-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, IO7IBeKdEbKRYXUhr6brc3zzmc+NJIGAOt2BgpznaaSp1ai9RTTmegU9WElmc7xH fUNNZqp99kCp3N5WY3zGig== 0001193125-09-080728.txt : 20090416 0001193125-09-080728.hdr.sgml : 20090416 20090416163808 ACCESSION NUMBER: 0001193125-09-080728 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 15 FILED AS OF DATE: 20090416 DATE AS OF CHANGE: 20090416 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PowerShares DB Energy Fund CENTRAL INDEX KEY: 0001383062 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778060 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-14 FILM NUMBER: 09754070 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB AGRICULTURE MASTER FUND CENTRAL INDEX KEY: 0001383081 IRS NUMBER: 870778079 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-01 FILM NUMBER: 09754083 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: POWERSHARES DB AGRICULTURE FUND CENTRAL INDEX KEY: 0001383082 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778078 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-09 FILM NUMBER: 09754075 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB BASE METALS MASTER FUND CENTRAL INDEX KEY: 0001383083 IRS NUMBER: 870778076 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-02 FILM NUMBER: 09754082 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: POWERSHARES DB BASE METALS FUND CENTRAL INDEX KEY: 0001383084 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778075 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-10 FILM NUMBER: 09754074 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB SILVER MASTER FUND CENTRAL INDEX KEY: 0001383086 IRS NUMBER: 870778074 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-03 FILM NUMBER: 09754081 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB Gold Master Fund CENTRAL INDEX KEY: 0001383056 IRS NUMBER: 870778071 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-04 FILM NUMBER: 09754080 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB Multi-Sector Commodity Master Trust CENTRAL INDEX KEY: 0001367305 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-08 FILM NUMBER: 09754076 BUSINESS ADDRESS: STREET 1: C/O DB COMMODITY SERVICES LLC STREET 2: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: (212) 250-5883 MAIL ADDRESS: STREET 1: C/O DB COMMODITY SERVICES LLC STREET 2: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10005 FORMER COMPANY: FORMER CONFORMED NAME: DB Multi-Sector Master Trust DATE OF NAME CHANGE: 20060623 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PowerShares DB Multi-Sector Commodity Trust CENTRAL INDEX KEY: 0001367306 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501 FILM NUMBER: 09754068 BUSINESS ADDRESS: STREET 1: C/O DB COMMODITY SERVICES LLC STREET 2: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: (212) 250-5883 MAIL ADDRESS: STREET 1: C/O DB COMMODITY SERVICES LLC STREET 2: 60 WALL STREET CITY: NEW YORK STATE: NY ZIP: 10005 FORMER COMPANY: FORMER CONFORMED NAME: DB Multi-Sector Commodity Trust DATE OF NAME CHANGE: 20060626 FORMER COMPANY: FORMER CONFORMED NAME: DB Multi-Sector Trust DATE OF NAME CHANGE: 20060623 FILER: COMPANY DATA: COMPANY CONFORMED NAME: POWERSHARES DB SILVER FUND CENTRAL INDEX KEY: 0001383054 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778072 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-11 FILM NUMBER: 09754073 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PowerShares DB Gold Fund CENTRAL INDEX KEY: 0001383055 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778067 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-12 FILM NUMBER: 09754072 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PowerShares DB Precious Metals Fund CENTRAL INDEX KEY: 0001383057 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778065 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-13 FILM NUMBER: 09754071 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PowerShares DB Oil Fund CENTRAL INDEX KEY: 0001383058 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 870778062 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-15 FILM NUMBER: 09754069 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB Precious Metals Master Fund CENTRAL INDEX KEY: 0001383059 IRS NUMBER: 870778066 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-05 FILM NUMBER: 09754079 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB Oil Master Fund CENTRAL INDEX KEY: 0001383060 IRS NUMBER: 870778063 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-06 FILM NUMBER: 09754078 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 FILER: COMPANY DATA: COMPANY CONFORMED NAME: DB Energy Master Fund CENTRAL INDEX KEY: 0001383061 IRS NUMBER: 870778061 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-150501-07 FILM NUMBER: 09754077 BUSINESS ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 BUSINESS PHONE: 212-250-5883 MAIL ADDRESS: STREET 1: 60 WALL STREET STREET 2: C/O DB COMMODITY SERVICES LLC CITY: NEW YORK STATE: NY ZIP: 10005 424B3 1 d424b3.htm SUPPLEMENT DATED APRIL 10, 2009 TO PROSPECTUS DATED JULY 14, 2008 Supplement dated April 10, 2009 to Prospectus dated July 14, 2008

Filed Pursuant to Rule 424(b)(3)
Registration Nos. 333-150501
333-150501-01
333-150501-02
333-150501-03
333-150501-04
333-150501-05
333-150501-06
333-150501-07
333-150501-08
333-150501-09
333-150501-10
333-150501-11
333-150501-12
333-150501-13
333-150501-14
333-150501-15

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

POWERSHARES DB ENERGY FUND

POWERSHARES DB OIL FUND

POWERSHARES DB PRECIOUS METALS FUND

POWERSHARES DB GOLD FUND

POWERSHARES DB SILVER FUND

POWERSHARES DB BASE METALS FUND

POWERSHARES DB AGRICULTURE FUND

DB MULTI-SECTOR COMMODITY MASTER TRUST

DB ENERGY MASTER FUND

DB OIL MASTER FUND

DB PRECIOUS METALS MASTER FUND

DB GOLD MASTER FUND

DB SILVER MASTER FUND

DB BASE METALS MASTER FUND

DB AGRICULTURE MASTER FUND

SUPPLEMENT DATED APRIL 10, 2009 TO

PROSPECTUS DATED JULY 14, 2008

This Supplement updates certain information relating to DB Commodity Services LLC, contained in the Prospectus dated July 14, 2008, as supplemented from time-to-time (the “Prospectus”) of PowerShares DB Multi-Sector Commodity Trust (the “Trust”), PowerShares DB Energy Fund, PowerShares DB Oil Fund, PowerShares DB Precious Metals Fund, PowerShares DB Gold Fund, PowerShares DB Silver Fund, PowerShares DB Base Metals Fund, PowerShares DB Agriculture Fund (the “Funds”), DB Multi-Sector Commodity Master Trust, DB Energy Master Fund, DB Oil Master Fund, DB Precious Metals Master Fund, DB Gold Master Fund, DB Silver Master Fund, DB Base Metals Master Fund and DB Agriculture Master Fund. All capitalized terms used in this Supplement have the same meaning as in the Prospectus.

Prospective investors in the Funds should review carefully the contents of both this Supplement and the Prospectus.

 

 

All information in the Prospectus is restated pursuant to this Supplement, except as updated hereby.

 

 

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this Supplement is truthful or complete. Any representation to the contrary is a criminal offense.

 

 

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

 

 

DB COMMODITY SERVICES LLC

Managing Owner


I. Pages 36 through 38 of the Prospectus are hereby deleted and replaced, in their entirety, with the following:

PERFORMANCE OF POWERSHARES DB ENERGY FUND (TICKER: DBE), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Energy Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $233,296,578

Net Asset Value as of February 28, 2009: $44,132,818

Net Asset Value per Share as of February 28, 2009: $18.39

Worst Monthly Drawdown: (28.36)% October 2008

Worst Peak-to-Valley Drawdown: (66.18)% June 2008 – February 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   (6.19 )   (1.17 )   0.08  

February

   (5.93 )   10.62     5.80  

March

     1.35     5.33  

April

     10.21     0.86  

May

     14.95     (0.92 )

June

     10.15     3.41  

July

     (12.21 )   2.26  

August

     (6.72 )   (4.07 )

September

     (11.32 )   7.78  

October

     (28.36 )   12.90  

November

     (14.60 )   (2.56 )

December

     (13.74 )**   4.95 ***
                  

Compound Rate of Return

   (11.76

(2 months

)%

)

  (40.74 )%   40.68 %

 

* The Worst Peak-to-Valley Drawdown from June 2008 – February 2009 includes the effect of the $0.44 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnote **.
** The December 2008 return of (13.74)% includes the $0.44 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (11.92)%.
*** The December 2007 return of 4.95% includes the $0.90 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 7.64%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB OIL FUND (TICKER: DBO), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Oil Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $306,983,666

Net Asset Value as of February 28, 2009: $124,220,832

Net Asset Value per Share as of February 28, 2009: $18.27

Worst Monthly Drawdown: (29.20)% October 2008

Worst Peak-to-Valley Drawdown: (65.43)% June 2008 – February 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   (5.87 )   (3.00 )   (2.08 )

February

   (4.30 )   10.99     6.13  

March

     0.30     4.77  

April

     12.33     (2.20 )

May

     12.65     (2.48 )

June

     11.73     4.58  

July

     (11.24 )   2.65  

August

     (5.82 )   (4.20 )

September

     (12.79 )   9.59  

October

     (29.20 )   15.62  

November

     (15.73 )   (2.39 )

December

     (11.79 )**   4.85 ***
                  

Compound Rate of Return

   (9.91

(2 months

)%

)

  (41.42 )%   38.48 %

 

* The Worst Peak-to-Valley Drawdown from June 2008 – February 2009 includes the effect of the $0.12 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnote **.
** The December 2008 return of (11.79)% includes the $0.12 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (11.27)%.
*** The December 2007 return of 4.85% includes the $1.28 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 7.93%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

 

1


PERFORMANCE OF POWERSHARES DB PRECIOUS METALS FUND (TICKER: DBP), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Precious Metals Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $202,551,080

Net Asset Value as of February 28, 2009: $128,558,524

Net Asset Value per Share as of February 28, 2009: $32.14

Worst Monthly Drawdown: (18.43)% October 2008

Worst Peak-to-Valley Drawdown: (31.88)% February 2008 – October 2008

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   6.02     10.18     4.04  

February

   1.97     7.34     2.77  

March

     (7.24 )   (1.87 )

April

     (5.36 )   2.10  

May

     2.30     (2.43 )

June

     3.99     (3.14 )

July

     (0.88 )   2.96  

August

     (12.05 )   (0.77 )

September

     2.59     16.86  

October

     (18.43 )   (5.36 )

November

     11.56     3.95  

December

     6.94 *   4.04 **
                  

Compound Rate of Return

   8.11

(2 months

%

)

  (3.88 )%   23.72 %

 

* The December 2008 return of 6.94% includes the $0.27 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was 7.91%.
** The December 2007 return of 4.04% includes the $0.60 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 5.58%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB GOLD FUND (TICKER: DGL), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Gold Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $175,550,236

Net Asset Value as of February 28, 2009: $102,724,770

Net Asset Value per Share as of February 28, 2009: $ 34.24

Worst Monthly Drawdown: (18.06)% October 2008

Worst Peak-to-Valley Drawdown: (26.80)% February 2008 – October 2008

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   4.85     9.67     3.44  

February

   1.48     5.14     2.44  

March

     (5.77 )   (1.02 )

April

     (5.92 )   2.86  

May

     2.54     (2.93 )

June

     4.17     (1.99 )

July

     (1.48 )   2.61  

August

     (9.22 )   0.68  

September

     5.49     9.81  

October

     (18.06 )   6.01  

November

     13.29     (1.26 )

December

     6.66 *   3.54 **
                  

Compound Rate of Return

   6.40

(2 months

%

)

  2.00 %   26.20 %

 

* The December 2008 return of 6.66% includes the $0.26 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was 7.52%.
** The December 2007 return of 3.54% includes the $0.81 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 5.84%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

 

2


PERFORMANCE OF POWERSHARES DB SILVER FUND (TICKER: DBS), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Silver Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $113,636,190

Net Asset Value as of February 28, 2009: $61,139,590

Net Asset Value per Share as of February 28, 2009: $23.52

Worst Monthly Drawdown: (23.42)% August 2008

Worst Peak-to-Valley Drawdown: (51.35)% February 2008 – October 2008

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   11.40     12.83     6.48  

February

   4.16     16.53     4.13  

March

     (12.95 )   (4.91 )

April

     (4.05 )   0.49  

May

     1.67     (0.26 )

June

     3.41     (7.80 )

July

     1.68     4.60  

August

     (23.42 )   (6.71 )

September

     (10.23 )   13.76  

October

     (20.75 )   3.92  

November

     4.72     (2.92 )

December

     8.74 *   2.02 **
                  

Compound Rate of Return

   16.03

(2 months

%

)

  (27.16 )%   11.32 %

 

* The December 2008 return of 8.74% includes the $0.22 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was 9.92%.
** The December 2007 return of 2.02% includes the $0.87 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 5.24%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB BASE METALS FUND (TICKER: DBB), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Base Metals Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $225,198,820

Net Asset Value as of February 28, 2009: $50,474,365

Net Asset Value per Share as of February 28, 2009: $11.47

Worst Monthly Drawdown: (27.29)% October 2008

Worst Peak-to-Valley Drawdown: (60.29)% July 2007 – January 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   (7.37 )   8.82     (5.84 )

February

   3.71     12.16     3.70  

March

     (5.59 )   1.88  

April

     (0.87 )   10.74  

May

     (4.54 )   (2.40 )

June

     3.92     (1.19 )

July

     (4.21 )   4.86  

August

     (6.74 )   (7.61 )

September

     (11.14 )   2.37  

October

     (27.29 )   (2.43 )

November

     (6.46 )   (5.95 )

December

     (11.29 )**   (8.98 )***
                  

Compound Rate of Return

   (3.94

(2 months

)%

)

  (45.73 )%   (12.00 )%

 

* The Worst Peak-to-Valley Drawdown from July 2007 – January 2009 includes the effect of the $0.96 per Share distribution made to Shareholders of record as of December 19, 2007, and the effect of the $0.28 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnotes ** and ***.
** The December 2008 return of (11.29)% includes the $0.28 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (9.21)%.
*** The December 2007 return of (8.98)% includes the $0.96 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was (5.01)%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

 

3


PERFORMANCE OF POWERSHARES DB AGRICULTURE FUND (TICKER: DBA), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Agriculture Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $3,670,423,110

Net Asset Value as of February 28, 2009: $1,205,150,589

Net Asset Value per Share as of February 28, 2009: $23.54

Worst Monthly Drawdown: (14.74)% September 2008

Worst Peak-to-Valley Drawdown: (43.49)% February 2008 – February 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   (3.62 )   12.47     3.44  

February

   (5.88 )   12.90     3.91  

March

     (12.43 )   (5.81 )

April

     0.27     (1.94 )

May

     (1.56 )   5.84  

June

     13.41     (0.04 )

July

     (10.36 )   (0.50 )

August

     (3.28 )   2.07  

September

     (14.74 )   10.20  

October

     (14.44 )   (0.17 )

November

     (4.41 )   4.94  

December

     5.10 **   6.56 ***
                  

Compound Rate of Return

   (9.29

(2 months

)%

)

  (20.91 )%   31.24 %

 

* The Worst Peak-to-Valley Drawdown from February 2008 – February 2009 includes the effect of the $0.45 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnote**.
** The December 2008 return of 5.10% includes the $0.45 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was 6.93%.
*** The December 2007 return of 6.56% includes the $0.45 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 7.89%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

Footnotes to Performance Information

1. “Aggregate Gross Capital Subscriptions” is the aggregate of all amounts ever contributed to the relevant pool, including investors who subsequently redeemed their investments.

2. “Net Asset Value” is the net asset value of each pool as of February 28, 2009.

3. “Net Asset Value per Share” is the Net Asset Value of the relevant pool divided by the total number of Shares outstanding with respect to such pool as of February 28, 2009.

4. “Worst Monthly Drawdown” is the largest single month loss sustained since inception of trading. “Drawdown” as used in this section of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. “Drawdown” is measured on the basis of monthly returns only, and does not reflect intra-month figures. “Month” is the month of the Worst Monthly Drawdown.

5. “Worst Peak-to-Valley Drawdown” is the largest percentage decline in the Net Asset Value per Share over the history of the relevant pool. This need not be a continuous decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns. “Worst Peak-to-Valley Drawdown” represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. For example, if the Net Asset Value per Share of a particular pool declined by $1 in each of January and February, increased by $1 in March and declined again by $2 in April, a “peak-to-valley drawdown” analysis conducted as of the end of April would consider that “drawdown” to be still continuing and to be $3 in amount, whereas if the Net Asset Value per Share had increased by $2 in March, the January-February drawdown would have ended as of the end of February at the $2 level.

6. “Compound Rate of Return” is calculated by multiplying on a compound basis each of the monthly rates of return set forth in the respective charts above and not by adding or averaging such monthly rates of return. For periods of less than one year, the results are year-to-date.

 

4


II. Pages 40 through 108 of the Prospectus are hereby deleted and replaced, in their entirety, with the following:

 

DESCRIPTION OF THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD EXCESS RETURN SECTOR

INDEXES

DBLCI and Deutsche Bank Liquid Commodity Index are trade marks of the Index Sponsor and are the subject of Community Trade Mark Nos. 3055043 and 3054996. Trade Mark applications in the United States are pending with respect to both the Trust and aspects of each Index. Any use of these marks must be with the consent of or under license from the Index Sponsor. The Fund, Master Fund and the Managing Owner have been licensed to use DBLCI and Deutsche Bank Liquid Commodity Index. The Index Sponsor does not approve, endorse or recommend the Fund, the Master Fund or the Managing Owner.

General

The Deutsche Bank Liquid Commodity Index–Optimum Yield Excess Return, or DBLCI-OYER, is intended to reflect the changes in market value over time, positive or negative, in certain sectors of commodities, or an Index. Each Index is (i) calculated on an excess return, or unfunded basis and (ii) rolled in a manner which is aimed at potentially maximizing the roll benefits in backwardated markets and minimizing the losses from rolling in contangoed markets. Each Index is comprised of one or more underlying commodities, or Index Commodities. The composition of Index Commodities with respect to each Index varies according to each specific sector that such Index intends to reflect. Each Index Commodity is assigned a weight, or Index Base Weight, which is intended to reflect the proportion of such Index Commodity relative to each Index.

Indexes and Covered Sectors

The Indexes track the following sectors:

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Excess Return, or DBLCI-OY Energy ER, is intended to reflect the energy sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Excess Return, or DBLCI-OY CL ER, is intended to reflect the changes in market value of the crude oil sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Excess Return, or DBLCI-OY Precious Metals ER, is intended to reflect the precious metals sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Excess Return, or DBLCI-OY GC ER, is intended to reflect the changes in market value of the gold sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Excess Return, or DBLCI-OY SI ER, is intended to reflect the changes in market value of the silver sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Excess Return, or DBLCI-OY Industrial Metals ER, is intended to reflect the base metals sector.

 

 

 

Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Excess Return, or DBLCI-OY Agriculture ER, is intended to reflect the agricultural sector.

DBLCI-OY CL ER, DBLCI-OY GC ER and DBLCI-OY SI ER are Indexes with a single Index Commodity, or Single Commodity Sector Indexes.

Each Index has been calculated back to a base date, or Base Date. On the Base Date the closing level of each Index, or Closing Level, was 100.

The sponsor of each Index is Deutsche Bank AG London, or Index Sponsor.

[Remainder of page left blank intentionally.]


 

5


SECTOR INDEXES OVERVIEW

 

Index

 

Index Commodity

 

Exchange (Contract Symbol)*

  Base Date   Index Base Weight

DBLCI-OY Energy ER

  Light, Sweet Crude Oil (WTI)   NYMEX (CL)   June 4, 1990     22.50%
  Heating Oil   NYMEX (HO)       22.50%
  Brent Crude Oil   ICE (LCO)       22.50%
  RBOB Gasoline   NYMEX (XB)       22.50%
  Natural Gas   NYMEX (NG)       10.00%

DBLCI-OY CL ER

  Light, Sweet Crude Oil (WTI)   NYMEX (CL)   December 2, 1988     100.00%

DBLCI-OY Precious Metals ER

  Gold   COMEX (GC)   December 2, 1988     80.00%
  Silver   COMEX (SI)       20.00%

DBLCI-OY GC ER

  Gold   COMEX (GC)   December 2, 1988     100.00%

DBLCI-OY SI ER

  Silver   COMEX (SI)   December 2, 1988     100.00%

DBLCI-OY Industrial Metals ER

  Aluminum   LME (MAL)   September 3, 1997     33.33%
  Zinc   LME (MZN)       33.33%
  Copper - Grade A   LME (MCU)       33.33%

DBLCI-OY Agriculture ER

  Corn   CBOT (C)   December 2, 1988     25.00%
  Wheat   CBOT (W)       25.00%
  Soybeans   CBOT (S)       25.00%
  Sugar   ICE (SB)       25.00%

 

*Connotes the exchanges on which the underlying futures contracts are traded with respect to each Index Commodity.

Legend:

“CBOT” means the Board of Trade of the City of Chicago Inc., or its successor.

“COMEX” means the Commodity Exchange Inc., New York or its successor.

“ICE” means the Intercontinental Exchange, Inc. or its successor.

“LME” means The London Metal Exchange Limited or its successor.

“NYMEX” means the New York Mercantile Exchange or its successor.

 

6


Composition of Indexes

Each Index, except each Single Commodity Sector Index, is composed of notional amounts of each of the underlying Index Commodities. Each Single Commodity Sector Index is composed of one underlying Index Commodity. The notional amount of each Index Commodity included in each multi-sector Index is intended to reflect the changes in market value of each such Index Commodity within the specific Index. The closing level of each Index is calculated on each business day by the Index Sponsor based on the closing price of the futures contracts for each of the underlying Index Commodities and the notional amounts of such Index Commodities.

Each Index, excluding each Single Commodity Sector Index, is rebalanced annually in November to ensure that each of the Index Commodities is weighted in the same proportion that such Index Commodities were weighted on the Base Date.

The composition of each Index may be adjusted in the event that the Index Sponsor is not able to calculate the closing prices of the Index Commodities.

Each Index includes provisions for the replacement of futures contracts as they approach maturity. This replacement takes place over a period of time in order to lessen the impact on the market for the futures contracts being replaced. With respect to each Index Commodity, the Master Fund employs a rule-based approach when it ‘rolls’ from one futures contract to another. Rather than select a new futures contract based on a predetermined schedule (e.g., monthly), each Index Commodity rolls to the futures contract which generates the best possible ‘implied roll yield.’ The futures contract with a delivery month within the next thirteen months which generates the best possible implied roll yield will be included in each Index. As a result, each Index Commodity is able to potentially maximize the roll benefits in backwardated markets and minimize the losses from rolling in contangoed markets.

In general, as a futures contract approaches its expiration date, its price will move towards the spot price in a contangoed market. Assuming the spot price does not change, this would result in the futures contract price decreasing and a negative implied roll yield. The opposite is true in a backwardated market.

Rolling in a contangoed market will tend to cause a drag on an Index Commodity’s contribution to the Fund’s return while rolling in a backwardated market will tend to cause a push on an Index Commodity’s contribution to the Fund’s return.

Each Index is calculated in USD on both an excess return (unfunded) and total return (funded) basis.

The futures contract price for each Index Commodity will be the exchange closing price for such Index Commodity on each weekday when banks in New York, New York are open, or Index Business Days. If a weekday is not an Exchange Business Day (as defined in the following sentence) but is an Index Business Day, the exchange closing price from the previous Index Business Day will be used for each Index Commodity. “Exchange Business Day” means, in respect of an Index Commodity, a day that is a trading day for such Index Commodity on the relevant exchange (unless either an Index disruption event or force majeure event has occurred).

On the first New York business day, or Verification Date, of each month, each Index Commodity futures contract will be tested in order to determine whether to continue including it in the applicable Index. If the Index Commodity futures contract requires delivery of the underlying commodity in the next month, known as the Delivery Month, a new Index Commodity futures contract will be selected for inclusion in such Index. For example, if the first New York business day is May 1, 2009, and the Delivery Month of the Index Commodity futures contract currently in such Index is June 2009, a new Index Commodity futures contract with a later Delivery Month will be selected.

For each underlying Index Commodity of an Index, the new Index Commodity futures contract selected will be the Index Commodity futures contract with the best possible “implied roll yield” based on the closing price for each eligible Index Commodity futures contract. Eligible Index Commodity futures contracts are any Index Commodity futures contracts having a Delivery Month (i) no sooner than the month after the Delivery Month of the Index Commodity futures contract currently in such Index, and (ii) no later than the 13th month after the Verification Date. For example, if the first New York business day is


 

7


May 1, 2009 and the Delivery Month of an Index Commodity futures contract currently in an Index is therefore June 2009, the Delivery Month of an eligible new Index Commodity futures contract must be between July 2009 and July 2010. The implied roll yield is then calculated and the futures contract on the Index Commodity with the best possible implied roll yield is then selected. If two futures contracts have the same implied roll yield, the futures contract with the minimum number of months prior to the Delivery Month is selected.

After the futures contract selection, the monthly roll for each Index Commodity subject to a roll in that particular month unwinds the old futures contract and enters a position in the new futures contract. This takes place between the 2nd and 6 th Index Business Day of the month.

On each day during the roll period, new notional holdings are calculated. The calculations for the old Index Commodities that are leaving an Index and the new Index Commodities are then calculated.

On all days that are not monthly index roll days, the notional holdings of each Index Commodity future remains constant.

Each Index is re-weighted on an annual basis on the 6th Index Business Day of each November.

The calculation of each Index is expressed as the weighted average return of the Index Commodities.

Change in the Methodology of an Index

The Index Sponsor employs the methodology described above and its application of such methodology shall be conclusive and binding. While the Index Sponsor currently employs the above described methodology to calculate each Index, no assurance can be given that fiscal, market, regulatory, juridical or financial circumstances (including, but not limited to, any changes to or any suspension or termination of or any other events affecting any Index Commodity or a futures contract) will not arise that would, in the view of the Index Sponsor, necessitate a modification of or change to such methodology and in such circumstances the Index Sponsor may make any such modification or change as it determines appropriate. The Index Sponsor may also make modifications to the terms of an Index in

any manner that it may deem necessary or desirable, including (without limitation) to correct any manifest or proven error or to cure, correct or supplement any defective provision of an Index. The Index Sponsor will publish notice of any such modification or change and the effective date thereof as set forth below.

Publication of Closing Levels and Adjustments

In order to calculate each indicative Index level, the Index Sponsor polls Reuters every 15 seconds to determine the real time price of each underlying futures contract with respect to each Index Commodity of the applicable Index. The Index Sponsor then applies a set of rules to these values to create the indicative level of each Index. These rules are consistent with the rules which the Index Sponsor applies at the end of each trading day to calculate the closing level of each Index. A similar polling process is applied to the U.S. Treasury bills to determine the indicative value of the U.S. Treasury bills held by the Fund every 15 seconds throughout the trading day.

The intra-day indicative value per Share of each Fund is calculated by adding the intra-day U.S. Treasury bills level plus the intra-day level of the applicable Index which will then be applied to the last published net asset value of such Fund, less accrued fees.

The Index Sponsor publishes the closing level of each Index daily. The Managing Owner publishes the net asset value of each Fund and the net asset value per Share of each Fund daily. Additionally, the Index Sponsor publishes the intra-day Index level, and the Managing Owner publishes the indicative value per Share of each Fund (quoted in U.S. dollars) once every fifteen seconds throughout each trading day. All of the foregoing information is published as follows:

The current trading price per Share of each Fund (quoted in U.S. dollars) will be published continuously under its ticker symbol as trades occur throughout each trading day on the consolidated tape, Reuters and/or Bloomberg and on the Managing Owner’s website at http://www.dbfunds.db.com, or any successor thereto.

The most recent end-of-day closing level of each Index is published under its own symbol as of the close of business for the Amex each trading day


 

8


on the consolidated tape, Reuters and/or Bloomberg and on the Managing Owner’s website at http://www.dbfunds.db.com, or any successor thereto. The most recent end-of-day net asset value of each Fund is published under its own symbol as of the close of business on Reuters and/or Bloomberg and on the Managing Owner’s website at http://www.dbfunds.db.com, or any successor thereto. In addition, the most recent end-of-day net asset value of each Fund is published the following morning on the consolidated tape.

End of Day Index Closing Level Symbols; End-of-Day Net Asset Value Symbols

PowerShares DB Energy Fund. The end-of-day closing level of the DBLCI-OY Energy ER is published under the symbol DBENIX. The end-of-day net asset value of PowerShares DB Energy Fund is published under the symbol DBE.NV.

PowerShares DB Oil Fund. The end-of-day closing level of the DBLCI-OY CL ER is published under the symbol DBOLIX. The end-of-day net asset value of PowerShares DB Oil Fund is published under the symbol DBO.NV.

PowerShares DB Precious Metals Fund. The end-of-day closing level of the DBLCI-OY Precious Metals ER is published under the symbol DBPMIX. The end-of-day net asset value of PowerShares DB Precious Metals Fund is published under the symbol DBP.NV.

PowerShares DB Gold Fund. The end-of-day closing level of the DBLCI-OY GC ER is published under the symbol DGLDIX. The end-of-day net asset value of PowerShares DB Gold Fund is published under the symbol DGL.NV.

PowerShares DB Silver Fund. The end-of-day closing level of the DBLCI-OY SI ER is published under the symbol DBSLIX. The end-of-day net asset value of PowerShares DB Silver Fund is published under the symbol DBS.NV.

PowerShares DB Base Metals Fund. The end-of-day closing level of the DBLCI-OY Industrial Metals ER is published under the symbol DBBMIX. The end-of-day net asset value of PowerShares DB Base Metals Fund is published under the symbol DBB.NV.

 

PowerShares DB Agriculture Fund. The end-of-day closing level of the DBLCI-OY Agriculture ER is published under the symbol DBAGIX. The end-of-day net asset value of PowerShares DB Agriculture Fund is published under the symbol DBA.NV.

The Managing Owner publishes the net asset value of each Fund and the net asset value per Share of each Fund daily. Additionally, the Index Sponsor publishes the intra-day level of each Index, and the Managing Owner publishes the indicative value per Share of each Fund (quoted in U.S. dollars) once every fifteen seconds throughout each trading day on the consolidated tape, Reuters and/or Bloomberg and on the Managing Owner’s website at http://www.dbfunds.db.com, or any successor thereto. All of the foregoing information is published under the following symbols:

Intra-Day Index Level Symbols and Intra-Day Indicative Values Per Share Symbols

PowerShares DB Energy Fund. The intra-day index level of the DBLCI-OY Energy ER is published under the symbol DBENIX. The intra-day indicative value per Share of PowerShares DB Energy Fund is published under the symbol DBE.IV.

PowerShares DB Oil Fund. The intra-day index level of the DBLCI-OY CL ER is published under the symbol DBOLIX. The intra-day indicative value per Share of PowerShares DB Oil Fund is published under the symbol DBO.IV.

PowerShares DB Precious Metals Fund. The intra-day index level of the DBLCI-OY Precious Metals ER is published under the symbol DBPMIX. The intra-day indicative value per Share of PowerShares DB Precious Metals Fund is published under the symbol DBP.IV.

PowerShares DB Gold Fund. The intra-day index level of the DBLCI-OY GC ER is published under the symbol DGLDIX. The intra-day indicative value per Share of PowerShares DB Gold Fund is published under the symbol DGL.IV.

PowerShares DB Silver Fund. The intra-day index level of the DBLCI-OY SI ER is published under the symbol DBSLIX. The intra-day indicative value per Share of PowerShares DB Silver Fund is published under the symbol DBS.IV.


 

9


PowerShares DB Base Metals Fund. The intra-day index level of the DBLCI-OY Industrial Metals ER is published under the symbol DBBMIX. The intra-day indicative value per Share of PowerShares DB Base Metals Fund is published under the symbol DBB.IV.

PowerShares DB Agriculture Fund. The intra-day index level of the DBLCI-OY Agriculture ER is published under the symbol DBAGIX. The intra-day indicative value per Share of PowerShares DB Agriculture Fund is published under the symbol DBA.IV.

Each Index’s history is also available at https://index.db.com.

The Index Sponsor obtains information for inclusion in, or for use in the calculation of, the Indexes from sources the Index Sponsor considers reliable. None of the Index Sponsor, the Managing Owner, the Funds, the Master Funds or any of their respective affiliates accepts responsibility for or guarantees the accuracy and/or completeness of any of the Indexes or any data included in any of the Indexes.

All of the foregoing information with respect to each Index is also published at https://index.db.com.

The Index Sponsor publishes any adjustments made to each Index on the Managing Owner’s website http://www.dbfunds.db.com and https://index.db.com, or any successor thereto.

Interruption of Index Calculation

Calculation of each Index may not be possible or feasible under certain events or circumstances, including, without limitation, a systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance, that is beyond the reasonable control of the Index Sponsor and that the Index Sponsor determines affects an Index or any Index Commodity. Upon the occurrence of such force majeure events, the Index Sponsor may, in its discretion, elect one (or more) of the following options:

 

   

make such determinations and/or adjustments to the terms of such Index as it considers appropriate to determine any closing level on any such appropriate Index business day; and/or

 

   

defer publication of the information relating to such Index until the next Index business day on which it determines that no force majeure event exists; and/or

 

   

permanently cancel publication of the information relating to such Index.

Additionally, calculation of an Index may also be disrupted by an event that would require the Index Sponsor to calculate the closing price in respect of the relevant Index Commodity on an alternative basis were such event to occur or exist on a day that is a trading day for such Index Commodity on the relevant exchange. If such an Index disruption event in relation to an Index Commodity as described in the prior sentence occurs and continues for a period of five successive trading days for such Index Commodity on the relevant exchange, the Index Sponsor will, in its discretion, either

 

   

to continue to calculate the relevant closing price for a further period of five successive trading days for such Index Commodity on the relevant exchange or

 

   

if such period extends beyond the five successive trading days, the Index Sponsor may elect to replace the exchange traded instrument with respect to a specific Index Commodity and shall make all necessary adjustments to the methodology and calculation of an Index as it deems appropriate.

Historical Closing Levels

Set out below are the Closing Levels and related data with respect to each Index as of February 28, 2009.

With respect to each of the Closing Levels Tables, historic daily Index Closing Levels have been calculated with respect to each Index since the Base Date of each Index.

The Base Date for each Index is as follows:

 

Index

   Base Date

DBLCI-OY Energy ER

   June 4, 1990

DBLCI-OY CL ER

   December 2, 1988

DBLCI-OY Precious Metals ER

   December 2, 1988

DBLCI-OY GC ER

   December 2, 1988

DBLCI-OY SI ER

   December 2, 1988

DBLCI-OY Industrial Metals ER

   September 3, 1997

DBLCI-OY Agriculture ER

   December 2, 1988

 

10


Each Base Date was selected by the Index Sponsor based on the availability of price data with respect to the relevant underlying futures contracts on the Index Commodities of each Index.

Since March 2003, the historic data with respect to the closing prices of futures contracts on Light, Sweet Crude Oil (CL), Heating Oil (HO), Wheat (W), Corn (C), Gold (GC) and Aluminum (MAL) originated from Reuters. Prior to March 2003, the closing prices of futures contracts on CL, HO, W, C, GC and MAL were obtained from publicly available information from Logical Information Machines (http://www.lim.com), Bloomberg and Reuters. The Index Sponsor has not independently verified the information extracted from these sources. The Index calculation methodology and commodity future selection are the same prior to and following March 2003.

Since June 2006, the historic data with respect to the closing prices of futures contracts on Brent Crude Oil (LCO), RBOB Gasoline (XB), Natural Gas (NG), Silver (SI), Zinc (MZN), Copper—Grade A (MCU), Soybeans (S) and Sugar (SB) originated from Reuters. Prior to June 2006, the closing prices of futures contracts on LCO, XB, NG, SI, MZN, MCU, S and SB were obtained from publicly available information from Logical Information Machines (http://www.lim.com), Bloomberg and Reuters. The Index Sponsor has not independently verified the information extracted from these sources. The Index calculation methodology and commodity future selection are the same prior to and following June 2006.

The Index Sponsor used the return of Unleaded Gasoline (traded on the NYMEX under the symbol “HU”) as a proxy with respect to XB prior to November 2005. On and after November 2005, the Index Sponsor obtained historic data from Reuters with respect to XB. The Index Sponsor considers the use of HU as a proxy for XB prior to November 2005 to be appropriate because XB and HU are sufficiently similar in nature.

Complete price histories regarding certain futures contracts on the Index Commodities were not available (e.g., due to lack of trading on specific days). In the event that prices on such futures contracts on the Index Commodities were unavailable during a contract selection day, such futures contracts

were excluded from the futures contract selection process. The Index Sponsor believes that the incomplete price histories should not have a material impact on the calculation of any of the Indexes.

Each Index Closing Level is equal to the weighted sum of the market value of the commodity futures contracts of all the respective Index Commodities that comprise each specific Index. The market value of the commodity futures contracts of an Index Commodity is equal to the number of commodity futures contracts of an Index Commodity held multiplied by the commodity futures contracts closing price of an Index Commodity.

The weight of each Index Commodity of a specific Index is linked to the number of commodity futures contracts held of such Index Commodity and the price of commodity futures contracts of the Index Commodity. The weight of an Index Commodity is defined as the market value of the commodity futures contracts of the Index Commodity divided by the sum of all market values of all commodity futures contracts of the Index Commodities that comprise and Index multiplied by 100%.

The Index Commodities Weights Tables reflect the range of the weightings with respect to each of the Index Commodities used to calculate each Index.

The Index rules stipulate the holding in each Index Commodity futures contract. Holdings in each Index Commodity change during the Index rebalancing periods as determined by the optimum yield roll rules.


 

11


Cautionary Statement–Statistical Information

Various statistical information is presented on the following pages, relating to the Closing Levels of each Index, on an annual and cumulative basis, including certain comparisons of each Index to other commodities indices. In reviewing such information, prospective investors should consider that:

 

   

Changes in Closing Levels of each Index during any particular period or market cycle may be volatile.

 

Index

  Worst
Peak-to-Valley
Drawdown
and Time
Period
  Worst
Monthly
Drawdown
and
Month
and Year
DBLCI-OY Energy ER   (65.81)%,
5/08 – 2/09
  (28.71)%,
10/08
DBLCI-OY CL ER   (65.23)%,
5/08 – 2/09
  (29.35)%,
10/08

DBLCI-OY Precious Metals ER

  (65.97)%,
12/88 – 3/01
  (18.85)%,
10/08
DBLCI-OY GC ER   (66.87)%,
12/88 – 3/01
  (18.46)%,
10/08
DBLCI-OY SI ER   (66.49)%,
12/88 – 11/01
  (23.59)%,
8/08

DBLCI-OY Industrial Metals ER

  (55.87)%,
6/07 – 12/08
  (27.50)%,
10/08

DBLCI-OY Agriculture ER

  (61.14)%,
4/96 – 4/02
  (15.12)%,
9/08

For example, the “Worst Peak-to-Valley Drawdown” of each Index, represents the greatest percentage decline from any month-end Closing Level, without such Closing Level being equaled or exceeded as of a subsequent month-end, which occurred during the above-listed time period.

The “Worst Monthly Drawdown” of each Index occurred during the above-listed month and year.

See “Volatility of the Various Indexes” on page 46.

 

   

Neither the fees charged by any Fund nor the execution costs associated with establishing futures positions in the Index Commodities are incorporated into the Closing Levels of each Index. Accordingly, such Index Levels have not been reduced by the costs associated with an actual investment, such as a Fund, with an investment objective of tracking the corresponding Index.

 

   

The Indexes were established between May-July 2006, and are independently calculated by Deutsche Bank AG London, the Index Sponsor. The Index calculation methodology and commodity futures contracts selection is the same before and after May-July 2006, as described above. Accordingly, the Closing Levels of each Index, terms of each Index methodology and Index Commodities, reflect an element of hindsight at the time each Index was established. See “The Risks You Face—(10) You May Not Rely on Past Performance or Index Results in Deciding Whether to Buy Shares” and “—(11) Fewer Representative Commodities May Result In Greater Index Volatility.”

WHILE EACH FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE CORRESPONDING INDEX, BECAUSE EACH INDEX WAS ESTABLISHED BETWEEN MAY-JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT EACH INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT EACH FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE CORRESPONDING INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT


 

12


OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SINCE INCEPTION WITH RESPECT TO EACH INDEX THROUGH MAY-JULY 2006, AS APPLICABLE, EACH INDEX’S CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF EACH FUND’S EFFORTS TO TRACK ITS CORRESPONDING INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR EACH FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH EACH FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

[Remainder of page left blank intentionally.]

 


 

13


Volatility of the Various Indexes

The following table1 reflects various measures of volatility2 of the history of each Index as calculated on an excess return basis:

 

Volatility Type

  DBLCI-OY
Energy ER3
    DBLCI-OY
CL ER4
    DBLCI-OY
Precious Metals
ER4
    DBLCI-OY
GC ER4
    DBLCI-OY
SI ER4
    DBLCI-OY
Industrial Metals
ER5
    DBLCI-OY
Agriculture
ER4
 

Daily volatility over full history

  25.49 %   27.89 %   16.26 %   15.23 %   25.71 %   20.18 %   16.11 %

Average rolling 3 month
daily volatility

  23.58 %   25.93 %   15.00 %   13.92 %   23.73 %   18.42 %   15.21 %

Monthly return volatility

  25.74 %   26.70 %   15.55 %   14.66 %   24.72 %   20.82 %   15.92 %

Average annual volatility

  25.36 %   27.46 %   15.47 %   14.49 %   23.90 %   19.14 %   15.40 %

The following table reflects the daily volatility on an annual basis of each Index:

 

Year

   DBLCI-OY
Energy ER3
    DBLCI-OY
CL ER4
    DBLCI-OY
Precious Metals
ER4
    DBLCI-OY
GC ER4
    DBLCI-OY
SI ER4
    DBLCI-OY
Industrial Metals
ER5
    DBLCI-OY
Agriculture
ER4
 

1988

   —       26.56 %   11.17 %   11.41 %   10.73 %   —       9.60 %

1989

   —       28.11 %   13.57 %   13.14 %   18.53 %   —       15.30 %

1990

   44.82 %   40.56 %   16.71 %   17.67 %   19.41 %   —       12.77 %

1991

   31.03 %   29.57 %   13.63 %   12.63 %   23.40 %   —       15.70 %

1992

   14.60 %   16.66 %   8.90 %   8.32 %   15.67 %   —       12.02 %

1993

   15.25 %   17.70 %   16.81 %   14.44 %   28.37 %   —       12.81 %

1994

   18.05 %   20.13 %   12.08 %   9.60 %   23.28 %   —       13.20 %

1995

   13.45 %   17.07 %   9.89 %   6.62 %   26.37 %   —       11.56 %

1996

   23.86 %   31.02 %   7.74 %   6.17 %   17.62 %   —       14.73 %

1997

   18.29 %   21.51 %   13.51 %   12.60 %   24.68 %   11.99 %   12.85 %

1998

   23.80 %   27.97 %   14.60 %   12.84 %   29.22 %   14.38 %   14.13 %

1999

   24.43 %   27.10 %   16.54 %   17.35 %   21.74 %   14.07 %   17.49 %

2000

   28.21 %   32.19 %   14.01 %   15.02 %   14.41 %   11.78 %   15.71 %

2001

   27.56 %   29.77 %   13.79 %   14.44 %   17.22 %   12.57 %   14.55 %

2002

   24.63 %   25.52 %   13.51 %   13.44 %   17.43 %   13.12 %   15.07 %

2003

   26.34 %   26.59 %   16.17 %   16.66 %   20.32 %   13.86 %   12.47 %

2004

   28.71 %   30.80 %   19.48 %   16.25 %   35.48 %   20.85 %   19.40 %

2005

   27.49 %   26.55 %   13.23 %   12.38 %   21.32 %   18.18 %   16.31 %

2006

   22.01 %   22.01 %   25.97 %   22.81 %   41.21 %   32.26 %   16.57 %

2007

   19.54 %   21.17 %   14.96 %   13.91 %   21.28 %   20.35 %   14.65 %

2008

   36.57 %   41.43 %   27.33 %   25.53 %   43.01 %   28.81 %   28.74 %

20091

   38.58 %   44.18 %   26.73 %   25.63 %   35.07 %   36.63 %   23.28 %

 

1

As of February 28, 2009. Past Index levels are not necessarily indicative of future Index levels.

2

Volatility, for these purposes, means the following:

Daily Volatility: The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price.

Monthly Return Volatility: The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the monthly change in price.

Average Annual Volatility: The average of yearly volatilities for a given sample period. The yearly volatility is the relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price for each business day in the given year.

3

As of June 4, 1990. Past Index levels are not necessarily indicative of future Index levels.

4

As of December 2, 1988. Past Index levels are not necessarily indicative of future Index levels.

5

As of September 3, 1997. Past Index levels are not necessarily indicative of future Index levels.

 

14


ENERGY SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY EXCESS RETURN

(DBLCI-OY ENERGY ER)

 

15


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19905

   179.19    96.66    45.52 %   45.52 %

1991

   147.42    107.20    -20.99 %   14.98 %

1992

   137.39    110.88    9.57 %   25.99 %

1993

   138.78    100.51    -20.19 %   0.56 %

1994

   122.19    95.20    6.96 %   7.56 %

1995

   119.82    102.02    11.00 %   19.39 %

1996

   197.83    111.99    63.92 %   95.71 %

1997

   204.30    159.71    -18.40 %   59.71 %

1998

   160.51    97.65    -36.95 %   0.70 %

1999

   178.20    92.77    72.80 %   74.00 %

2000

   298.97    167.50    41.06 %   145.44 %

2001

   278.42    192.42    -16.74 %   104.36 %

2002

   298.19    194.55    41.97 %   190.12 %

2003

   391.72    284.31    32.29 %   283.81 %

2004

   715.99    383.42    54.72 %   493.84 %

2005

   1037.13    582.46    55.14 %   821.29 %

2006

   1074.96    812.65    -10.74 %   722.36 %

2007

   1112.80    709.23    34.88 %   1009.21 %

2008

   1772.65    559.38    -40.45 %   560.50 %

20096

   707.62    518.29    -11.57 %   484.09 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19905

   183.60    97.33    51.88 %   51.88 %

1991

   154.30    112.85    -16.53 %   26.77 %

1992

   155.82    122.35    13.48 %   43.86 %

1993

   160.01    118.31    -17.71 %   18.38 %

1994

   147.06    112.95    11.67 %   32.19 %

1995

   155.68    127.46    17.38 %   55.17 %

1996

   270.11    146.19    72.56 %   167.77 %

1997

   279.83    227.35    -14.08 %   130.07 %

1998

   232.17    147.51    -33.81 %   52.29 %

1999

   282.30    141.11    81.15 %   175.87 %

2000

   496.29    265.84    49.64 %   312.83 %

2001

   476.58    334.41    -13.77 %   255.97 %

2002

   527.96    339.16    44.32 %   413.72 %

2003

   700.53    505.36    33.65 %   586.61 %

2004

   1293.70    686.54    56.88 %   977.16 %

2005

   1917.92    1056.70    60.14 %   1625.00 %

2006

   2070.40    1595.93    -6.33 %   1515.87 %

2007

   2285.06    1397.07    41.00 %   2178.45 %

2008

   3676.21    1165.04    -39.62 %   1275.66 %

20096

   1473.82    1079.73    -11.54 %   1116.91 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

16


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY EXCESS RETURN

 

     CL7     HO7     LCO7     XB7     NG7  
     High1     Low2     High     Low     High     Low     High     Low     High     Low  

19905

   21.8 %   21.9 %   21.4 %   22.6 %   27.2 %   22.2 %   23.4 %   22.4 %   6.2 %   10.9 %

1991

   21.8 %   22.5 %   22.8 %   22.7 %   23.8 %   20.0 %   21.5 %   21.8 %   10.1 %   13.1 %

1992

   21.3 %   22.3 %   23.1 %   23.1 %   21.6 %   21.5 %   21.7 %   22.2 %   12.3 %   10.8 %

1993

   21.6 %   22.1 %   21.5 %   22.8 %   21.1 %   22.7 %   21.4 %   22.0 %   14.4 %   10.4 %

1994

   20.6 %   21.7 %   22.4 %   22.5 %   24.7 %   21.9 %   23.0 %   21.8 %   9.3 %   12.1 %

1995

   22.9 %   24.3 %   21.2 %   22.1 %   23.1 %   23.0 %   23.1 %   21.9 %   9.7 %   8.8 %

1996

   22.6 %   22.6 %   21.6 %   21.1 %   22.0 %   22.5 %   21.8 %   22.9 %   12.0 %   10.9 %

1997

   23.2 %   22.5 %   21.6 %   22.6 %   22.2 %   21.6 %   21.4 %   23.1 %   11.4 %   10.1 %

1998

   22.4 %   22.7 %   22.9 %   23.4 %   21.3 %   21.1 %   23.5 %   22.5 %   9.9 %   10.4 %

1999

   22.7 %   23.1 %   21.9 %   22.0 %   23.0 %   22.2 %   23.3 %   22.3 %   9.1 %   10.4 %

2000

   21.8 %   22.9 %   22.5 %   22.2 %   21.2 %   22.8 %   23.2 %   23.2 %   11.4 %   8.9 %

2001

   23.5 %   22.9 %   22.0 %   22.2 %   21.4 %   21.8 %   22.5 %   22.7 %   10.5 %   10.4 %

2002

   21.4 %   23.2 %   22.4 %   22.5 %   24.2 %   22.6 %   21.8 %   23.2 %   10.3 %   8.5 %

2003

   22.7 %   21.2 %   22.6 %   21.5 %   22.3 %   23.2 %   22.3 %   21.8 %   10.2 %   12.3 %

2004

   23.9 %   22.6 %   23.0 %   22.2 %   23.2 %   21.8 %   21.0 %   22.9 %   8.8 %   10.5 %

2005

   20.6 %   22.3 %   23.5 %   22.7 %   21.8 %   22.3 %   24.9 %   23.0 %   9.1 %   9.7 %

2006

   23.3 %   22.8 %   22.7 %   22.7 %   23.2 %   22.9 %   25.3 %   22.8 %   5.5 %   8.7 %

2007

   22.6 %   22.1 %   22.8 %   23.0 %   22.5 %   22.1 %   23.0 %   22.6 %   9.1 %   10.2 %

2008

   22.2 %   21.8 %   24.2 %   21.3 %   22.3 %   22.8 %   21.3 %   21.7 %   10.1 %   12.4 %

20096

   23.0 %   22.7 %   21.6 %   20.7 %   22.9 %   22.8 %   22.6 %   24.3 %   9.9 %   9.6 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY TOTAL RETURN

 

     CL7     HO7     LCO7     XB7     NG7  
     High1     Low2     High     Low     High     Low     High     Low     High     Low  

19905

   21.8 %   21.9 %   21.4 %   22.6 %   27.2 %   22.2 %   23.4 %   22.4 %   6.2 %   10.9 %

1991

   21.8 %   22.5 %   22.8 %   22.7 %   23.8 %   20.0 %   21.5 %   21.8 %   10.1 %   13.1 %

1992

   21.3 %   22.3 %   23.2 %   23.1 %   21.6 %   21.5 %   21.5 %   22.2 %   12.5 %   10.8 %

1993

   21.6 %   22.1 %   21.5 %   22.8 %   21.1 %   22.7 %   21.4 %   22.0 %   14.4 %   10.4 %

1994

   20.6 %   21.7 %   22.4 %   22.5 %   24.7 %   21.9 %   23.0 %   21.8 %   9.3 %   12.1 %

1995

   22.9 %   22.9 %   21.2 %   22.4 %   23.1 %   23.1 %   23.1 %   23.3 %   9.7 %   8.4 %

1996

   22.6 %   22.6 %   21.6 %   21.1 %   22.0 %   22.5 %   21.8 %   22.9 %   12.0 %   10.9 %

1997

   23.2 %   22.0 %   21.6 %   22.8 %   22.2 %   21.1 %   21.4 %   23.7 %   11.4 %   10.3 %

1998

   22.4 %   22.7 %   22.9 %   23.4 %   21.3 %   21.1 %   23.5 %   22.5 %   9.9 %   10.4 %

1999

   22.9 %   23.1 %   22.3 %   22.0 %   22.8 %   22.2 %   23.3 %   22.3 %   8.6 %   10.4 %

2000

   21.8 %   22.9 %   22.5 %   22.2 %   21.2 %   22.8 %   23.2 %   23.2 %   11.4 %   8.9 %

2001

   23.5 %   22.9 %   22.0 %   22.2 %   21.4 %   21.8 %   22.5 %   22.7 %   10.5 %   10.4 %

2002

   21.4 %   23.2 %   22.4 %   22.5 %   24.2 %   22.6 %   21.8 %   23.2 %   10.3 %   8.5 %

2003

   22.7 %   21.2 %   22.6 %   21.5 %   22.3 %   23.2 %   22.3 %   21.8 %   10.2 %   12.3 %

2004

   23.9 %   22.6 %   23.0 %   22.2 %   23.2 %   21.8 %   21.0 %   22.9 %   8.8 %   10.5 %

2005

   20.6 %   22.3 %   23.5 %   22.7 %   21.8 %   22.3 %   24.9 %   23.0 %   9.1 %   9.7 %

2006

   23.3 %   22.8 %   22.7 %   22.7 %   23.2 %   22.9 %   25.3 %   22.8 %   5.5 %   8.7 %

2007

   22.6 %   22.1 %   22.8 %   23.0 %   22.5 %   22.1 %   23.0 %   22.6 %   9.1 %   10.2 %

2008

   22.2 %   21.8 %   24.2 %   21.3 %   22.4 %   22.8 %   21.3 %   21.7 %   10.0 %   12.4 %

20096

   23.0 %   22.7 %   21.6 %   20.7 %   22.9 %   22.8 %   22.6 %   24.3 %   9.9 %   9.6 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

17


All statistics based on data from June 4, 1990 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
Energy ER8
    DBLCI-OY
Energy TR9
    Goldman Sachs
US Energy
Total Return10
 

Annualized Changes to Index Level11

   9.9 %   14.3 %   5.1 %

Average rolling 3 month daily volatility12

   23.6 %   23.6 %   29.3 %

Sharpe Ratio13

   0.26     0.44     0.05  

% of months with positive change14

   56 %   56 %   52 %

Average monthly positive change15

   6.1 %   6.3 %   7.8 %

Average monthly negative change16

   -5.2 %   -5.0 %   -6.8 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
Energy ER8
    DBLCI-OY
Energy TR9
    Goldman Sachs
US Energy
Total Return10
 

1 year

   -51.7 %   -51.2 %   -64.3 %

3 year

   -13.2 %   -10.2 %   -23.6 %

5 year

   6.5 %   9.7 %   -9.1 %

7 year

   15.5 %   18.5 %   2.9 %

10 year

   19.7 %   23.5 %   11.0 %

15 year

   12.5 %   16.8 %   5.6 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

18


COMPARISON OF DBLCI-OY ENERGY ER, DBLCI-OY ENERGY TR AND GOLDMAN SACHS US ENERGY TOTAL RETURN

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Energy ER, DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.

DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

19


COMPARISON OF DBLCI-OY ENERGY TR AND GOLDMAN SACHS US ENERGY TOTAL RETURN

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.

DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

20


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on June 4, 1990.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Total Return reflect the change in market value of the following underlying index commodities: CL (Light, Sweet Crude Oil), HO (Heating Oil), LCO (Brent Crude Oil), XB (RBOB Gasoline) and NG (Natural Gas) on an optimum yield basis.

 

8.

“DBLCI-OY Energy ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Excess Return.

 

9.

“DBLCI-OY Energy TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Total Return.

 

10. “Goldman Sachs US Energy Total Return” is Goldman Sachs US Energy Total Return.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 3.79%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE

 

21


HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

22


CRUDE OIL SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL EXCESS RETURN

(DBLCI-OY CL ER)

 

23


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL

EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   112.02    97.53    12.02 %   12.02 %

1989

   192.01    110.98    71.41 %   92.01 %

1990

   294.82    160.13    24.79 %   139.61 %

1991

   238.71    175.06    -15.63 %   102.15 %

1992

   224.82    189.93    0.68 %   103.52 %

1993

   217.01    152.46    -24.79 %   53.08 %

1994

   173.31    142.13    5.59 %   61.64 %

1995

   202.32    157.90    25.16 %   102.32 %

1996

   414.35    185.87    104.80 %   314.35 %

1997

   425.66    303.27    -26.65 %   203.93 %

1998

   302.95    171.33    -40.94 %   79.51 %

1999

   346.30    165.23    85.26 %   232.56 %

2000

   551.67    325.69    31.04 %   335.79 %

2001

   532.29    390.80    -3.95 %   318.57 %

2002

   608.00    399.11    41.61 %   492.76 %

2003

   847.48    574.29    39.55 %   727.21 %

2004

   1632.10    824.87    63.83 %   1255.23 %

2005

   2171.79    1319.88    42.95 %   1837.28 %

2006

   2389.01    1856.67    -2.48 %   1789.17 %

2007

   2523.38    1571.31    33.12 %   2414.88 %

2008

   3955.92    1188.78    -41.61 %   1368.33 %

20096

   1590.26    1147.41    -9.81 %   1224.23 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL

TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   112.73    97.60    12.73 %   12.73 %

1989

   209.87    111.81    86.17 %   109.87 %

1990

   341.64    182.36    34.76 %   182.82 %

1991

   295.24    208.42    -10.88 %   152.05 %

1992

   288.22    237.02    4.27 %   162.81 %

1993

   281.69    202.92    -22.45 %   103.80 %

1994

   235.88    190.71    10.24 %   124.67 %

1995

   297.36    219.85    32.36 %   197.36 %

1996

   641.10    274.37    115.60 %   541.10 %

1997

   659.34    493.93    -22.77 %   395.14 %

1998

   495.55    292.68    -37.99 %   207.03 %

1999

   620.64    284.23    94.21 %   496.27 %

2000

   1035.63    584.55    39.02 %   728.92 %

2001

   1030.69    768.08    -0.53 %   724.54 %

2002

   1217.32    786.82    43.96 %   1087.00 %

2003

   1713.97    1154.40    40.99 %   1573.50 %

2004

   3334.95    1670.29    66.12 %   2679.95 %

2005

   4541.88    2707.94    47.56 %   4002.06 %

2006

   5203.49    3969.14    2.34 %   4097.88 %

2007

   5859.72    3499.36    39.16 %   5741.98 %

2008

   9281.23    2799.96    -40.80 %   3358.41 %

20096

   3745.67    2703.20    -9.79 %   3020.00 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

24


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL EXCESS RETURN

 

     CL7  
             High1                     Low2          

19885

   100 %   100 %

1989

   100 %   100 %

1990

   100 %   100 %

1991

   100 %   100 %

1992

   100 %   100 %

1993

   100 %   100 %

1994

   100 %   100 %

1995

   100 %   100 %

1996

   100 %   100 %

1997

   100 %   100 %

1998

   100 %   100 %

1999

   100 %   100 %

2000

   100 %   100 %

2001

   100 %   100 %

2002

   100 %   100 %

2003

   100 %   100 %

2004

   100 %   100 %

2005

   100 %   100 %

2006

   100 %   100 %

2007

   100 %   100 %

2008

   100 %   100 %

20096

   100 %   100 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL TOTAL RETURN

 

     CL7  
             High1                     Low2          

19885

   100 %   100 %

1989

   100 %   100 %

1990

   100 %   100 %

1991

   100 %   100 %

1992

   100 %   100 %

1993

   100 %   100 %

1994

   100 %   100 %

1995

   100 %   100 %

1996

   100 %   100 %

1997

   100 %   100 %

1998

   100 %   100 %

1999

   100 %   100 %

2000

   100 %   100 %

2001

   100 %   100 %

2002

   100 %   100 %

2003

   100 %   100 %

2004

   100 %   100 %

2005

   100 %   100 %

2006

   100 %   100 %

2007

   100 %   100 %

2008

   100 %   100 %

20096

   100 %   100 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

25


All statistics based on data from December 2, 1988 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
CL ER8
    DBLCI-OY
CL TR9
    Goldman Sachs
Crude Oil Total
Return Index10
 

Annualized Changes to Index Level11

   13.6 %   18.5 %   11.5 %

Average rolling 3 month daily volatility12

   25.9 %   25.9 %   31.8 %

Sharpe Ratio13

   0.37     0.56     0.23  

% of months with positive change14

   57 %   58 %   56 %

Average monthly positive change15

   6.5 %   6.8 %   8.2 %

Average monthly negative change16

   -5.4 %   -5.2 %   -7.4 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
CL ER8
    DBLCI-OY
CL TR9
    Goldman Sachs
Crude Oil Total
Return Index10
 

1 year

   -50.9 %   -50.4 %   -69.2 %

3 year

   -12.0 %   -9.1 %   -25.7 %

5 year

   7.1 %   10.4 %   -9.3 %

7 year

   16.9 %   19.9 %   4.5 %

10 year

   22.4 %   26.3 %   13.5 %

15 year

   15.6 %   20.1 %   11.3 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

26


COMPARISON OF DBLCI-OY CL ER, DBLCI-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY CL ER, DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

27


COMPARISON OF DBLCI-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

28


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on December 2, 1988.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Total Return reflect the change in market value of CL (Light, Sweet Crude Oil) on an optimum yield basis.

 

8.

“DBLCI-OY CL ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Excess Return.

 

9.

“DBLCI-OY CL TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Total Return.

 

10. “Goldman Sachs Crude Oil Total Return Index” is Goldman Sachs Crude Oil Total Return Index.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 4.08%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP

 

29


DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

30


PRECIOUS METALS SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS EXCESS RETURN

(DBLCI-OY PRECIOUS METALS ER)

 

31


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS

EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.45    94.47    -5.10 %   -5.10 %

1989

   95.07    78.33    -10.54 %   -15.10 %

1990

   88.33    70.07    -12.51 %   -25.72 %

1991

   75.34    62.42    -15.60 %   -37.30 %

1992

   64.28    56.55    -9.44 %   -43.22 %

1993

   71.31    55.38    18.49 %   -32.72 %

1994

   68.95    61.70    -6.24 %   -36.92 %

1995

   65.86    60.00    -4.13 %   -39.53 %

1996

   65.24    54.89    -9.22 %   -45.11 %

1997

   55.35    43.82    -17.28 %   -54.59 %

1998

   48.63    40.62    -7.08 %   -57.81 %

1999

   45.88    37.10    -1.70 %   -58.53 %

2000

   44.35    36.32    -11.36 %   -63.24 %

2001

   37.53    33.78    -2.66 %   -64.22 %

2002

   42.57    35.33    18.95 %   -57.43 %

2003

   50.84    39.24    19.06 %   -49.32 %

2004

   57.55    46.00    6.35 %   -46.10 %

2005

   64.36    50.94    16.97 %   -36.95 %

2006

   89.86    63.88    21.19 %   -23.60 %

2007

   93.76    72.62    20.64 %   -7.82 %

2008

   111.75    70.48    -4.17 %   -11.67 %

20096

   102.67    80.96    8.37 %   -4.28 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.52    95.05    -4.49 %   -4.49 %

1989

   98.10    83.59    -2.82 %   -7.18 %

1990

   97.35    81.17    -5.51 %   -12.30 %

1991

   89.20    77.58    -10.84 %   -21.81 %

1992

   80.34    72.71    -6.21 %   -26.66 %

1993

   93.75    71.94    22.16 %   -10.41 %

1994

   93.57    85.44    -2.11 %   -12.31 %

1995

   93.31    84.23    1.38 %   -11.10 %

1996

   96.38    84.72    -4.43 %   -15.04 %

1997

   86.39    71.19    -12.91 %   -26.00 %

1998

   80.52    68.46    -2.45 %   -27.81 %

1999

   81.29    65.38    3.05 %   -25.61 %

2000

   80.04    68.62    -5.96 %   -30.05 %

2001

   73.58    65.10    0.81 %   -29.48 %

2002

   85.28    69.70    20.93 %   -14.72 %

2003

   102.89    78.85    20.29 %   2.58 %

2004

   117.90    93.42    7.84 %   10.62 %

2005

   136.03    104.80    20.74 %   33.56 %

2006

   193.51    135.42    27.17 %   69.85 %

2007

   216.92    161.55    26.12 %   114.21 %

2008

   260.94    166.06    -2.83 %   108.15 %

20096

   242.00    190.78    8.40 %   125.63 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

32


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS

EXCESS RETURN

 

     GC7     SI7  
             High1                     Low2                     High                     Low          

19885

   80.0 %   79.6 %   20.0 %   20.4 %

1989

   79.7 %   80.9 %   20.3 %   19.1 %

1990

   81.2 %   80.0 %   18.8 %   20.0 %

1991

   80.9 %   80.5 %   19.1 %   19.5 %

1992

   78.8 %   80.1 %   21.2 %   19.9 %

1993

   77.3 %   80.3 %   22.7 %   19.7 %

1994

   76.6 %   81.7 %   23.4 %   18.3 %

1995

   78.7 %   82.3 %   21.3 %   17.7 %

1996

   79.9 %   79.8 %   20.1 %   20.2 %

1997

   77.8 %   77.0 %   22.2 %   23.0 %

1998

   75.9 %   78.5 %   24.1 %   21.5 %

1999

   80.0 %   77.2 %   20.0 %   22.8 %

2000

   80.1 %   80.4 %   19.9 %   19.6 %

2001

   82.1 %   81.0 %   17.9 %   19.0 %

2002

   80.7 %   79.5 %   19.3 %   20.5 %

2003

   78.6 %   80.4 %   21.4 %   19.6 %

2004

   79.7 %   77.9 %   20.3 %   22.1 %

2005

   79.3 %   81.2 %   20.7 %   18.8 %

2006

   76.1 %   79.6 %   23.9 %   20.4 %

2007

   81.1 %   80.1 %   18.9 %   19.9 %

2008

   78.4 %   81.4 %   21.6 %   18.6 %

20096

   79.1 %   80.9 %   20.9 %   19.1 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS TOTAL RETURN

 

     GC7     SI7  
             High1                     Low2                     High                     Low          

19885

   80.0 %   79.6 %   20.0 %   20.4 %

1989

   79.5 %   80.2 %   20.5 %   19.8 %

1990

   81.2 %   79.8 %   18.8 %   20.2 %

1991

   80.9 %   79.6 %   19.1 %   20.4 %

1992

   79.1 %   80.1 %   20.9 %   19.9 %

1993

   77.1 %   80.3 %   22.9 %   19.7 %

1994

   77.0 %   81.7 %   23.0 %   18.3 %

1995

   77.8 %   82.3 %   22.2 %   17.7 %

1996

   79.9 %   80.1 %   20.1 %   19.9 %

1997

   77.8 %   77.0 %   22.2 %   23.0 %

1998

   75.9 %   78.5 %   24.1 %   21.5 %

1999

   80.0 %   77.2 %   20.0 %   22.8 %

2000

   80.1 %   80.2 %   19.9 %   19.8 %

2001

   82.1 %   81.0 %   17.9 %   19.0 %

2002

   80.4 %   79.5 %   19.6 %   20.5 %

2003

   78.6 %   80.4 %   21.4 %   19.6 %

2004

   79.7 %   77.9 %   20.3 %   22.1 %

2005

   79.3 %   81.2 %   20.7 %   18.8 %

2006

   76.1 %   79.6 %   23.9 %   20.4 %

2007

   81.1 %   80.1 %   18.9 %   19.9 %

2008

   78.4 %   81.4 %   21.6 %   18.6 %

20096

   79.1 %   80.9 %   20.9 %   19.1 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

33


All statistics based on data from December 2, 1988 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
Precious Metals ER8
    DBLCI-OY
Precious Metals TR9
    Goldman Sachs
US Precious Metals
Total Return10
 

Annualized Changes to Index Level11

   -0.2 %   4.1 %   4.4 %

Average rolling 3 month daily volatility12

   15.0 %   15.0 %   14.4 %

Sharpe Ratio13

   -0.29     0.00     0.02  

% of months with positive change14

   45 %   50 %   51 %

Average monthly positive change15

   3.8 %   3.7 %   3.6 %

Average monthly negative change16

   -3.0 %   -2.9 %   -2.8 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
Precious Metals ER8
    DBLCI-OY
Precious Metals TR9
    Goldman Sachs
US Precious Metals
Total Return10
 

1 year

   -12.0 %   -11.1 %   -8.6 %

3 year

   12.0 %   15.8 %   16.3 %

5 year

   13.8 %   17.3 %   17.9 %

7 year

   14.3 %   17.2 %   17.0 %

10 year

   8.4 %   11.9 %   12.4 %

15 year

   2.5 %   6.4 %   6.9 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

34


COMPARISON OF DBLCI-OY PRECIOUS METALS ER, DBLCI-OY PRECIOUS METALS TR AND
GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Precious Metals ER, DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

35


COMPARISON OF DBLCI-OY PRECIOUS METALS TR AND GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

36


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on December 2, 1988.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Total Return reflect the change in market value of the following underlying index commodities: GC (Gold) and SI (Silver) on an optimum yield basis.

 

8.

“DBLCI-OY Precious Metals ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Excess Return.

 

9.

“DBLCI-OY Precious Metals TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Total Return.

 

10. “Goldman Sachs US Precious Metals Total Return” is Goldman Sachs US Precious Metals Total Return.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 4.08%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE

 

37


HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

38


GOLD SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN

(DBLCI-OY GC ER)

 

39


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.43    94.00    -5.59 %   -5.59 %

1989

   94.66    79.15    -7.60 %   -12.77 %

1990

   91.16    72.70    -9.12 %   -20.72 %

1991

   80.68    66.43    -15.91 %   -33.34 %

1992

   67.23    60.20    -9.29 %   -39.53 %

1993

   73.24    59.14    14.87 %   -30.54 %

1994

   70.04    64.50    -5.82 %   -34.58 %

1995

   66.28    61.54    -4.98 %   -37.84 %

1996

   66.44    57.01    -8.28 %   -42.99 %

1997

   56.60    42.01    -25.00 %   -57.24 %

1998

   46.03    39.77    -3.80 %   -58.87 %

1999

   44.76    34.92    -3.54 %   -60.32 %

2000

   43.19    34.95    -10.07 %   -64.32 %

2001

   36.96    32.79    -2.15 %   -65.08 %

2002

   43.15    34.85    23.03 %   -57.04 %

2003

   50.90    39.63    18.18 %   -49.24 %

2004

   54.99    45.62    3.76 %   -47.33 %

2005

   61.77    49.36    14.51 %   -39.68 %

2006

   82.59    61.37    16.20 %   -29.91 %

2007

   87.24    66.67    23.43 %   -13.49 %

2008

   102.34    70.49    1.73 %   -11.99 %

20096

   99.76    80.47    6.58 %   -6.20 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.49    94.58    -4.99 %   -4.99 %

1989

   99.14    83.75    0.37 %   -4.64 %

1990

   100.47    82.41    -1.85 %   -6.40 %

1991

   95.52    81.79    -11.18 %   -16.86 %

1992

   84.33    77.40    -6.06 %   -21.90 %

1993

   96.27    76.75    18.43 %   -7.50 %

1994

   94.61    88.08    -1.68 %   -9.06 %

1995

   93.77    88.12    0.48 %   -8.62 %

1996

   98.16    88.05    -3.43 %   -11.76 %

1997

   87.63    68.28    -21.03 %   -30.32 %

1998

   76.21    67.02    0.99 %   -29.62 %

1999

   79.30    61.54    1.12 %   -28.84 %

2000

   77.95    65.87    -4.59 %   -32.10 %

2001

   72.45    63.19    1.34 %   -31.19 %

2002

   86.44    68.69    25.06 %   -13.95 %

2003

   103.01    79.65    19.39 %   2.74 %

2004

   112.66    92.65    5.21 %   8.09 %

2005

   130.59    101.92    18.20 %   27.77 %

2006

   177.84    130.09    21.94 %   55.81 %

2007

   202.21    148.31    29.04 %   101.05 %

2008

   238.99    166.08    3.15 %   107.38 %

20096

   235.13    189.63    6.61 %   121.10 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

40


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN

 

     GC7  
             High1                     Low2          

19885

   100 %   100 %

1989

   100 %   100 %

1990

   100 %   100 %

1991

   100 %   100 %

1992

   100 %   100 %

1993

   100 %   100 %

1994

   100 %   100 %

1995

   100 %   100 %

1996

   100 %   100 %

1997

   100 %   100 %

1998

   100 %   100 %

1999

   100 %   100 %

2000

   100 %   100 %

2001

   100 %   100 %

2002

   100 %   100 %

2003

   100 %   100 %

2004

   100 %   100 %

2005

   100 %   100 %

2006

   100 %   100 %

2007

   100 %   100 %

2008

   100 %   100 %

20096

   100 %   100 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD TOTAL RETURN

 

     GC7  
             High1                     Low2          

19885

   100 %   100 %

1989

   100 %   100 %

1990

   100 %   100 %

1991

   100 %   100 %

1992

   100 %   100 %

1993

   100 %   100 %

1994

   100 %   100 %

1995

   100 %   100 %

1996

   100 %   100 %

1997

   100 %   100 %

1998

   100 %   100 %

1999

   100 %   100 %

2000

   100 %   100 %

2001

   100 %   100 %

2002

   100 %   100 %

2003

   100 %   100 %

2004

   100 %   100 %

2005

   100 %   100 %

2006

   100 %   100 %

2007

   100 %   100 %

2008

   100 %   100 %

20096

   100 %   100 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

41


All statistics based on data from December 2, 1988 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
GC ER8
    DBLCI-OY
GC TR9
    Gold Spot Fix pm10  

Annualized Changes to Index Level11

   -0.3 %   4.0 %   4.1 %

Average rolling 3 month daily volatility12

   13.9 %   13.9 %   13.6 %

Sharpe Ratio13

   -0.32     -0.01     0.00  

% of months with positive change14

   45 %   49 %   51 %

Average monthly positive change15

   3.6 %   3.6 %   3.5 %

Average monthly negative change16

   -2.9 %   -2.7 %   -2.8 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
GC ER8
    DBLCI-OY
GC TR9
    Gold Spot Fix pm10  

1 year

   -5.7 %   -4.7 %   -2.0 %

3 year

   12.9 %   16.7 %   19.6 %

5 year

   14.2 %   17.7 %   19.2 %

7 year

   14.1 %   17.0 %   18.1 %

10 year

   8.7 %   12.1 %   12.7 %

15 year

   2.2 %   6.1 %   6.3 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

42


COMPARISON OF DBLCI-OY GC ER, DBLCI-OY GC TR AND GOLD SPOT FIX PM

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY GC ER and DBLCI-OY GC TR are indices and do not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBLCI-OY GC TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

43


COMPARISON OF DBLCI-OY GC TR AND GOLD SPOT FIX PM

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBLCI-OY GC TR is an index and does not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBLCI-OY GC TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

44


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on December 2, 1988.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Total Return reflect the change in market value of GC (Gold) on an optimum yield basis.

 

8.

“DBLCI-OY GC ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Excess Return.

 

9.

“DBLCI-OY GC TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Total Return.

 

10. “Gold Spot Fix pm” is an internationally published benchmark for gold and is available through The London Bullion Market Association’s (the “LBMA”) website at http://www.lbma.org.uk/statistics_historic.htm. The fixings are fully transparent and are therefore used to determine the accepted average price of gold. As a benchmark, many other financial instruments (such as cash-settled swaps and options) are priced off the fixing. The gold fixing started in 1919. The gold fixing is conducted twice a day by telephone, at approximately 10:30 am and 3:00 pm. The five Gold Fixing members are the Bank of Nova Scotia–ScotiaMocatta, Barclays Bank Plc, Deutsche Bank AG, HSBC Bank USA, NA and Société Générale.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 4.08%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

 

45


NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

46


SILVER SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN

(DBLCI-OY SI ER)

 

47


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.56    96.35    -3.14 %   -3.14 %

1989

   98.80    74.81    -21.67 %   -24.12 %

1990

   77.71    52.83    -26.21 %   -44.01 %

1991

   58.55    46.28    -14.31 %   -52.02 %

1992

   53.20    42.91    -10.01 %   -56.83 %

1993

   62.57    41.28    33.57 %   -42.33 %

1994

   64.94    49.92    -8.36 %   -47.15 %

1995

   64.61    46.95    -0.55 %   -47.45 %

1996

   58.86    45.10    -13.26 %   -54.41 %

1997

   56.61    38.79    17.06 %   -46.63 %

1998

   61.92    41.66    -17.16 %   -55.79 %

1999

   49.84    42.50    5.74 %   -53.26 %

2000

   47.98    39.06    -16.40 %   -60.93 %

2001

   40.38    32.68    -6.36 %   -63.41 %

2002

   41.20    34.04    4.25 %   -61.86 %

2003

   46.80    34.43    22.10 %   -53.43 %

2004

   63.99    43.08    13.63 %   -47.08 %

2005

   68.75    50.02    27.66 %   -32.44 %

2006

   110.77    67.36    40.22 %   -5.27 %

2007

   109.82    82.34    9.77 %   3.99 %

2008

   142.11    59.28    -27.27 %   -24.37 %

20096

   97.29    70.03    16.05 %   -12.23 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
           High1                Low2          Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   99.79    96.94    -2.52 %   -2.52 %

1989

   100.47    80.40    -14.91 %   -17.05 %

1990

   85.46    62.18    -20.31 %   -33.89 %

1991

   70.97    55.14    -9.48 %   -40.16 %

1992

   66.46    55.38    -6.80 %   -44.23 %

1993

   82.27    53.55    37.71 %   -23.20 %

1994

   87.23    69.13    -4.33 %   -26.53 %

1995

   91.63    65.91    5.16 %   -22.73 %

1996

   86.97    69.54    -8.67 %   -29.44 %

1997

   92.17    61.74    23.25 %   -13.03 %

1998

   101.42    70.42    -13.04 %   -24.37 %

1999

   88.05    73.64    10.85 %   -16.16 %

2000

   86.50    74.17    -11.31 %   -25.64 %

2001

   77.17    64.30    -3.02 %   -27.89 %

2002

   81.81    67.18    5.98 %   -23.58 %

2003

   94.72    69.16    23.36 %   -5.73 %

2004

   129.84    87.49    15.21 %   8.61 %

2005

   145.33    102.71    31.78 %   43.13 %

2006

   238.54    142.80    47.15 %   110.61 %

2007

   254.17    188.78    14.75 %   141.68 %

2008

   331.73    139.67    -26.26 %   78.23 %

20096

   229.33    165.04    16.09 %   106.91 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

48


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER

EXCESS RETURN

 

     SI7
             High1                   Low2        

19885

   100%   100%

1989

   100%   100%

1990

   100%   100%

1991

   100%   100%

1992

   100%   100%

1993

   100%   100%

1994

   100%   100%

1995

   100%   100%

1996

   100%   100%

1997

   100%   100%

1998

   100%   100%

1999

   100%   100%

2000

   100%   100%

2001

   100%   100%

2002

   100%   100%

2003

   100%   100%

2004

   100%   100%

2005

   100%   100%

2006

   100%   100%

2007

   100%   100%

2008

   100%   100%

20096

   100%   100%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER

TOTAL RETURN

 

     SI7
             High1                   Low2        

19885

   100%   100%

1989

   100%   100%

1990

   100%   100%

1991

   100%   100%

1992

   100%   100%

1993

   100%   100%

1994

   100%   100%

1995

   100%   100%

1996

   100%   100%

1997

   100%   100%

1998

   100%   100%

1999

   100%   100%

2000

   100%   100%

2001

   100%   100%

2002

   100%   100%

2003

   100%   100%

2004

   100%   100%

2005

   100%   100%

2006

   100%   100%

2007

   100%   100%

2008

   100%   100%

20096

   100%   100%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

49


All statistics based on data from December 2, 1988 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
SI ER8
    DBLCI-OY
SI TR9
    Silver Spot Fix pm10  

Annualized Changes to Index Level11

   -0.6 %   3.7 %   3.9 %

Average rolling 3 month daily volatility12

   23.7 %   23.7 %   24.9 %

Sharpe Ratio13

   -0.20     -0.02     -0.01  

% of months with positive change14

   47 %   50 %   49 %

Average monthly positive change15

   5.9 %   5.9 %   6.0 %

Average monthly negative change16

   -4.9 %   -4.8 %   -4.6 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
SI ER8
    DBLCI-OY
SI TR9
    Silver Spot Fix pm10  

1 year

   -35.5 %   -34.9 %   -32.7 %

3 year

   6.2 %   9.8 %   10.9 %

5 year

   10.9 %   14.3 %   14.9 %

7 year

   13.4 %   16.3 %   16.9 %

10 year

   6.2 %   9.6 %   9.0 %

15 year

   2.5 %   6.5 %   6.3 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JUNE 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH MAY 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

50


COMPARISON OF DBLCI-OY SI ER, DBLCI-OY SI TR AND SILVER SPOT FIX PM

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY SI ER and DBLCI-OY SI TR are indices and do not reflect actual trading. Silver Spot Fix pm reflects a composite of actual trading prices. DBLCI-OY SI TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JUNE 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH MAY 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

51


COMPARISON OF DBLCI-OY SI TR AND SILVER SPOT FIX PM

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBLCI-OY SI TR is an index and does not reflect actual trading. Silver Spot Fix pm reflects a composite of actual trading prices.

DBLCI-OY SI TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JUNE 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH MAY 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

52


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on December 2, 1988.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Total Return™ reflect the change in market value of SI (Silver) on an optimum yield basis.

 

8.

“DBLCI-OY SI ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Excess Return.

 

9.

“DBLCI-OY SI TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Total Return.

 

10. “Silver Spot Fix pm” is an internationally published benchmark for silver and is available through The London Bullion Market Association’s (the “LBMA”) website at http://www.lbma.org.uk/statistics_historic.htm. The fixings are fully transparent and are therefore used to determine the accepted average price of silver. As a benchmark, many other financial instruments (such as cash-settled swaps and options) are priced off the fixing. The silver fixing started in 1897. Three market making members of the LBMA conduct the Silver Fixing meeting under the chairmanship of The Bank of Nova Scotia–ScotiaMocatta by telephone at 12.00 noon each working day. The other two members of the Silver Fixing are Deutsche Bank AG and HSBC Bank USA, NA.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation”—of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 4.08%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JUNE 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

 

53


NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH MAY 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

54


INDUSTRIAL METALS SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN

(DBLCI-OY INDUSTRIAL METALS ER)

 

55


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
         High1            Low2        Annual Index
Changes3
    Index Changes
Since Inception4
 

19975

   100.17    82.95    -16.46 %   -16.46 %

1998

   83.89    66.04    -20.69 %   -33.75 %

1999

   80.73    63.87    21.85 %   -19.27 %

2000

   82.74    73.17    -7.70 %   -25.49 %

2001

   75.56    56.04    -19.70 %   -40.17 %

2002

   64.83    55.75    -4.02 %   -42.57 %

2003

   74.28    56.70    29.34 %   -25.72 %

2004

   98.27    74.78    31.88 %   -2.04 %

2005

   143.70    91.01    46.59 %   43.60 %

2006

   275.22    144.73    80.98 %   159.88 %

2007

   288.44    215.81    -14.86 %   121.26 %

2008

   277.42    113.65    -45.29 %   21.06 %

20096

   130.41    111.76    -3.74 %   16.53 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
         High1            Low2        Annual Index
Changes3
    Index Changes
Since Inception4
 

19975

   100.19    84.33    -15.05 %   -15.05 %

1998

   85.63    70.50    -16.74 %   -29.27 %

1999

   90.35    68.63    27.73 %   -9.65 %

2000

   96.13    84.03    -2.07 %   -11.53 %

2001

   90.14    68.73    -16.84 %   -26.43 %

2002

   80.03    69.47    -2.42 %   -28.21 %

2003

   93.81    71.10    30.67 %   -6.19 %

2004

   125.83    94.46    33.72 %   25.44 %

2005

   189.91    116.58    51.32 %   89.82 %

2006

   380.41    191.40    89.91 %   260.47 %

2007

   407.16    309.75    -10.99 %   220.85 %

2008

   404.06    167.11    -44.52 %   78.00 %

20096

   191.75    164.37    -3.71 %   71.39 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

56


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN

 

     MAL7     MZN7     MCU7  
     High1     Low2     High     Low     High     Low  

19975

   33.3 %   34.4 %   33.1 %   34.4 %   33.6 %   31.2 %

1998

   34.0 %   34.0 %   34.8 %   34.2 %   31.1 %   31.8 %

1999

   33.8 %   32.7 %   33.1 %   37.0 %   33.1 %   30.3 %

2000

   33.9 %   33.5 %   33.1 %   32.9 %   32.9 %   33.7 %

2001

   36.3 %   38.1 %   31.0 %   29.3 %   32.7 %   32.6 %

2002

   32.8 %   33.3 %   32.2 %   31.9 %   34.9 %   34.8 %

2003

   32.4 %   32.7 %   33.4 %   33.4 %   34.2 %   33.8 %

2004

   32.7 %   32.2 %   34.6 %   33.3 %   32.7 %   34.5 %

2005

   32.1 %   32.5 %   34.5 %   34.7 %   33.4 %   32.8 %

2006

   33.9 %   32.2 %   33.4 %   34.9 %   32.7 %   32.9 %

2007

   34.5 %   34.9 %   30.0 %   31.5 %   35.5 %   33.5 %

2008

   35.1 %   30.2 %   30.0 %   39.9 %   34.9 %   29.9 %

20096

   28.0 %   26.6 %   41.4 %   40.1 %   30.6 %   33.3 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS TOTAL RETURN

 

     MAL7     MZN7     MCU7  
     High1     Low2     High     Low     High     Low  

19975

   33.3 %   34.4 %   33.1 %   34.4 %   33.6 %   31.2 %

1998

   34.0 %   34.0 %   34.8 %   34.2 %   31.1 %   31.8 %

1999

   33.8 %   32.7 %   33.1 %   37.0 %   33.1 %   30.3 %

2000

   33.5 %   33.3 %   32.8 %   34.2 %   33.7 %   32.4 %

2001

   36.3 %   38.1 %   31.0 %   29.3 %   32.7 %   32.6 %

2002

   32.8 %   33.3 %   32.2 %   31.9 %   34.9 %   34.8 %

2003

   32.4 %   32.7 %   33.4 %   33.4 %   34.2 %   33.8 %

2004

   32.7 %   32.2 %   34.6 %   33.3 %   32.7 %   34.5 %

2005

   32.1 %   32.5 %   34.5 %   34.7 %   33.4 %   32.8 %

2006

   33.9 %   32.2 %   33.4 %   34.9 %   32.7 %   32.9 %

2007

   34.5 %   40.9 %   30.0 %   29.0 %   35.5 %   30.1 %

2008

   35.1 %   30.2 %   30.0 %   39.9 %   34.9 %   29.9 %

20096

   28.0 %   26.6 %   41.4 %   40.1 %   30.6 %   33.3 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

57


All statistics based on data from September 3, 1997 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
Industrial Metals ER8
    DBLCI-OY
Industrial Metals TR9
    Goldman Sachs
US Industrial Metal
Total Return10
 

Annualized Changes to Index Level11

   10.0 %   14.0 %   12.7 %

Average rolling 3 month daily volatility12

   18.4 %   18.4 %   19.7 %

Sharpe Ratio13

   0.37     0.59     0.48  

% of months with positive change14

   49 %   53 %   53 %

Average monthly positive change15

   5.0 %   5.0 %   4.8 %

Average monthly negative change16

   -4.2 %   -4.3 %   -4.5 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
Industrial Metals ER8
    DBLCI-OY
Industrial Metals TR9
    Goldman Sachs
US Industrial Metal
Total Return10
 

1 year

   11.8 %   16.4 %   18.3 %

3 year

   38.3 %   44.1 %   36.6 %

5 year

   34.8 %   39.0 %   34.2 %

7 year

   20.6 %   24.0 %   21.5 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

58


COMPARISON OF DBLCI-OY INDUSTRIAL METALS ER, DBLCI-OY INDUSTRIAL METALS TR AND
GOLDMAN SACHS US INDUSTRIAL METALS TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Industrial Metals ER, DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading.

DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

59


COMPARISON OF DBLCI-OY INDUSTRIAL METALS TR AND GOLDMAN SACHS US INDUSTRIAL METALS TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading. DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

60


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on September 3, 1997.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Total Return reflect the change in market value of the following underlying index commodities: MAL (Aluminum), MZN (Zinc) and MCU (Copper—Grade A) on an optimum yield basis.

 

8.

“DBLCI-OY Industrial Metals ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Excess Return.

 

9.

“DBLCI-OY Industrial Metals TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Total Return.

 

10. “Goldman Sachs US Industrial Metal Total Return” is Goldman Sachs US Industrial Metal Total Return.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 3.26%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE

 

61


HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

62


AGRICULTURE SECTOR DATA

RELATING TO

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE EXCESS RETURN

(DBLCI-OY AGRICULTURE ER)

 

63


CLOSING LEVELS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE

EXCESS RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   104.37    99.09    4.37 %   4.37 %

1989

   110.17    96.30    -1.76 %   2.54 %

1990

   111.78    86.63    -15.52 %   -13.37 %

1991

   94.19    80.78    8.34 %   -6.14 %

1992

   101.16    86.77    -6.53 %   -12.27 %

1993

   101.06    86.44    15.20 %   1.06 %

1994

   104.89    92.32    0.25 %   1.32 %

1995

   122.81    95.76    21.21 %   22.81 %

1996

   146.59    117.81    -2.55 %   19.68 %

1997

   132.21    111.96    0.23 %   19.95 %

1998

   120.35    85.16    -28.71 %   -14.49 %

1999

   89.18    65.03    -19.49 %   -31.16 %

2000

   76.73    67.18    5.91 %   -27.09 %

2001

   73.31    57.42    -20.62 %   -42.12 %

2002

   70.67    53.68    10.37 %   -36.12 %

2003

   75.17    63.93    15.51 %   -26.22 %

2004

   91.37    69.95    -2.26 %   -27.88 %

2005

   81.36    68.79    10.53 %   -20.29 %

2006

   90.17    72.91    10.36 %   -12.03 %

2007

   111.62    83.37    25.54 %   10.44 %

2008

   144.19    72.19    -19.87 %   -11.50 %

20096

   92.20    78.86    -9.57 %   -19.97 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE TOTAL RETURN

 

     CLOSING LEVEL    CHANGES  
       High1        Low2      Annual Index
Changes3
    Index Changes
Since Inception4
 

19885

   105.04    99.16    5.04 %   5.04 %

1989

   114.82    100.49    6.72 %   12.09 %

1990

   125.53    102.27    -8.76 %   2.27 %

1991

   117.41    98.27    14.44 %   17.04 %

1992

   128.33    111.30    -3.20 %   13.30 %

1993

   134.56    111.98    18.77 %   34.56 %

1994

   142.25    125.30    4.66 %   40.84 %

1995

   180.52    135.44    28.18 %   80.52 %

1996

   221.45    174.03    2.60 %   85.21 %

1997

   208.25    177.92    5.53 %   95.45 %

1998

   197.05    143.55    -25.15 %   46.28 %

1999

   152.70    113.95    -15.60 %   23.47 %

2000

   140.72    121.57    12.36 %   38.73 %

2001

   139.73    113.13    -17.79 %   14.05 %

2002

   140.95    106.30    12.19 %   27.96 %

2003

   152.04    128.48    16.69 %   49.32 %

2004

   185.37    143.05    -0.89 %   47.99 %

2005

   169.50    141.45    14.10 %   68.85 %

2006

   195.55    159.95    15.82 %   95.55 %

2007

   259.27    187.33    31.24 %   156.65 %

2008

   336.39    170.08    -18.75 %   108.52 %

20096

   217.25    185.86    -9.54 %   88.63 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

64


INDEX COMMODITIES WEIGHTS TABLES

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE EXCESS RETURN

 

     C7     W7     S7     SB7  
     High1     Low2     High     Low     High     Low     High     Low  

19885

   25.7 %   25.1 %   25.0 %   24.9 %   25.9 %   25.1 %   23.4 %   24.9 %

1989

   24.4 %   24.0 %   25.1 %   26.6 %   24.9 %   24.0 %   25.5 %   25.4 %

1990

   26.5 %   25.8 %   22.2 %   23.8 %   25.7 %   25.6 %   25.6 %   24.8 %

1991

   24.0 %   24.8 %   27.3 %   24.2 %   24.1 %   24.1 %   24.6 %   26.8 %

1992

   23.4 %   20.7 %   25.7 %   26.8 %   24.5 %   24.0 %   26.5 %   28.5 %

1993

   25.1 %   25.5 %   26.1 %   25.3 %   24.7 %   25.8 %   24.1 %   23.4 %

1994

   24.6 %   23.0 %   24.4 %   26.1 %   25.4 %   24.2 %   25.6 %   26.6 %

1995

   24.8 %   26.5 %   24.3 %   24.3 %   25.3 %   25.4 %   25.6 %   23.7 %

1996

   27.1 %   24.3 %   22.2 %   25.2 %   24.0 %   25.1 %   26.7 %   25.5 %

1997

   23.8 %   22.6 %   28.4 %   25.2 %   23.8 %   23.6 %   24.0 %   28.6 %

1998

   25.9 %   25.5 %   24.9 %   23.5 %   25.2 %   27.2 %   24.0 %   23.8 %

1999

   24.9 %   27.2 %   24.1 %   25.3 %   24.4 %   24.7 %   26.6 %   22.8 %

2000

   25.4 %   27.4 %   22.9 %   24.8 %   26.2 %   27.6 %   25.5 %   20.1 %

2001

   24.5 %   24.9 %   24.9 %   24.5 %   23.6 %   25.2 %   27.1 %   25.4 %

2002

   25.3 %   25.1 %   25.4 %   25.8 %   27.4 %   27.8 %   21.9 %   21.3 %

2003

   24.6 %   22.3 %   25.2 %   25.4 %   25.6 %   26.4 %   24.6 %   25.9 %

2004

   27.4 %   24.4 %   23.6 %   23.4 %   26.5 %   26.1 %   22.5 %   26.0 %

2005

   24.3 %   24.3 %   22.5 %   23.3 %   29.4 %   25.2 %   23.8 %   27.2 %

2006

   23.7 %   26.0 %   24.7 %   27.7 %   20.6 %   22.2 %   31.0 %   24.0 %

2007

   23.9 %   25.7 %   26.2 %   25.9 %   25.7 %   28.4 %   24.2 %   19.9 %

2008

   21.9 %   23.0 %   28.6 %   25.9 %   25.2 %   24.3 %   24.3 %   26.8 %

20096

   24.1 %   23.2 %   27.0 %   25.3 %   24.5 %   23.1 %   24.3 %   28.4 %

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE EXCESS RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE TOTAL RETURN

 

     C7     W7     S7     SB7  
     High1     Low2     High     Low     High     Low     High     Low  

19885

   25.7 %   25.1 %   25.0 %   24.9 %   25.9 %   25.1 %   23.4 %   24.9 %

1989

   24.8 %   24.0 %   24.7 %   26.6 %   25.2 %   24.0 %   25.3 %   25.4 %

1990

   26.5 %   25.8 %   22.2 %   23.8 %   25.7 %   25.6 %   25.6 %   24.8 %

1991

   24.0 %   24.8 %   27.3 %   24.2 %   24.1 %   24.1 %   24.6 %   26.8 %

1992

   23.4 %   20.9 %   25.7 %   26.9 %   24.5 %   23.7 %   26.5 %   28.5 %

1993

   25.1 %   25.5 %   26.1 %   25.3 %   24.7 %   25.8 %   24.1 %   23.4 %

1994

   24.0 %   23.0 %   24.5 %   26.1 %   23.9 %   24.2 %   27.6 %   26.6 %

1995

   24.8 %   26.5 %   24.3 %   24.3 %   25.3 %   25.4 %   25.6 %   23.7 %

1996

   27.1 %   25.1 %   22.2 %   23.9 %   24.0 %   26.1 %   26.7 %   24.9 %

1997

   24.4 %   22.6 %   24.4 %   25.2 %   24.8 %   23.6 %   26.3 %   28.6 %

1998

   25.9 %   25.5 %   24.9 %   23.5 %   25.2 %   27.2 %   24.0 %   23.8 %

1999

   24.9 %   27.2 %   24.1 %   25.3 %   24.4 %   24.7 %   26.6 %   22.8 %

2000

   25.4 %   27.4 %   22.9 %   24.8 %   26.2 %   27.6 %   25.5 %   20.1 %

2001

   24.5 %   24.9 %   24.9 %   24.5 %   23.6 %   25.2 %   27.1 %   25.4 %

2002

   25.3 %   25.1 %   25.4 %   25.8 %   27.4 %   27.8 %   21.9 %   21.3 %

2003

   24.6 %   25.0 %   25.2 %   24.3 %   25.6 %   25.5 %   24.6 %   25.1 %

2004

   27.4 %   21.0 %   23.6 %   22.4 %   26.5 %   22.6 %   22.5 %   34.0 %

2005

   24.3 %   24.3 %   22.5 %   23.3 %   29.4 %   25.2 %   23.8 %   27.2 %

2006

   25.6 %   26.0 %   25.4 %   27.7 %   25.7 %   22.2 %   23.3 %   24.0 %

2007

   23.9 %   25.6 %   26.2 %   24.8 %   25.7 %   25.9 %   24.2 %   23.6 %

2008

   21.9 %   23.0 %   28.6 %   25.9 %   25.2 %   24.3 %   24.3 %   26.8 %

20096

   24.1 %   23.2 %   27.0 %   25.3 %   24.5 %   23.1 %   24.3 %   28.4 %

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE TOTAL RETURN OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

65


All statistics based on data from December 2, 1988 to February 28, 2009.

 

VARIOUS STATISTICAL MEASURES

   DBLCI-OY
Agriculture ER8
    DBLCI-OY
Agriculture TR9
    Goldman Sachs
US Agriculture
Total Return10
 

Annualized Changes to Index Level11

   -1.1 %   3.2 %   -2.0 %

Average rolling 3 month daily volatility12

   15.3 %   15.3 %   15.5 %

Sharpe Ratio13

   -0.34     -0.06     -0.39  

% of months with positive change14

   49 %   54 %   47 %

Average monthly positive change15

   3.6 %   3.5 %   3.9 %

Average monthly negative change16

   -3.3 %   -3.4 %   -3.5 %

ANNUALIZED INDEX LEVELS17

   DBLCI-OY
Agriculture ER8
    DBLCI-OY
Agriculture TR9
    Goldman Sachs
US Agriculture
Total Return10
 

1 year

   -42.8 %   -42.2 %   -47.9 %

3 year

   -2.5 %   0.8 %   -4.8 %

5 year

   -0.6 %   2.5 %   -7.1 %

7 year

   5.5 %   8.2 %   -1.0 %

10 year

   0.6 %   3.9 %   -4.7 %

15 year

   -1.5 %   2.2 %   -3.4 %

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

66


DBLCI-OY AGRICULTURE ER, DBLCI-OY AGRICULTURE TR AND GOLDMAN SACHS US AGRICULTURE TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBLCI-OY Agriculture ER, DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are indices and do not reflect actual trading. DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

67


COMPARISON OF DBLCI-OY AGRICULTURE TR AND GOLDMAN SACHS US AGRICULTURE TOTAL RETURN INDEX

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are indices and do not reflect actual trading. DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

68


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.

 

2. “Low” reflects the lowest closing level of the Index during the applicable year.

 

3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.

 

4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.

 

5. Closing levels as of inception on December 2, 1988.

 

6. Closing levels as of February 28, 2009.

 

7.

The Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Excess Return and Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Total Return reflect the change in market value of the following underlying index commodities: C (Corn), W (Wheat), S (Sugar) and SB (Soybeans) on an optimum yield basis.

 

8.

“DBLCI-OY Agriculture ER” is Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Excess Return.

 

9.

“DBLCI-OY Agriculture TR” is Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Total Return.

 

10. “Goldman Sachs US Agriculture Total Return” is Goldman Sachs US Agriculture Total Return.

 

11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.

 

12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.

 

13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability—often referred to as the “standard deviation” —of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 4.08%.

 

14. “% of months with positive change” during the period from inception to February 28, 2009.

 

15. “Average monthly positive change” during the period from inception to February 28, 2009.

 

16. “Average monthly negative change” during the period from inception to February 28, 2009.

 

17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE

 

69


HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

70


PERFORMANCE OF COMMODITY POOLS OPERATED BY THE MANAGING OWNER AND ITS AFFILIATES

General

The performance information included herein is presented in accordance with CFTC regulations. The Funds differ materially in certain respects from the following pools’ performance which are included herein. The following sets forth summary performance information for all pools operated by the Managing Owner (other than the Funds).

The below pools, the performance of which are summarized herein, are materially different in certain respects from the Funds and the past performance summary of such pools are generally not representative of how the Funds might perform in the future. These pools also have material differences from the Funds, such as different investment objectives and strategies, leverage, employment of short in addition to long positions and fee structures, among other variations. The performance record of these pools may give some general indication of the Managing Owner’s capabilities by indicating the past performance of other pools sponsored by the Managing Owner.

All summary performance information is current as of February 28, 2009. Performance information is set forth, in accordance with CFTC Regulations, since (i) January 31, 2006 (inception with respect to PowerShares DB Commodity Index Tracking Fund) and (ii) September 18, 2006 (inception with respect to PowerShares DB G10 Currency Harvest Fund (DBV)), (iii) February 20, 2007 (inception with respect to each of PowerShares DB US Dollar Index Bullish Fund (UUP) and PowerShares DB US Dollar Index Bearish Fund (UDN)). CFTC Regulations require inclusion of only performance information within the five most recent calendar years and year-to-date, or, if inception of the pool has been less than five years and year-to-date, then since inception.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS, AND MATERIAL DIFFERENCES EXIST AMONG THE FUNDS AND THE POOLS WHOSE PERFORMANCE ARE SUMMARIZED HEREIN.

INVESTORS SHOULD NOTE THAT INTEREST INCOME MAY CONSTITUTE A SIGNIFICANT PORTION OF A COMMODITY POOL’S INCOME AND, IN CERTAIN INSTANCES, MAY GENERATE PROFITS WHERE THERE HAVE BEEN REALIZED AND UNREALIZED LOSSES FROM COMMODITY TRADING.

PERFORMANCE OF POWERSHARES DB COMMODITY INDEX TRACKING FUND (TICKER: DBC)

Name of Pool: PowerShares DB Commodity Index Tracking Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: February 2006

Aggregate Gross Capital Subscriptions as of February 28, 2009: $2,887,414,586

Net Asset Value as of February 28, 2009: $1,376,623,980

Net Asset Value per Share as of February 28, 2009: $19.17

Worst Monthly Drawdown: (23.77)% October 2008

Worst Peak-to-Valley Drawdown: (57.34)% June 2008 – February 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)     2006(%)  

January

   (5.18 )   3.24     (2.36 )  

February

   (5.61 )   11.21     5.30     (4.66 )

March

     (0.61 )   0.67     3.63  

April

     4.46     0.55     6.51  

May

     8.32     (0.51 )   (0.42 )

June

     10.64     1.22     (0.29 )

July

     (10.61 )   1.94     1.65  

August

     (5.97 )   (2.21 )   (2.71 )

September

     (11.01 )   8.58     (4.54 )

October

     (23.77 )   8.58     1.21  

November

     (10.38 )   0.26     6.40  

December

     (6.71 )**   3.76 ***   (4.70 )****
                        

Compound Rate of Return

   (10.50

(2 months

)%

)

  (31.91 )%   28.15 %   1.23

(11 months

%

)

 

* The Worst Peak-to-Valley Drawdown from June 2008 – February 2009 includes the effect of the $0.34 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnote **.
** The December 2008 return of (6.71)% includes the $0.34 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (5.23)%.
*** The December 2007 return of 3.76% includes the $0.76 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 6.23%.
**** The December 2006 return of (4.70)% includes the $0.61 per Share distribution made to Shareholders of record as of December 20, 2006. Prior to the December 29, 2006 distribution, the pool’s return for December 2006 was (2.33)%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

 

71


PERFORMANCE OF POWERSHARES DB G10 CURRENCY HARVEST FUND (TICKER: DBV)

Name of Pool: PowerShares DB G10 Currency Harvest Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: September 2006

Aggregate Gross Capital Subscriptions as of February 28, 2009: $736,149,024

Net Asset Value as of February 28, 2009: $262,590,558

Net Asset Value per Share as of February 28, 2009: $19.03

Worst Monthly Drawdown: (14.37)% October 2008

Worst Peak-to-Valley Drawdown: (36.85)% October 2007 – January 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)     2006(%)  

January

   (5.33 )   (1.31 )   1.01     —    

February

   3.09     (0.96 )   0.65     —    

March

     (4.00 )   2.47     —    

April

     4.28     2.27     —    

May

     1.34     2.14     —    

June

     (0.70 )   3.09     —    

July

     (0.04 )   (0.97 )   —    

August

     (4.01 )   (3.94 )   —    

September

     (5.84 )   2.79     (0.24 )

October

     (14.37 )   3.10     1.92  

November

     (3.21 )   (3.76 )   (1.30 )

December

     (3.42 )**   (2.67 )***   2.99 ****
                        

Compound Rate of Return

   (2.41 )%   (28.78 )%   5.96 %   3.36 %
   (2 months )       (3 1/2 months )

 

* The Worst Peak-to-Valley Drawdown from October 2007 – January 2009 includes the effect of the $0.80 per Share distribution made to Shareholders of record as of December 19, 2007, and the effect of the $0.27 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnotes ** and ***.
** The December 2008 return of (3.42)% includes the $0.27 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (2.08)%.
*** The December 2007 return of (2.67)% includes the $0.80 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 0.14%.
**** The December 2006 return of 2.99% includes the $0.06 per Share distribution made to Shareholders of record as of December 20, 2006. Prior to the December 29, 2006 distribution, the pool’s return for December 2006 was 3.23%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB US DOLLAR INDEX BULLISH FUND (TICKER: UUP), A SERIES OF POWERSHARES DB US DOLLAR INDEX TRUST

Name of Pool: PowerShares DB US Dollar Index Bullish Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: February 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $1,114,496,386

Net Asset Value as of February 28, 2009: $349,173,302

Net Asset Value per Share as of February 28, 2009: $26.45

Worst Monthly Drawdown: (6.89)% December 2008

Worst Peak-to-Valley Drawdown: (10.19)% February 2007 – March 2008*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   5.02     (1.47 )   —    

February

   1.89     (1.84 )   (0.32 )

March

     (2.48 )   (0.32 )

April

     0.80     (1.29 )

May

     0.31     1.55  

June

     (0.62 )   0.00  

July

     0.93     (0.92 )

August

     5.42     0.57  

September

     1.88     (3.31 )

October

     8.49     (1.17 )

November

     0.38     0.04  

December

     (6.89 )**   0.04 ***
                  

Compound Rate of Return

   7.00 %   4.17 %   (5.08 )%
   (2 months )     (10 1/4 months )

 

* The Worst Peak-to-Valley Drawdown from February 2007 – March 2008 includes the effect of the $0.20 per Share distribution made to Shareholders of record as of December 19, 2007. Please see Footnote ***.
** The December 2008 return of (6.89)% includes the $0.17 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was (6.25)%.
*** The December 2007 return of 0.04% includes the $0.20 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 0.76%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying footnotes to performance information.

 

72


PERFORMANCE OF POWERSHARES DB US DOLLAR INDEX BEARISH FUND (TICKER: UDN), A SERIES OF POWERSHARES DB US DOLLAR INDEX TRUST

Name of Pool: PowerShares DB US Dollar Index Bearish Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: February 2007

Aggregate Gross Capital Subscriptions as of February 28, 2009: $381,847,096

Net Asset Value as of February 28, 2009: $176,088,053

Net Asset Value per Share as of February 28, 2009: $24.46

Worst Monthly Drawdown: (8.37)% October 2008

Worst Peak-to-Valley Drawdown: (17.03)% March 2008 – February 2009*

 

Monthly Rate of Return

   2009(%)     2008(%)     2007(%)  

January

   (4.70 )   2.14     —    

February

   (1.92 )   4.28     0.64  

March

     2.65     0.99  

April

     (0.68 )   2.01  

May

     (0.27 )   (0.73 )

June

     0.82     0.74  

July

     (0.71 )   1.54  

August

     (5.30 )   0.38  

September

     (1.99 )   3.82  

October

     (8.37 )   1.68  

November

     (0.48 )   0.68  

December

     5.78 **   (1.92 )***
                  

Compound Rate of Return

   (6.53 )%   (2.94 )%   10.16 %
   (2 months )     (10 1/4 months )

 

* The Worst Peak-to-Valley Drawdown from March 2008 – February 2009 includes the effect of the $0.15 per Share distribution made to Shareholders of record as of December 17, 2008. Please see Footnote **.
** The December 2008 return of 5.78% includes the $0.15 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pool’s return for December 2008 was 6.39%.
*** The December 2007 return of (1.92)% includes the $0.40 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pool’s return for December 2007 was 0.39%.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information.

Footnotes to Performance Information

1. “Aggregate Gross Capital Subscriptions” is the aggregate of all amounts ever contributed to the relevant pool, including investors who subsequently redeemed their investments.

2. “Net Asset Value” is the net asset value of each pool as of February 28, 2009.

3. “Net Asset Value per Share” is the Net Asset Value of the relevant pool divided by the total number of Shares outstanding with respect to such pool as of February 28, 2009.

4. “Worst Monthly Drawdown” is the largest single month loss sustained since inception of trading. “Drawdown” as used in this section of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. “Drawdown” is measured on the basis of monthly returns only, and does not reflect intra-month figures. “Month” is the month of the Worst Monthly Drawdown.

5. “Worst Peak-to-Valley Drawdown” is the largest percentage decline in the Net Asset Value per Share over the history of the relevant pool. This need not be a continuous decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns. “Worst Peak-to-Valley Drawdown” represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. For example, if the Net Asset Value per Share of a particular pool declined by $1 in each of January and February, increased by $1 in March and declined again by $2 in April, a “peak-to-valley drawdown” analysis conducted as of the end of April would consider that “drawdown” to be still continuing and to be $3 in amount, whereas if the Net Asset Value per Share had increased by $2 in March, the January-February drawdown would have ended as of the end of February at the $2 level.

 

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