.7% 48.2% / -55.8% Rolling 3 Months 24.5% / -41.1% 24.7% / -39.7% 26.1% / -44.6% Average Monthly Returns 0.7% 0.1% 0.2% % Months with Gains 58.4% 57.6% 55.2% Correlation DJUBS 0.94 1.00 0.97 S&P-GSCI Light Energy 0.98 0.97 1.00 Year on Year Performance Comparison 1 Annual Returns for Excess Return Indices --------------------------------------------------- DB Commodity Booster OYE S&P-GSCI Light Calendar Year Benchmark Light Energy DJUBS Energy 2004 24.74% 7.64% 7.31% 2005 34.84% 17.54% 15.51% 2006 12.68% -2.71% -3.77% 2007 20.90% 11.08% 17.16% 2008 -29.98% -36.61% -40.40% 2009 17.27% 18.72% 15.17% 2010 17.10% 16.67% 16.94% 2011 -1.82% -13.37% -7.27% 2012 1.65% -1.14% 1.59% 2013 -8.99% -9.58% -8.16% 2014 YTD 4.96% 6.43% 4.93% Annualized Return 7.38% -0.10% 0.18% ----------------- --------------------------- ------- --------------- 1 Source: Bloomberg. DB Commodity Booster OYE Benchmark Light Energy has been retrospectively calculated and did not exist prior to 30 November 2011 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Booster OYE Benchmark Light Energy Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 Statistics shown are for excess return indices. 49 |
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DB Commodity Curve Alpha ERAC Index Summary [] Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same base weights as the S&P GSCI Light Energy Index. Weights are rebalanced annually [] Market Neutral Strategy: For each constituent commodity, the Index provides long exposure to the single commodity OY Enhanced Index and volatility adjusted short exposure to the corresponding S&P GSCI Index. The Index seeks to provide market-neutral exposure, and to generate returns from carry using DB's Optimum Yield Enhanced methodology [] Volatility Weighting: Every month, the long leg exposure for each constituent commodity is reset to 100%. Exposure to the short leg is set to (--100%) * 3-month realized volatility of the single commodity OY Enhanced Index / 3-month realized volatility of the single commodity GSCI index [] Embedded Cost: 0.75% per annum [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCOAEC) 50 |
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DB Commodity Curve Alpha ERAC Strategy aims to generate alpha from roll returns by going long the single commodity OY Enhanced index and short volatility weighted exposure to the single commodity Benchmark Light Energy index Index Construction Constituent commodities Apply Optimum Yield Enhanced Technology [] Optimize roll returns by providing exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield OY Enhanced single commodity indices Long Exposure = 100% S&P GSCI single commodity indices S&P GSCI rolls each commodity to its nearest available futures contract Short exposure = 3-month realized volatility of single commodity OY Enhanced / 3-month realized volatility of single commodity GSCI Index Carry Strategy [] Market neutral equally weighted Long and Short positions to generate Alpha. Exposure to long Single commodity long-short basket and short legs rebalanced monthly to maintain market neutrality Provide same exposure to the single commodity long-short basket as in the S&P GSCI Light Energy Index. Weights are rebalanced annually DB Commodity Curve Alpha Subtract 0.75% fees per annum DB Commodity Curve Alpha ERAC 51 |
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DB Commodity Curve Alpha ERAC Performance Analysis Index Returns (1) Index Sector Exposure (1) 400 Sector Live Date: 30 Nov 2011 Rebalance Weight (%) 0 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 ---------- DB Commodity Booster OYE Benchmark Light Energy S&P-GSCI Light Energy DB Commodity Curve Alpha ERAC Performance Analysis (1) DB Commodity DB Commodity Return Indices S&P-GSCI Light Energy Jan 2004 -- May 2014 Curve Alpha Booster OYE ERAC Benchmark LE Annualized Returns 6.1% 7.4% 0.2% Volatility 2.5% 16.9% 19.1% Sharpe Ratio(2) 2.45 0.44 0.01 Maximum Drawdown -5.5% -55.3% -60.9% Start Date Jun-11 Jul-08 Jul-08 End Date Jan-14 Mar-09 Feb-09 Max Monthly Consecutive Loss -2.4% -52.3% -58.0% Start Date Feb-12 Jul-08 Jul-08 End Date Jul-12 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 19.4% / -4.1% 56.7% / -48.7% 48.2% / -55.8% Rolling 3 Months 6.7% / -2.4% 24.5% / -41.1% 26.1% / -44.6% Average Monthly Returns 0.5% 0.7% 0.2% % Months with Gains 66.4% 58.4% 55.2% Correlation DB Commodity Booster OYE Benchmark Light Energy 0.17 1.00 0.98 S&P-GSCI Light Energy 0.03 0.98 1.00 Year on Year Performance Comparison (1) Annual Returns for Excess DB Commodity Booster DB Commodity OYE Benchmark Light S&P-GSCI Light Calendar Year Curve Alpha ERAC Energy Energy 2003 16.21% 24.74% 7.31% 2004 17.04% 34.84% 15.51% 2005 10.63% 12.68% -3.77% 2006 5.83% 20.90% 17.16% 2007 11.82% -29.98% -40.40% 2008 2.31% 17.27% 15.17% 2009 0.57% 17.10% 16.94% 2010 3.98% -1.82% -7.27% 2011 -1.17% 1.65% 1.59% 2012 -2.21% -8.99% -8.16% 2013 YTD 0.53% 4.96% 4.93% Annualized Return 6.09% 7.38% 0.18% Notes: 1 Source: Bloomberg. DB Commodity Curve Alpha ERAC has been retrospectively calculated and did not exist prior to 30 November 2011 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Curve Alpha ERAC Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 52 |
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DB Commodity Curve Alpha ERAC 10 Index Summary [] Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same base weights as the S&P GSCI Light Energy Index. Weights are rebalanced annually [] Market Neutral Strategy: For each constituent commodity, the Index provides short exposure to the corresponding single commodity S&P GSCI Index and volatility adjusted long exposure to the OY Enhanced Index. The Index seeks to provide market-neutral exposure, and to generate returns from carry using DB's Optimum Yield Enhanced methodology [] Volatility Weighting: Every month, the long leg exposure for each constituent commodity is reset to 100%. Exposure to the short leg is set to (--100%) * 3-month realized volatility of the single commodity OY Enhanced Index / 3-month realized volatility of the single commodity GSCI index [] Target Volatility: DB Commodity Curve Alpha ERAC 10 Index varies exposure to the DB Commodity Curve Alpha ERAC Index with a view to target a volatility of 10%. Exposure is capped at 600%. [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCOCUE) 53 |
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DB Commodity Curve Alpha ERAC 10 Strategy aims to generate alpha from roll returns by going long the single commodity OY Enhanced index and short volatility weighted exposure to the single commodity Benchmark Light Energy index Index Construction Constituent commodities Apply Optimum Yield Enhanced Technology [] Optimize roll returns by providing exposure to 3 different contracts on each commodity's curve, with a view to maximizing volatility adjusted implied roll yield OY Enhanced single commodity indices Long Exposure = 100% S&P GSCI single commodity indices S&P GSCI rolls each commodity to its nearest available futures contract Short exposure = 3-month realized volatility of single commodity OY Enhanced / 3-month realized volatility of single commodity GSCI Index DB Commodity Curve Alpha ERAC 10 54 |
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DB Commodity Curve Alpha ERAC 10 Performance Analysis Index Returns 1 Index Sector Exposure 1 Live Date: 30 Nov 2011 Sector Rebalance Weight (%) Energy 39.09 Precious Metal 5.96 Industrial Metal 14.73 Agriculture & Livestock 40.25 ----------------------- -------------------------- DB Commodity Curve Alpha ERAC S&P-GSCI Light Energy DB Commodity Curve Alpha ERAC 10 Performance Analysis (1) DB Commodity Return Indices DB Commodity S&P-GSCI Light Jan 2004 -- May 2014 Curve Alpha Commodity S&P-GSCI Light Curve Alpha ERAC Energy ERAC 10 Annualized Returns 26.6% 6.1% 0.2% Volatility 10.1% 2.5% 19.1% Sharpe Ratio(2) 2.63 2.45 0.01 Maximum Drawdown -29.1% -5.5% -60.9% Start Date Aug-11 Jun-11 Jul-08 End Date Jan-14 Jan-14 Feb-09 Max Monthly Consecutive Loss -13.1% -2.4% -58.0% Start Date Feb-12 Feb-12 Jul-08 End Date Jul-12 Jul-12 Feb-09 Max/Min Returns Rolling 12 Months 129.6% / -20.7% 19.4% / -4.1% 48.2% / -55.8% Rolling 3 Months 37.2% / -12.4% 6.7% / -2.4% 26.1% / -44.6% Average Monthly Returns 2.1% 0.5% 0.2% % Months with Gains 66.4% 66.4% 55.2% Correlation DB Commodity Curve Alpha ERAC 0.96 1.00 0.03 S&P-GSCI Light Energy 0.04 0.03 1.00 Year on Year Performance Comparison (1) Annual Returns for Excess DB Commodity DB Calendar Year Curve Alpha ERAC 10Curve Alpha ERAC Energy 2003 93.81% 16.21% 7.31% 2004 97.40% 17.04% 15.51% 2005 56.71% 10.63% -3.77% 2006 28.09% 5.83% 17.16% 2007 50.11% 11.82% -40.40% 2008 4.87% 2.31% 15.17% 2009 4.96% 0.57% 16.94% 2010 11.37% 3.98% -7.27% 2011 -8.25% -1.17% 1.59% 2012 -12.80% -2.21% -8.16% 2013 YTD 2.99% 0.53% 4.93% Annualized Return 26.57% 6.09% 0.18% Notes: 1 Source: Bloomberg. DB Commodity Curve Alpha ERAC 10 has been retrospectively calculated and did not exist prior to 30 November 2011 (the "Live Date"). The index has very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before its Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DB Commodity Curve Alpha ERAC 10 Index would have been lower than the Index as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for more information. 2 ERAC = Excess Return After Cost. Statistics shown are either for excess return indices or ERAC indices. 55 |
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Appendix Appendix 1 56 |
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Types of Returns in a Commodity Index Total Return vs. Excess Return Stock and Bond returns come from two sources: [] Underlying price movement [] Dividends (Stocks) or Coupons (Bonds) Commodity returns come from three sources: [] Collateral Yield [] Interest earned on capital held as collateral [] Spot Return [] Change in front month futures contract [] Roll Return [] Process of buying a futures contract at a premium (negative roll) or discount (positive roll) to the spot price Excess Return = Spot Return + Roll Return Total Return = Excess Return + Collateral Yield Collateral yield of 3-Month US Treasury Bills is added to the DB Commodity excess return version indices to create the DB Commodity total return version 57 |
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Mean Reversion [] As illustrated below, the mean reversion methodology overweights "cheap" commodities and underweights "expensive" commodities based on their respective 5y moving average price vs. 1y moving average price Historical Commodity Allocation of the DBLCI -MR from 2006 to 2011 100% 100% 90% 80% 80% 70% 60% 60% 50% 40% 40% 20% 30% 20% BLCI-MR 0% 10% Outperformance (Jan-01) Jan-03 Jan-05 Jan-07 Jan-09 Jan-11 0% to DBLCI Energy Industrial Metals Precious Metals Agriculture Dec-05Jun-06Dec-06Jun-07Dec-07Jun-08Dec-08Jun-09Dec-09Jun-10Dec-10Jun-11 Outperformance Year (%) Crude Oil Heating Oil Gold Aluminum Wheat Corn 2006 36.15 2007 7.82 2008 4.17 2009 12.12 2010 1.30 2011 -1.34 2012 2.54 2013 0.53 2014 YTD -0.22 [] Heavy investment in Corn and Wheat as agricultural commodities are the most historically undervalued. Captures the 2006 Ags rally. Underweighting in Energy also contributed to good performance as energy prices declined significantly in 2006 [] In 2008 the index increased its weight to Aluminum and reduced its weight to Energy, which was then at historical highs. In retrospect, while the under-weighting in Energy was a good decision, the overweight in Aluminum was not, as Aluminum prices declined significantly [] In 2009 the index was overweight in agricultural commodities are the most Aluminum and reduced its weight to historically undervalued. Captures the Energy, which was then at historical highs. Aluminum and Oil and gained from rallies in 2006 Ags rally. Underweighting in In retrospect, while the under-weighting in both. However, it was underweight in Gold Energy also contributed to good Energy was a good decision, the and missed out on the Gold rally performance as energy prices declined overweight in Aluminum was not, as significantly in 2006 Aluminum prices declined significantly Source: Bloomberg Notes: 1 Past performance is not a guarantee of future results 2 The Mean Reversion strategy may not always result in outperformance to benchmark commodity indices. As a long-only commodity index, if all underlying commodity prices fall, the DBLCI -- Mean Reversion will also likely result in a negative performance 3 Data is as of 30 May, 2014. DBLCI and DBLCI-MR are calculated retrospectively prior to their Index Live Dates 58 |
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MR+ Retrospective lookback over 12 periods MR+ Retrospective lookback over 12 periods DBLCI-MR PlusTM Excess Return is a dynamic allocation strategy based on the performance of the DBLCI-MRTM Excess Return Index Mandatory rebalancing takes place on a monthly basis At each monthly rebalancing, the allocation in the DBLCI-MRTM Excess Return strategy is determined based on the performance of the DBLCI-MRTM Excess Return over the previous 12 months Twelve performance indicators are built, reflecting the performance of DBLCI-MRTM Excess Return over previous 12-months, 11-months, 10-months 3-months, 2-months, 1-month The allocation or component weight to commodities is proportional to the number of times TM R e b a la n c e D a te R e b a la n c e D a te m i n u s 1 m R e b a la n c e D a te m in u s 1 2 m o n th s R e b a l a n c e D a te M 1 2 , C 1 2 M 1 , C 1 the DBCLI-MR Excess Return performance is greater than zero. The current allocation is 50.0% (see table) Rules based momentum strategy with no human intervention, only execution The allocation can be as low as 0% and as high as 100% DBLCI-MR (Lookback Returns as of 8th May 2014) 1 Month -0.6% 2 Month 2.0% 3 Month 5.8% 4 Month 8.8% 5 Month 3.9% 6 Month 4.0% 7 Month -1.6% 8 Month -1.9% 9 Month -0.7% 10 Month -0.9% 11 Month 0.1% 12 Month -0.6% Notes: Returns are calculated as of 6(th) business day of each month, from May 2013 to May 2014. 59 |
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Optimized Yield Contract Selection to Create an "Optimal Yield" Contract selection and roll return can have a significant impact in the overall return of the index [] Deutsche Bank's proprietary optimum yield ("OY") technology rolls into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months Contract Expiry Date [] Longer dated contracts typically have less negative carry when the curve slopes upward (contango) Greater Roll Yield Futures Price Less Roll Yield Contract Expiry Date [] Shorter dated contracts typically offer greater positive carry when the curve slopes downward (backwardation) 60 |
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Optimized Yield Index Contract Selection [] When: The OY index rolls out of a currently held contract one month prior to delivery month of the contract [] New Contract Selection: -- the new contract is selected on the first business day of the month from the list of eligible contracts -- eligible contracts for selection are contracts with delivery months 2 months after current month to 13 months after current month -- the eligible contract with the highest annualized implied roll yield is selected. If two or more contracts are tied for the maximum roll yield, the contract with the shorter tenor is selected 61 |
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Optimized Yield Index Contract Selection (Cont'd) [] Implied Roll Yield measurement: -- implied roll yield for each eligible contract is measured as: [] 1 [] --- [] [] PC (t, b )[][] F (t ,i ,b ) [] [] ------------------------------------ Y (t, i) = [] ( ) [] [] [] 1 [] PC t, i -- Y(t,i): on any day t, the implied roll yield for entering into the commodity futures contract with exchange expiration month i -- PC(t,b): Closing price of the base commodity future b -- PC(t,i): Closing price of any eligible futures contract i -- F(t,i,b): Fraction of year between expiry dates of the base futures contract b and the futures contract with exchange expiration month i. Calculated as number of calendar days between dates divided by 365 -- b: Base commodity future is the commodity future currently in the index [] Roll Period is 2nd to 5th business days of the month [] OY index rolls a specified number of units of the commodity every day during the roll period 62 |
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Optimum Yield Annualized Excess returns from Jan 2004 to May 2014. Most Optimum Yield indices have outperformed corresponding front-month rolling indices Energy Sector Base Metals Sector Agriculture Sector Precious Metals Sector Gold Silver DB OY Indices S&P GSCI Indices DB OY Indices S&P GSCI Indices Notes: 1 All indices have been retrospectively calculated and did not exist prior to 31 May 2006 (the "Live Date"). Indices have very limited performance history and no actual investment which allowed tracking of the performance of these Indices was possible before their Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Indices will perform in the future. See Risk Considerations for more information. 2 Data from 31 Dec 2003 till 30 May 2014. Source: Bloomberg 63 |
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Target Volatility Applying Volatility Targeting to Potentially Control Risk Step I Rebalancing Realized Volatility Monitoring Once a Month Based on Last 90 Days Returns 3 Month Realized Volatility Month (Annualized %) 12 10.00 13 12.50 14 5.00 Numerical Example: Volatility Target = 15% 15 7.50 16 15.00 17 20.00 18 30.00 --- Step II Volatility Based Participation: Participation = Target Volatility / Realized Volatility, subject to certain maximum and minimum Vol Target Allocation (%) 150.00 120.00 300.00 200.00 100.00 75.00 50.00 Step III Vol Target Index Return = Participation x Underlying Index Return Underlying Volatility Index Return Target Return (%) (%) +5.00 +7.50 --1.00 --1.20 +3.00 +9.00 --2.00 --4.00 --5.00 --5.00 +1.00 +0.75 --10.00 --5.00 64 |
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Risk-Parity Technology [] On each rebalance date we calculate the total index risk, Rp , on that date according to the formula 4 4 RP = [][]Wi Wj [] i [] j []ij i=1 j=1 [] Where the volatility and dollar-weighting of the i(t)(h) sector index is given by i i, respectively, and the correlation ([]) (and W) between the indices is given by ([])ij. To calculate ([])i and ([])ij we have used 90-day historical levels based on log returns [] The amount of risk contributed, RCi , to the portfolio by the i(th) sector index is then calculated according to 4 Wi [] i[]Wj [] j []ij RCi = j=1 RP [] We then solve the above set of non linear equations for each (W)i with the following constraints 1) (W)i [] 0 for each i 2) (RC)1 (= RC)2 (= RC)3 (= RC)4 3) (R)P = TV, where TV is some pre-defined target level of portfolio risk [] Constraints 1) and 2) above are necessary and sufficient for any risk-parity formulation, but using only these two constraints leaves one degree-of-freedom open. Constraint 3) above fixes this final degree-of-freedom by imposing an overall leverage on the index in an attempt to target a constant level of (user-specified) risk within the portfolio of sector exposures 65 |
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Overview of OY Enhanced [] For each commodity, exposure is provided to 3 sub-indices : -- Short-Term Index: invests in the front month contract - the same as GSCI contract -- Medium-Term Index: invests in a long-term liquid contract -- Long-Term Index: invests in an even longer-term liquid contract [] Roll: Each sub-index rolls into its target contract between the 2(nd) and 6(th) business days of each month [] Rebalance: Exposure to each sub-index is computed at the close of the 1st business day of each month. Rebalance is implemented at the close of the 2(nd) business day of the month 66 |
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Construction of OY Enhanced [] The Optimum Yield Enhanced (OYE) indices diversify their exposure over three points of the relevant commodity's forward curve , the short term contract, the medium term contract and the long term contract [] The methodology considers implied roll yields as well as historical volatility of curve shape to determine the exposure to be provided to the 3 different contracts. [] Exposure to the three contracts is rebalanced on a monthly basis, thereby providing the flexibility to react to any change in curve shape. 67 |
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OY Enhanced Roll [] Choice of contracts for each component index is illustrated with Sugar below [] Table above shows the contracts into which each index will roll in the month mentioned in the top row[] Short-Term Index: [] Rolls into H contract in Jan, K in Feb, etc. In Sep, it rolls into H contract of the next year. [] This roll schedule matches the S&P GSCI index roll schedule (roll period for the 2 indices is different --GSCI rolls between 5(th) and 9th business days of the month; OYE rolls between 2nd and 6th business days of the month) [] Medium-Term Index: [] For each commodity, 2 named contracts per year are specified as Liquid Contracts. For Sugar, these are H and V. [] The Medium-Term contract provides exposure to the first Liquid Contract available whose delivery month is after the Short-term Index contract's delivery month [] Long-Term Index: [] Provides exposure to the first Liquid Contract available whose delivery month is after the Medium-Term Index's delivery contract [] Unnecessary trading is avoided by maintaining continuity in contract exposures. E. g. In Jun, the Long- term Index rolls out of H * contract, the Medium-Term Index rolls out of V and into H *, and the Short- Term Index rolls into V. As a result, exposure is maintained to the H * and V contracts (although there might be a change in weights due to a change in Sharpe Ratios) 68 |
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The rebalance calculation is performed at the end of the 1(st) business day of every month OY Enhanced Rebalance [] For each commodity, exposure across the 3 sub-indices is computed as follows 1. Compute Implied Roll Return for each sub-index [] Price of Spot Contract [] (1/T ) Implied Roll Return = [] [] [] [] []1 []Price of Target Contract [] [] Spot Contract: Contract Short-Term Index rolled into in the previous month [] Target Contract: Contract Short-Term Index will roll into in the current month. If this is the same as Spot Contract, then it is replaced by the next available GSCI contract [] T: Days between expiry dates of Target Contract and Spot Contract / 365 2. Compute Volatility for each sub-index [] Compute daily returns, r(s), of the Spot Contract for last 61 business days [] Compute daily returns, r(t), of the Target Contract for last 61 business days [] Compute spread returns: r(spread) = r(t) -- r(s) [] Compute annualized volatility of spread returns 3. Compute Sharpe Ratio for each sub-index Implied Roll Return Sharpe Ratio = Volatility 4. Transform Sharpe Ratio of each sub-index to a Probability Measure [] Probability Measure = Cumulative probability on a standard normal distribution for the computed Sharpe Ratio. The higher the Sharpe Ratio, the higher will be the Probability Measure. In this way, a Sharpe Ratio which can be negative or positive is transformed to a measure that is always positive and lies between 0 and 1. 5. Compute Exposures [] Normalize the Probability Measures so they add to 100% [] Exposure to each sub-index = the normalized Probability Measure 69 |
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Liquid Contracts for Optimum Yield Enhanced Indices Commodity Liquid Contracts WTI Crude Oil Jun Dec Natural Gas Jan Jul Heating Oil Jun Dec RBOB Gasoline Jun Dec Brent Crude Oil Jun Dec Gas Oil Jun Dec Gold Jun Dec Silver Jul Dec Soybeans Jul Nov Corn Jul Dec Wheat Jul Dec Soybean Oil Jul Dec Sugar Mar Oct Coffee Jul Dec Cotton Jul Dec Kansas Wheat Jul Dec Cocoa Mar Dec Copper Jun Dec Aluminum Jun Dec Zinc Jun Dec Nickel Jun Dec Lead Jun Dec 70 |
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Comparative Performance Statistics Annualized Returns for Various Indices YTD Return [] 1 Year Return 3 Year Return Beta Allocation Indices DBLCI (TM) 2.82% -0.99% -5.22% 1.83% S&P GSCI (TM) 3.50% 7.10% -1.96% 3.29% DJ-UBSCI (SM) 6.43% 1.92% -6.78% 1.38% Optimum Yield Based Indices DB Commodity Booster -- DJUBS ERAC 4.37% -1.24% -7.18% 1.75% DB Commodity Booster DJUBS -- TV14 ERAC 9.14% 1.54% -8.16% 0.11% DB Commodity Booster -- Benchmark 2.85% 5.44% -2.48% 3.82% Mean Reversion Based Indices DBLCI-MR 2.59% -1.48% -5.11% 4.75% DBLCI -- Mean Reversion Enhanced ex NG ERAC 6.48% 0.60% -6.11% 5.83% DBLCI MR Enhanced 15 13.80% 5.29% -7.43% -0.88% DBLCI MR+ -1.09% -4.32% -7.41% -1.00% Market Neutral Indices DB Commodity Harvest ERAC -1.21% -2.66% -1.58% -0.86% DB Commodity Harvest -- 10 ERAC -6.01% -11.97% -8.40% -5.00% DB Commodity Backwardation Alpha 22 -7.89% -4.30% 2.23% 4.45% DB Commodity Risk Parity 18 3.58% -7.29% -12.56% 0.78% Optimum Yield Enhanced Based Indices DB Commodity Booster OYE DJUBS 5.98% 0.78% -5.70% 3.37% DB Commodity Booster OYE Benchmark LE 4.96% 2.22% -4.20% 3.97% DB Commodity Curve Alpha ERAC 0.53% -0.59% -1.16% 0.42% DB Commodity Curve Alpha ERAC 10 2.99% -3.88% -7.58% -0.46% Other Asset Classes Equities (S&P 500) 4.97% 18.72% 15.49% 18.37% Fixed Income (US Govt. All Total Return) 3.66% 3.13% 4.06% 4.09% 5 Year Return 10 Year Return Volatility [] Sharpe Ratio 1.56% 22.46% 0.07 -2.16% 24.67% -0.09 -1.16% 18.40% -0.06 3.59% 17.05% 0.21 4.57% 14.60% 0.31 5.03% 22.04% 0.23 6.14% 21.09% 0.29 9.31% 20.30% 0.46 6.01% 15.34% 0.39 5.12% 14.73% 0.35 3.61% 3.09% 1.17 10.04% 10.63% 0.94 17.78% 13.90% 1.28 9.74% 19.38% 0.50 6.28% 16.14% 0.39 6.02% 17.09% 0.35 5.64% 2.48% 2.28 24.43% 10.12% 2.41 7.76% 20.43% 0.38 4.63% 2.71% 1.71 Notes: Statistics shown for "Other asset classes" are computed using Total Return Indices. Sharpe Ratio for these indices is computed using a threshold return of zero. All indices have been retrospectively calculated and did not exist prior to their respective Live Date. Indices have very limited performance history and no actual investment which allowed tracking of the performance of these Indices was possible before their Live Date. Accordingly, the results shown before the Live Date are hypothetical and do not reflect actual returns. Past performance is not necessarily indicative of how the Indices will perform in the future. Data till 30 May 2014. See Risk Considerations for more information. 1 Annualised return based on total return, excess return and ERAC 2 Annualised vol of the daily lognormal returns 71 |
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Products Structures with Vanilla DB Commodity Indices Delta 1 Structures Optionality DB Commodity Booster -- DJUBS ERAC [] [] DB Commodity Booster DJUBS -- TV14 ERAC [] [] DB Commodity Booster -- Benchmark [] [] DBLCI-MR [] DBLCI-MR+ [] DBLCI -- Mean Reversion Enhanced ex NG ERAC [] [] DB MR Enhanced 15 [] [] DB Commodity Harvest ERAC [] [] DB Commodity Harvest -- 10 ERAC [] [] DB Commodity Backwardation Alpha 22 Index [] DB Commodity Risk Parity 18 Index [] DB Commodity Booster OYE DJUBS [] DB Commodity Booster OYE Benchmark Light Energy [] DB Commodity Curve Alpha ERAC [] DB Commodity Curve Alpha ERAC 10 [] 72 |
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Market Data Sources Bloomberg Tickers and Index Live Dates Bloomberg Ticker S&P GSCI Index SPGCCIP S&P GSCI Light Energy SPGSLEP DJUBS DJUBS DBLCI DBLCMACL DBLCI-MR DBLCMMCL DBLCI -- Mean Reversion Enhanced ex NG ERAC DBLCMNGU DB MR Enhanced 15 DBLCMTEU DBLCI-MR+ DBLCMPUE DB Commodity Booster -- Benchmark DBCMBSEU DB Commodity Booster -- Benchmark Light Energy DBCMBLEU DB Commodity Booster -- DJUBS ERAC DBCMBDEN DB Commodity Booster DJUBS -- TV14 ERAC DBCMBTVN DB Commodity Harvest ERAC DBLCHNUE DB Commodity Harvest -- 10 ERAC DBCMHVEG DB Commodity Booster OYE DJUBS DBCMODUE DB Commodity Booster OYE Benchmark Light Energy DBRCOSUE DB Commodity Curve Alpha ERAC DBRCOAEC DB Commodity Curve Alpha ERAC 10 DBRCOCUE DB Commodity Risk Parity 18 Index DBCMRPTV DB Commodity Backwardation Alpha 22 Index DBRCBWUE Equities (S&P 500) Total Return SPTR Fixed Income Total Return JHDCGBIG Index Live Date 28 February 03 28 February 03 30 August 2012 28 September 09 20 June 07 15 December 07 15 December 07 12 October 10 12 October 10 14 October 08 14 October 08 31 October 11 30 November 11 30 November 11 30 November 11 12 December 2010 15 October 2012 73 |
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Optimized Yield Available Indices ------------------------------------ ---------------- --------------- Commodity Contract Expiry Date Bloomberg Ticker Index Live Date Energy WTI Crude Oil 19-Dec-14 DBLCOCLE Index 31 May 06 Brent Crude Oil 13-Nov-14 DBLCYECO Index 31 May 06 Heating Oil 29-May-15 DBLCOHOE Index 31 May 06 RBOB Gasoline 28-Nov-14 DBLCYERB Index 31 May 06 Gasoil 10-Jul-15 DBLCYEGO Index 31 May 06 Natural Gas 26-Sep-14 DBLCYENG Index 31 May 06 Base Metals Aluminum 15-Oct-14 DBLCOALE Index 31 May 06 Copper 20-Aug-14 DBLCYECU Index 31 May 06 Zinc 17-Dec-14 DBLCYEZN Index 31 May 06 Nickel 17-Sep-14 DBLCYENI Index 31 May 06 Lead 18-Feb-15 DBLCYEPB Index 31 May 06 Precious Metals Gold 27-Aug-14 DBLCOGCE Index 31 May 06 Silver 28-Jan-15 DBLCYESI Index 31 May 06 Agriculture Wheat 14-Jul-15 DBLCOWTE Index 31 May 06 Kansas Wheat 14-Jul-15 DBLCYEKW Index 31 May 06 Corn 12-Dec-14 DBLCOCNE Index 31 May 06 Soybean 14-Nov-14 DBLCYESS Index 31 May 06 Cotton 08-Dec-14 DBLCYECE Index 31 May 06 Sugar 30-Jun-15 DBLCYESB Index 31 May 06 Coffee 19-Mar-15 DBLCYEKC Index 31 May 06 Cocoa 15-Dec-14 DBLCYECC Index 31 May 06 --------------- -------------------- ---------------- --------------- Source: DBIQ Notes: 1 Bloomberg Tickers shown are for Excess Return version of the indices 2 Data as of 30 May 2014 74 |
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Risk Considerations [] The information contained in this presentation does not provide personal investment advice. You should consult with independent accounting, tax, legal and regulatory counsel regarding such matters as they may apply to your particular circumstances Strategy Risk [] The DB Commodity Harvest Indices adopt a market neutral strategy by taking a long position in a specified booster index and a short position in a specified benchmark index. However, this market neutral strategy may not be successful, and each index may not be able to achieve its desired objective[] The Optimum Yield and Optimum Yield Enhanced strategies described herein aim to maximize the potential roll benefits in backwardated markets and minimize potential roll losses in contango markets by purchasing the relevant new futures contracts that would generate the maximum implied roll yield. However, indices employing the Optimum Yield and Optimum Yield Enhanced strategies may not be successful in achieving the desired objective[] The Target Volatility strategy described herein aims to achieve a specified realized volatility in the base index by adjusting the level of participation based on the historical realized volatility of the base index. However, indices employing the Target Volatility strategy may not be successful in achieving the desired objective[] The Mean Reversion strategy described herein aims to maximize returns by over-weighting relatively cheap commodities and under-weighting relatively expensive commodities. However, indices employing the Mean Reversion strategy may not be successful in achieving the desired objective[] The Risk Parity strategy described herein aims to provide exposure to four commodity sector indices such that risk contribution of each to the resulting portfolio, determined based on past three months' realized volatilities and correlations, is equal. However, indices employing the Risk Parity strategy may not be successful in achieving the desired objective [] The DB Commodity Backwardation Alpha 22 Index adopts a long-short strategy of taking a long position in 11 of the 22 index commodities with the highest positive roll yields in backwardated markets (or the lowest negative roll yields in contango markets), in conjunction with the Optimum Yield Enhanced strategy described herein, and taking a short position in the remaining 11 index commodities. However, the long-short strategy and Optimum Yield Enhanced strategy employed by the DB Commodity Backwardation Alpha 22 Index may not be successful, and the index may not be able to achieve its desired objective 75 |
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Risk Considerations (Cont'd) [] Commodities are speculative and highly volatile and the risk of loss from investing in financial instruments linked to commodities or commodity indices can be substantial Past Performance [] An index's performance is unpredictable, and past performance is not indicative of future performance. We give no representation or warranty as to the future performance of any index or investment[] Some of the indices described herein have very limited performance history Index Comparison [] In this document, various performance-related statistics, such as index return and volatility, among others, of each Deutsche Bank proprietary index included herein are compared with those of their related Deutsche Bank and/or non- Deutsche Bank indices. Such comparisons are for information purposes only. No assurance can be given that such Deutsche Bank proprietary indices included herein will outperform their related Deutsche Bank and/or non-Deutsche Bank indices in the future; nor can assurance be given that such Deutsche Bank proprietary indices will not significantly underperform their related Deutsche Bank and/or non-Deutsche Bank indices in the future. Similarly, no assurance can be given that the relative volatility levels of such Deutsche Bank proprietary indices and their related Deutsche Bank and/or non-Deutsche Bank indices will remain the same in the future Backtesting [] Backtested, hypothetical or simulated performance results discussed herein have inherent limitations. The index methodology of each index was designed, constructed and tested using historical market data and based on knowledge of factors that may have possibly affected its performance. The returns of an index prior to such index's Live Date were achieved by means of a retroactive application of such backtested index methodology designed with the benefit of hindsight. Taking into account historical events, the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid and do not account for all financial risk that may affect the actual performance of an investment. Past hypothetical backtested results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis contained herein 76 |
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Important Notes Additional Information (including index methodology and rules) about the Deutsche Bank proprietary indices discussed in this presentation is available upon request by calling (212) 250-0703 Deutsche Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents that Deutsche Bank AG has filed with the SEC for more complete information about Deutsche Bank AG and any such offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Deutsche Bank AG, any agent or any dealer participating in the offering will arrange to send you the prospectus if you so request by calling toll-free 1-800-311-4409 S&P GSCI SM Disclaimer Any securities Deutsche Bank AG may issue from time to time and this presentation are not sponsored, endorsed, sold or promoted by Standard & Poor's, a division of The McGraw -Hill Companies, Inc. ("S&P") . Standard & Poor's does not make any representation or warranty, express or implied, to the owners of any securities or any member of the public regarding the advisability of investing in any securities or the ability of S&P GSCI Index to track general commodity market performance. S&P's only relationship to Deutsche Bank AG is the licensing of certain trademarks and trade names of S&P and of S&P GSCI Index, which indices are determined, composed and calculated by S&P without regard to Deutsche Bank AG or any securities. S&P has no obligation to take the needs of Deutsche Bank AG or the owners of any securities into consideration in determining, composing or calculating S&P GSCI Index. S&P is not responsible for and have not participated in the determination of the timing of, prices at, or quantities of any securities to be issued or in the determination or calculation of the equation by which the S&P GSCI Index is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of any securities. S&P DOES NOT GUARANTEE THE ACCURACY AND / OR THE COMPLETENESS OF S&P GSCI INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY DEUTSCHE BANK AG, OWNERS OF SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF S&P GSCI INDEX OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE S&P INDICES OR DEUTSCHE BANK'S VARIATIONS OF S&P INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. S&P GSCI Index is a trademark of The McGraw -Hill Companies, Inc. and has been licensed for use by Deutsche Bank AG. 77 |
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Important Notes DJ-UBSCISM Disclaimer "Dow Jones([R])", "DJ", "UBS," "DJ-UBSCI(SM)" are service marks of Dow Jones & Company, Inc. ("Dow Jones") and UBS AG ("UBS AG"), as the case may be, and have been licensed for use for certain purposes by Deutsche Bank AG Any securities which Deutsche Bank AG may offer from time to time are not sponsored, endorsed, sold or promoted by Dow Jones, UBS AG, UBS Securities LLC ("UBS Securities") or any of their subsidiaries or affiliates. None of Dow Jones, UBS AG, UBS Securities or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners of or counterparts to any securities or any member of the public regarding the advisability of investing in any securities or commodities. The only relationship of Dow Jones, UBS AG, UBS Securities or any of their subsidiaries or affiliates to the Licensee is the licensing of certain trademarks, trade names and service marks and of the DJ-UBSCI(SM), which is determined, composed and calculated by Dow Jones in conjunction with UBS Securities without regard to Deutsche Bank AG or any securities. Dow Jones and UBS Securities have no obligation to take the needs of Deutsche Bank AG or the owners of any securities into consideration in determining, composing or calculating DJ-UBSCI(SM). None of Dow Jones, UBS AG, UBS Securities or any of their respective subsidiaries or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of any securities to be issued or in the determination or calculation of the equation by which any securities are to be converted into cash. None of Dow Jones, UBS AG, UBS Securities or any of their subsidiaries or affiliates shall have any obligation or liability, including, without limitation, to securities' customers, in connection with the administration, marketing or trading of any securities. Notwithstanding the foregoing, UBS AG, UBS Securities and their respective subsidiaries and affiliates may independently issue and/or sponsor financial products unrelated to any securities issued by Licensee, but which may be similar to and competitive with such securities. In addition, UBS AG, UBS Securities and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including the Dow Jones-UBS Commodity Index(SM) and Dow Jones-UBS Commodity Index Total Return(SM)), as well as swaps, options and derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible that this trading activity will affect the value of the Dow Jones-UBS Commodity Index(SM) and any securities Deutsche Bank AG may issue from time to time. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES -UBS COMMODITY INDEX(SM) OR ANY DATA RELATED THERETO, AND NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY DEUTSCHE BANK AG, OWNERS OF ANY SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES -UBS COMMODITY INDEX(SM) OR ANY DATA RELATED THERETO. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES -UBS COMMODITY INDEX(SM) OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS AMONG DOW JONES, UBS SECURITIES AND DEUTSCHE BANK AG, OTHER THAN UBS AG. "Dow Jones([R])", "DJ", "UBS([R])" "Dow Jones-UBS Commodity Index(SM)" are service marks of Dow Jones & Company, Inc. and UBS AG, as the case may be, and have been licensed for use for certain purposes by Deutsche Bank. The DB Commodity Booster OYE DJUBS and DB Commodity Booster -- DJUBS ERAC, which is based in part on the Dow Jones-UBS Commodity Index, is not sponsored or endorsed by Dow Jones & Company, Inc. or UBS Securities LLC, but is published with their consent. 78 |
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