N-CSR 1 ar33115aaa.htm DEUTSCHE ALTERNATIVE ASSET ALLOCATION FUND ar33115aaa.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D. C. 20549

FORM N-CSR

Investment Company Act file number:  811-01236

 
Deutsche Market Trust
 (Exact Name of Registrant as Specified in Charter)

345 Park Avenue
New York, NY 10154-0004
 (Address of Principal Executive Offices) (Zip Code)

Registrant’s Telephone Number, including Area Code: (212) 250-3220

Paul Schubert
60 Wall Street
New York, NY 10005
(Name and Address of Agent for Service)

Date of fiscal year end:
3/31
   
Date of reporting period:
3/31/2015

ITEM 1.
REPORT TO STOCKHOLDERS
 

March 31, 2015
 
Annual Report
 
to Shareholders
 
Deutsche Alternative Asset Allocation Fund
 
(formerly DWS Alternative Asset Allocation Fund)
 
Contents
3 Letter to Shareholders
4 Portfolio Management Review
11 Performance Summary
14 Investment Portfolio
16 Statement of Assets and Liabilities
18 Statement of Operations
19 Statement of Changes in Net Assets
20 Financial Highlights
26 Notes to Financial Statements
37 Report of Independent Registered Public Accounting Firm
38 Information About Your Fund's Expenses
40 Tax Information
41 Advisory Agreement Board Considerations and Fee Evaluation
46 Board Members and Officers
51 Account Management Resources
 
This report must be preceded or accompanied by a prospectus. To obtain a summary prospectus, if available, or prospectus for any of our funds, refer to the Account Management Resources information provided in the back of this booklet. We advise you to consider the fund's objectives, risks, charges and expenses carefully before investing. The summary prospectus and prospectus contain this and other important information about the fund. Please read the prospectus carefully before you invest.
 
Although allocation among different asset categories generally limits risk, portfolio management may favor an asset category that underperforms other assets or markets as a whole. The fund expects to invest in underlying funds that emphasize alternatives or non-traditional asset categories or investment strategies, and as a result, it is subject to the risk factors of those underlying funds. Some of those risks include stock market risk, credit and interest rate risk, floating rate loan risk, volatility in commodity prices, infrastructure and high-yield debt securities, market direction risk (market advances when short, market declines when long), short sales risk and the political, general economic, liquidity and currency risks of foreign investments, which may be particularly significant for emerging markets. The fund may use derivatives, including as part of its currency and interest-rate strategies. Investing in derivatives entails special risks relating to liquidity, leverage and credit that may reduce returns and/or increase volatility. The success of the fund’s currency and interest-rate strategies are dependent, in part, on the effectiveness and implementation of portfolio management’s proprietary models. As part of these strategies, the fund’s exposure to foreign currencies could cause lower returns or even losses because foreign currency rates may fluctuate significantly over short periods of time for a number of reasons. The risk of loss is heightened during periods of rapid rises in interest rates. In addition, the notional amount of the fund’s aggregate currency and interest-rate exposure resulting from these strategies may significantly exceed the net assets of the fund. Because Exchange Traded Funds (ETFs) trade on a securities exchange, their shares may trade at a premium or discount to their net asset value. ETFs also incur fees and expenses so they may not fully match the performance of the indexes they are designed to track. See the prospectus for additional risks and specific details regarding the fund's risk profile.
 
Deutsche Asset & Wealth Management represents the asset management and wealth management activities conducted by Deutsche Bank AG or any of its subsidiaries, including the Advisor and DeAWM Distributors, Inc.
 
NOT FDIC/NCUA INSURED NO BANK GUARANTEE MAY LOSE VALUE  NOT A DEPOSIT NOT INSURED BY ANY FEDERAL GOVERNMENT AGENCY
 
Letter to Shareholders
 
Dear Shareholder:
 
From an economic standpoint, the view seems brighter than it has been for several years. Multiple signs suggest sustainable growth, at least for the near term. Our economists at Deutsche Asset & Wealth Management expect the global economy to accelerate in 2015, led by the United States and China.
 
That is heartening news. Yet one cannot ignore the complexities of an increasingly interconnected global economy. Low oil prices, a stronger employment picture and consumer spending bode well for the domestic economy, at least in the short term. Yet sluggish growth abroad, falling commodity prices and the strong U.S dollar may be headwinds to global growth and American exports. And, as we have seen time and again, any number of factors can unexpectedly shift the markets and the overall outlook.
 
The take-away message amidst these mixed signals: Be prepared to stick to your long-term plan, with a portfolio that can help weather short-term fluctuations. When in doubt, or if your individual situation or objectives change, talk with a trusted financial professional before taking action.
 
For timely information about economic developments and your Deutsche fund investment, we hope you will visit us at deutschefunds.com. There you will find the views of our Chief Investment Officer and economists. It is a resource we are proud to offer to help keep you up-to-date and make informed decisions.
 
As always, we thank you for your continued investment and the opportunity to put our capabilities to work for you.
 
Best regards,
Brian Binder
President, Deutsche Funds
 
Portfolio Management Review (Unaudited)
 
Market Overview and Fund Performance
 
All performance information below is historical and does not guarantee future results. Returns shown are for Class A shares, unadjusted for sales charges. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit deutschefunds.com for the most recent month-end performance of all share classes. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had. Please refer to pages 11 through 13 for more complete performance information.
 
Investment Strategy
The fund is a fund-of-funds, which means its assets are invested in a combination of other Deutsche funds (i.e., mutual funds, exchange-traded funds (ETFs) and other pooled investment vehicles), unaffiliated ETFs or hedge funds, certain other securities and derivative instruments. The fund seeks to achieve its objective by investing in alternative (or nontraditional) asset categories and investment strategies. Portfolio management utilizes a strategic asset allocation process to determine the nontraditional or alternative asset categories and investment strategies that should be represented in the fund’s portfolio.
 
During the 12-month period ended March 31, 2015, the Class A shares of the fund returned 0.76% and underperformed the 6.02% return of the benchmark, which is a blend of traditional assets with 70% in the MSCI World Index and 30% in the Barclays U.S. Aggregate Bond Index. The two indices returned 6.03% and 5.72%, respectively. It is important to keep in mind that the fund’s objective is not to match the short-term performance of either stocks or bonds, but rather to provide investors with strategies for longer-term portfolio diversification through investments in alternative assets.
 
The fund has outperformed its Morningstar peer group, Multialternative Funds, during the five-year period ended March 31, 2015, with an average annual return of 3.81% vs. 3.55% for the peer group.
 
Fund Performance
 
The fund was positioned for an environment of improving economic growth and gradually rising interest rates during the past year ended March 31, 2015. We achieved this in two ways: by tilting the portfolio’s exposure toward assets that are favorably influenced by positive economic performance, and by seeking to minimize its interest-rate sensitivity. In addition, we positioned the portfolio to provide a measure of protection against the possibility of rising inflation. This approach was generally helpful to performance during the first half of the period, as the positive impact of the fund’s cyclical bent more than outweighed the adverse effect of having lower rate sensitivity during a favorable period for the bond market. Later in the period, however, concerns about growth pressured the performance of economically sensitive assets. In addition, signs of falling inflation around the globe weighed on the performance of asset classes — including commodities and inflation-protected securities — that perform best when inflation is rising.
 
Portfolio Allocation as of 3/31/15
 
Commodities investments seek to provide exposure to hard assets. Real Return investments seek to provide a measure of inflation protection. Hedge Strategy investments seek to generate returns independent of the broader markets. Currency investments seek to offer exposure to foreign investments, many of which are not denominated in U.S. dollars. Opportunistic investments seek to offer exposure to categories generally not included in investors' allocations.
 
Deutsche Global Infrastructure Fund was one of our strongest contributors during the 12-month period ended March 31, 2015. The fund benefited not just from the strong returns of the world stock markets in general, but also the specific outperformance of infrastructure-related stocks in the first half of the period. Infrastructure securities attracted robust investor demand due to their above-average dividends and the essential nature of the underlying assets, which were positive attributes at a time of both low interest rates and slow global growth. Later in the period, however, the declining price of oil pressured the returns of the various energy-sensitive segments of the infrastructure group. As a result, the bulk of the fund’s contribution occurred in the first half of the period.
 
The fund also benefited from its investment in Deutsche Global Real Estate Securities Fund. The backdrop of low interest rates and strengthening global property markets enabled the fund to finish with a return well in excess of the broader global equity markets. The fund also benefited from its allocation to the SPDR Barclays Convertible Securities ETF, which gained ground behind the favorable combination of rising stock prices, falling bond yields and investors’ overall demand for higher-yielding investments.
 
The fund’s commodity-sensitive positions detracted from performance during the period. The headline story in the commodity allocation was the downturn in oil prices, which was brought about by a combination of elevated supply and weaker-than-expected demand. The selling was not limited to oil, however, as base metals, precious metals and agricultural commodities all lost ground to varying degrees. The downturn was brought about, in part, by the continued sluggishness in the global economy and concerns of how slow growth — especially in China — may impact future demand. In addition, the ongoing strength in the U.S. dollar negatively affected commodities’ performance by making them more expensive in U.S. dollar terms. Together, these factors translated to losses for the fund’s allocations to Deutsche Enhanced Commodity Strategy Fund and two energy-related ETFs: iShares North American Natural Resources ETF and iShares Global Energy ETF.* While the prices of oil, natural gas and the related equities have declined in recent months, this weakness has led many drillers to reduce production capacity. Believing lower supply will lead to improved price performance as we move toward the second half of 2015, we retained our allocations to the fund’s energy-sensitive investments. In addition, we believe the valuations of energy-related equities have become attractive enough that the sector can outperform even if oil prices simply stabilize at their current levels.
 
* Deutsche Enhanced Commodity Strategy Fund invests in commodity-linked derivative instruments (a contract whose value is based on a particular commodity), such as commodity-linked swap contracts, commodity-linked structured notes, options and futures contracts, to gain exposure to the investment return of assets that trade in the commodity markets, without investing directly in physical commodities.
 
The fund’s allocation to bond funds finished the period with a net gain. While our position in Deutsche Enhanced Emerging Markets Fixed Income Fund suffered a downturn due to its country positioning and security selection, three funds in our fixed-income portfolio delivered positive returns: Deutsche Global Inflation Fund, Deutsche Floating Rate Fund and SPDR Barclays Short Term High Yield Bond ETF, which we added in November. The common ground among these investments is their ability to provide income and add diversification to the portfolio while offering relatively limited exposure to interest-rate risk.
 
"The fund was positioned for an environment of improving economic growth and gradually rising interest rates during the past year."
 
The fund also lost a modest degree of performance through its position in Deutsche Diversified Market Neutral Fund, which finished with a small negative return due to adverse stock selection. We gradually reduced the fund’s market-neutral allocation during the year, as we found better opportunities in other segments of our investment universe.
 
Outlook and Fund Positioning
 
We continue to run a portfolio that we believe can provide investors with well-diversified exposure to the alternative asset classes. We manage the fund with an eye toward long-term results, looking for areas that can help us achieve strong performance over a multiyear period.
 
Given that many of our investors may use this fund to complement their holdings in traditional investments, we are cognizant of the need to provide diversification not just through our individual investments, but also through the types of risks to which our portfolio can offer a measure of protection. One potential risk stems from the possibility of rising inflation. Investors haven’t paid a great deal of attention to inflation risks in recent years, since the headline numbers have been so tame. In recent months, however, global central banks have taken unprecedented steps to create inflationary conditions via interest-rate cuts and other easing policies. Believing this will eventually feed through to the broader economy in the form of higher price levels, we maintained a meaningful allocation to inflation-sensitive assets.
 
We believe alternative asset classes, as a group, are well positioned at this stage of the market cycle. U.S. equities closed the period at historically high valuations even as earnings estimates continued to come down. The risk/reward profile for investment-grade bonds also was not particularly compelling at period-end, as the low absolute level of yields indicated relatively limited upside. In this environment, we believe we can gain an advantage from our ability to leverage numerous sources of potential return across the full spectrum of alternative investments.
 
Portfolio Management Team
 
Pankaj Bhatnagar, Managing Director
 
Portfolio Manager of the fund. Began managing the fund in 2013.
 
Joined Deutsche Asset & Wealth Management in 2000 with seven years of industry experience; previously, served in Quantitative Strategy roles at Nomura Securities, Credit Suisse and Salomon Brothers.
 
Portfolio Manager for the Quantitative Group: New York.
 
Degree in Civil Engineering, Indian Institute of Technology; MBA, Kent State University; PhD in Finance, University of North Carolina at Chapel Hill.
 
John W. Vojticek, Managing Director
 
Portfolio Manager of the fund. Began managing the fund in 2015.
 
Joined Deutsche Asset & Wealth Management in 2004; previously worked as Principal at KG Redding and Associates, March 2004–September 2004; and previously Managing Director of Deutsche Asset & Wealth Management from 1996–March 2004.
 
Chief Investment Officer of Liquid Real Assets for Deutsche Asset & Wealth Management. Investment industry experience began in 1996.
 
BS, University of Southern California.
 
Darwei Kung, Director
 
Portfolio Manager of the fund. Began managing the fund in 2013.
 
Joined Deutsche Asset & Wealth Management in 2006; previously has worked as a Director, Engineering and Business Development at Calpoint LLC from 2001–2004.
 
Portfolio Manager: New York.
 
BS and MS, University of Washington, Seattle; MS and MBA, Carnegie Mellon University.
 
The views expressed reflect those of the portfolio management team only through the end of the period of the report as stated on the cover. The management team's views are subject to change at any time based on market and other conditions and should not be construed as a recommendation. Past performance is no guarantee of future results. Current and future portfolio holdings are subject to risk.
 
Terms to Know
 
The Morgan Stanley Capital International (MSCI) World Index is an unmanaged, capitalization-weighted measure of global stock markets including the U.S., Canada, Europe, Australia and the Far East. The index is calculated using closing local market prices and translates into U.S. dollars using the London close foreign exchange rates.
 
The Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage securities, asset-backed securities and commercial mortgage-backed securities.
 
Index returns do not reflect fees or expenses and it is not possible to invest directly into an index.
 
An exchange traded fund (ETF) is a security that tracks an index or asset like an index fund, but trades like a stock on an exchange.
 
Source: Morningstar, Inc. Rankings are historical and do not guarantee future results.
 
As of March 31, 2015, Class A shares of Deutsche Alternative Asset Allocation Fund were ranked as follows in the Morningstar Multialternative Funds category: one-year 263/372, three-year 145/200 and five-year 71/129. Rankings are based on a fund’s total return.
 
Performance Summary March 31, 2015 (Unaudited)
Class A
1-Year
5-Year
Life of Fund*
Average Annual Total Returns as of 3/31/15
Unadjusted for Sales Charge
0.76%
3.81%
2.20%
Adjusted for the Maximum Sales Charge (max 5.75% load)
–5.03%
2.59%
1.42%
MSCI World Index
6.03%
10.01%
3.58%
Barclays U.S. Aggregate Bond Index
5.72%
4.41%
5.24%
S&P 500® Index
12.73%
14.47%
7.00%
Blended Index
6.02%
8.59%
4.48%
Class C
1-Year
5-Year
Life of Fund*
Average Annual Total Returns as of 3/31/15
Unadjusted for Sales Charge
–0.01%
3.04%
1.39%
Adjusted for the Maximum Sales Charge (max 1.00% CDSC)
–0.01%
3.04%
1.39%
MSCI World Index
6.03%
10.01%
3.58%
Barclays U.S. Aggregate Bond Index
5.72%
4.41%
5.24%
S&P 500® Index
12.73%
14.47%
7.00%
Blended Index
6.02%
8.59%
4.48%
Class R
1-Year
5-Year
Life of Fund*
Average Annual Total Returns as of 3/31/15
No Sales Charges
0.55%
3.62%
1.99%
MSCI World Index
6.03%
10.01%
3.58%
Barclays U.S. Aggregate Bond Index
5.72%
4.41%
5.24%
S&P 500® Index
12.73%
14.47%
7.00%
Blended Index
6.02%
8.59%
4.48%
Class S
1-Year
5-Year
Life of Fund*
Average Annual Total Returns as of 3/31/15
No Sales Charges
0.92%
4.03%
2.39%
MSCI World Index
6.03%
10.01%
3.58%
Barclays U.S. Aggregate Bond Index
5.72%
4.41%
5.24%
S&P 500® Index
12.73%
14.47%
7.00%
Blended Index
6.02%
8.59%
4.48%
Institutional Class
1-Year
5-Year
Life of Fund*
Average Annual Total Returns as of 3/31/15
No Sales Charges
1.10%
4.14%
2.44%
MSCI World Index
6.03%
10.01%
3.58%
Barclays U.S. Aggregate Bond Index
5.72%
4.41%
5.24%
S&P 500® Index
12.73%
14.47%
7.00%
Blended Index
6.02%
8.59%
4.48%
 
Performance in the Average Annual Total Returns table above and the Growth of an Assumed $10,000 Investment line graph that follows is historical and does not guarantee future results. Investment return and principal fluctuate, so your shares may be worth more or less when redeemed. Current performance may differ from performance data shown. Please visit deutschefunds.com for the Fund's most recent month-end performance. Fund performance includes reinvestment of all distributions. Unadjusted returns do not reflect sales charges and would have been lower if they had.
 
The gross expense ratios of the Fund, as stated in the fee table of the prospectus dated August 1, 2014 are 1.98%, 2.73%, 2.35%, 1.84% and 1.65% for Class A, Class C, Class R, Class S and Institutional Class shares, respectively, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. These expense ratios include net expenses of the underlying funds in which the Fund invests.
 
Index returns do not reflect any fees or expenses and it is not possible to invest directly into an index.
 
Performance figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares.
 
Returns shown for Class R shares for the period prior to its inception on June 1, 2011 are derived from the historical performance of Class A shares of the Deutsche Alternative Asset Allocation Fund during such periods and have been adjusted to reflect the higher total annual operating expenses. Any difference in expenses will affect performance.
 
Growth of an Assumed $10,000 Investment (Adjusted for Maximum Sales Charge)
Yearly periods ended March 31
 
The Fund's growth of an assumed $10,000 investment is adjusted for the maximum sales charge of 5.75%. This results in a net initial investment of $9,425.
 
The growth of $10,000 is cumulative.
 
Performance of other share classes will vary based on the sales charges and the fee structure of those classes.
 
* The Fund commenced operations on July 31, 2007. The performance shown for each index is for the time period of July 31, 2007 through March 31, 2015, which is based on the performance period of the life of the Fund.
 
The Morgan Stanley Capital International (MSCI) World Index is an unmanaged, capitalization-weighted measure of global stock markets including the U.S., Canada, Europe, Australia and the Far East. The index is calculated using closing local market prices and translates into U.S. dollars using the London close foreign exchange rates.
 
The Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S. investment-grade fixed-rate bond market, including government and credit securities, agency mortgage securities, asset-backed securities and commercial mortgage-backed securities.
 
The Standard & Poor's 500 (S&P 500) Index is an unmanaged, capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
 
The Blended Index consists of 70% in the MSCI World Index and 30% in the Barclays U.S. Aggregate Bond Index.
 
   
Class A
   
Class C
   
Class R
   
Class S
   
Institutional Class
 
Net Asset Value
 
3/31/15
  $ 9.36     $ 9.33     $ 9.42     $ 9.29     $ 9.29  
3/31/14
  $ 9.56     $ 9.53     $ 9.62     $ 9.49     $ 9.49  
Distribution Information as of 3/31/15
 
Income Dividends, Twelve Months
  $ .28     $ .20     $ .26     $ .29     $ .31  
 
Investment Portfolio as of March 31, 2015
   
Shares
   
Value ($)
 
       
Mutual Funds 82.6%
 
Deutsche Diversified Market Neutral Fund "Institutional" (a)
    4,944,942       42,081,458  
Deutsche Enhanced Commodity Strategy Fund "Institutional" (a)
    4,404,859       58,760,814  
Deutsche Enhanced Emerging Markets Fixed Income Fund "Institutional" (a)
    2,123,647       20,705,562  
Deutsche Floating Rate Fund "Institutional" (a)
    8,386,081       76,984,223  
Deutsche Global Inflation Fund "Institutional" (a)
    5,443,124       54,975,553  
Deutsche Global Infrastructure Fund "Institutional" (a)
    7,491,197       109,895,855  
Deutsche Global Real Estate Securities Fund "Institutional" (a)
    3,619,968       33,882,901  
Deutsche Real Estate Securities Fund "Institutional" (a)
    1,409,183       34,567,260  
Deutsche Real Estate Securities Income Fund "Institutional" (a)
    579,887       6,036,627  
Total Mutual Funds (Cost $406,020,379)
      437,890,253  
   
Exchange-Traded Funds 16.7%
 
iShares Global Energy Fund
    400,045       14,269,605  
iShares North American Natural Resources Fund
    382,987       14,377,332  
SPDR Barclays Convertible Securities Fund
    681,025       32,525,755  
SPDR Barclays Short Term High Yield Bond Fund
    928,888       27,123,529  
Total Exchange-Traded Funds (Cost $87,810,307)
      88,296,221  
   
Cash Equivalents 0.9%
 
Central Cash Management Fund, 0.05% (a) (b) (Cost $4,605,007)
    4,605,007       4,605,007  
 

   
% of Net Assets
   
Value ($)
 
       
Total Investment Portfolio (Cost $498,435,693)
    100.2       530,791,481  
Other Assets and Liabilities, Net
    (0.2 )     (892,659 )
Net Assets
    100.0       529,898,822  
 
The cost for federal income tax purposes was $516,972,676. At March 31, 2015, net unrealized appreciation for all securities based on tax cost was $13,818,805. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $52,307,398 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $38,488,593.
 
(a) Affiliated fund managed by Deutsche Investment Management Americas Inc.
 
(b) The rate shown is the annualized seven-day yield at period end.
 
SPDR: Standard & Poor's Depositary Receipt
 
Fair Value Measurements
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
 
The following is a summary of the inputs used as of March 31, 2015 in valuing the Fund's investments. For information on the Fund's policy regarding the valuation of investments, please refer to the Security Valuation section of Note A in the accompanying Notes to Financial Statements.
 
Assets
 
Level 1
   
Level 2
   
Level 3
   
Total
 
   
Mutual Funds
  $ 437,890,253     $     $     $ 437,890,253  
Exchange-Traded Funds
    88,296,221                   88,296,221  
Short-Term Investment
    4,605,007                   4,605,007  
Total
  $ 530,791,481     $     $     $ 530,791,481  
 
There have been no transfers between fair value measurement levels during the year ended March 31, 2015.
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities
as of March 31, 2015
 
Assets
 
Investments:
Investments in affiliated Underlying Funds, at value (cost $410,625,386)
  $ 442,495,260  
Investments in non-affiliated Underlying Funds, at value (cost $87,810,307)
    88,296,221  
Total investments in securities, at value (cost $498,435,693)
    530,791,481  
Cash
    108  
Receivable for Fund shares sold
    2,250,237  
Interest receivable
    404  
Other assets
    34,239  
Total assets
    533,076,469  
Liabilities
 
Payable for Fund shares redeemed
    2,637,518  
Accrued Trustees' fees
    5,305  
Other accrued expenses and payables
    534,824  
Total liabilities
    3,177,647  
Net assets, at value
  $ 529,898,822  
Net Assets Consist of
 
Undistributed net investment income
    2,981,819  
Net unrealized appreciation (depreciation) on investments
    32,355,788  
Accumulated net realized gain (loss)
    (86,790,159 )
Paid-in capital
    581,351,374  
Net assets, at value
  $ 529,898,822  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Assets and Liabilities as of March 31, 2015 (continued)
 
Net Asset Value
 
Class A
Net Asset Value and redemption price per share ($158,125,792 ÷ 16,891,624 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.36  
Maximum offering price per share (100 ÷ 94.25 of $9.36)
  $ 9.93  
Class C
Net Asset Value, offering and redemption price (subject to contingent deferred sales charge) per share ($102,795,457 ÷ 11,017,698 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.33  
Class R
Net Asset Value, offering and redemption price per share ($2,652,909 ÷ 281,614 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.42  
Class R6
Net Asset Value, offering and redemption price per share ($9,934 ÷ 1,069 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.29  
Class S
Net Asset Value, offering and redemption price per share ($152,222,265 ÷ 16,387,172 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.29  
Institutional Class
Net Asset Value, offering and redemption price per share ($114,092,465 ÷ 12,276,372 shares outstanding of beneficial interest, no par value, unlimited number of shares authorized)
  $ 9.29  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Operations
for the year ended March 31, 2015
 
Investment Income
 
Income distributions from affiliated Underlying Funds
  $ 11,727,784  
Dividends
    3,283,732  
Total income
    15,011,516  
Expenses:
Management fee
    1,143,080  
Administration fee
    571,540  
Services to shareholders
    837,598  
Distribution and service fees
    1,521,101  
Custodian fee
    8,089  
Professional fees
    94,570  
Reports to shareholders
    97,162  
Registration fees
    85,478  
Trustees' fees and expenses
    26,221  
Other
    17,272  
Total expenses before expense reductions
    4,402,111  
Expense reductions
    (1,008,780 )
Total expenses after expense reductions
    3,393,331  
Net investment income
    11,618,185  
Realized and Unrealized Gain (Loss)
 
Net realized gain (loss) from:
Sale of affiliated Underlying Funds
    (3,042,471 )
Sale of non-affiliated Underlying Funds
    2,649,422  
Capital gain distributions from affiliated Underlying Funds
    7,639,205  
Capital gain distributions from non-affiliated Underlying Funds
    1,345,665  
      8,591,821  
Change in net unrealized appreciation (depreciation) on:
Investments
    (15,586,412 )
Net gain (loss)
    (6,994,591 )
Net increase (decrease) in net assets resulting from operations
  $ 4,623,594  
 
The accompanying notes are an integral part of the financial statements.
 
Statement of Changes in Net Assets
   
Years Ended March 31,
 
Increase (Decrease) in Net Assets
 
2015
   
2014
 
Operations:
Net investment income
  $ 11,618,185     $ 8,315,289  
Net realized gain (loss)
    8,591,821       9,890,873  
Change in net unrealized appreciation (depreciation)
    (15,586,412 )     (11,171,813 )
Net increase (decrease) in net assets resulting from operations
    4,623,594       7,034,349  
Distributions to shareholders from:
Net investment income:
Class A
    (4,921,209 )     (2,818,628 )
Class C
    (2,315,811 )     (554,462 )
Class R
    (68,731 )     (24,249 )
Class R6*
    (253 )      
Class S
    (5,072,474 )     (3,269,000 )
Institutional Class
    (3,728,777 )     (1,467,029 )
Total distributions
    (16,107,255 )     (8,133,368 )
Fund share transactions:
Proceeds from shares sold
    138,734,373       185,500,113  
Reinvestment of distributions
    15,059,715       7,353,465  
Payments for shares redeemed
    (196,953,232 )     (306,242,122 )
Net increase (decrease) in net assets from Fund share transactions
    (43,159,144 )     (113,388,544 )
Increase (decrease) in net assets
    (54,642,805 )     (114,487,563 )
Net assets at beginning of period
    584,541,627       699,029,190  
Net assets at end of period (including undistributed net investment income of $2,981,819 and $3,235,058, respectively)
  $ 529,898,822     $ 584,541,627  
 
* For the period from November 28, 2014 (commencement of operations of Class R6) to March 31, 2015.
 
The accompanying notes are an integral part of the financial statements.
 
Financial Highlights
   
Years Ended March 31,
 
Class A
   
2015
   
2014
   
2013
   
2012
   
2011
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.56     $ 9.53     $ 9.13     $ 9.67     $ 8.71  
Income (loss) from investment operations:
Net investment incomea
    .19       .13       .20       .38       .17  
Net realized and unrealized gain (loss)
    (.11 )     .03 f     .40       (.56 )     .90  
Total from investment operations
    .08       .16       .60       (.18 )     1.07  
Less distributions from:
Net investment income
    (.28 )     (.13 )     (.20 )     (.36 )     (.11 )
Net asset value, end of period
  $ 9.36     $ 9.56     $ 9.53     $ 9.13     $ 9.67  
Total Return (%)b,c,d
    .76       1.68       6.57       (1.77 )     12.43  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    158       197       238       262       293  
Ratio of expenses before expense reductions (%)e
    .73       .76       .75       .76       .79  
Ratio of expenses after expense reductions (%)e
    .57       .57       .52       .47       .47  
Ratio of net investment income (%)
    2.02       1.35       2.17       4.10       1.94  
Portfolio turnover rate (%)
    39       41       30       32       24  
a Based on average shares outstanding during the period.
b Total return does not reflect the effect of any sales charges.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
f The amount of net realized and unrealized gain shown for a share outstanding for the period ended March 31, 2014 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of the Fund shares in relation to fluctuating market values of the investments of the Fund.
 
 

   
Years Ended March 31,
 
Class C
   
2015
   
2014
   
2013
   
2012
   
2011
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.53     $ 9.48     $ 9.09     $ 9.61     $ 8.68  
Income (loss) from investment operations:
Net investment incomea
    .12       .06       .13       .31       .11  
Net realized and unrealized gain (loss)
    (.12 )     .03 f     .39       (.56 )     .89  
Total from investment operations
          .09       .52       (.25 )     1.00  
Less distributions from:
Net investment income
    (.20 )     (.04 )     (.13 )     (.27 )     (.07 )
Net asset value, end of period
  $ 9.33     $ 9.53     $ 9.48     $ 9.09     $ 9.61  
Total Return (%)b,c,d
    (.01 )     .94       5.78       (2.53 )     11.63  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    103       119       155       162       176  
Ratio of expenses before expense reductions (%)e
    1.47       1.51       1.49       1.49       1.55  
Ratio of expenses after expense reductions (%)e
    1.31       1.32       1.28       1.22       1.22  
Ratio of net investment income (%)
    1.30       .60       1.45       3.37       1.19  
Portfolio turnover rate (%)
    39       41       30       32       24  
a Based on average shares outstanding during the period.
b Total return does not reflect the effect of any sales charges.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
f The amount of net realized and unrealized gain shown for a share outstanding for the period ended March 31, 2014 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of the Fund shares in relation to fluctuating market values of the investments of the Fund.
 
 

   
Years Ended March 31,
       
Class R
   
2015
   
2014
   
2013
   
Period Ended 3/31/12a
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.62     $ 9.59     $ 9.17     $ 9.65  
Income (loss) from investment operations:
Net investment incomeb
    .18       .11       .20       .36  
Net realized and unrealized gain (loss)
    (.12 )     .02 g     .39       (.54 )
Total from investment operations
    .06       .13       .59       (.18 )
Less distributions from:
Net investment income
    (.26 )     (.10 )     (.17 )     (.30 )
Net asset value, end of period
  $ 9.42     $ 9.62     $ 9.59     $ 9.17  
Total Return (%)c,d
    .55       1.52       6.39       (1.77 )**
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    3       3       2       .001  
Ratio of expenses before expense reductions (%)e
    1.13       1.13       1.07       3.62 *
Ratio of expenses after expense reductions (%)e
    .77       .77       .76       .72 *
Ratio of net investment income (%)
    1.83       1.15       2.17       4.73 *
Portfolio turnover rate (%)
    39       41       30       32 f
a For the period from June 1, 2011 (commencement of operations) to March 31, 2012.
b Based on average shares outstanding during the period.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
f Represents the Fund's portfolio turnover rate for the year ended March 31, 2012.
g The amount of net realized and unrealized gain shown for a share outstanding for the period ended March 31, 2014 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of the Fund shares in relation to fluctuating market values of the investments of the Fund.
* Annualized
** Not annualized
 
 

Class R6
 
Period Ended 3/31/15a
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.60  
Income (loss) from investment operations:
Net investment incomeb
    .12  
Net realized and unrealized gain (loss)
    (.19 )
Total from investment operations
    (.07 )
Less distributions from:
Net investment income
    (.24 )
Net asset value, end of period
  $ 9.29  
Total Return (%)c,d
    (.71 )**
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ thousands)
    10  
Ratio of expenses before expense reductions (%)e
    .58 *
Ratio of expenses after expense reductions (%)e
    .21 *
Ratio of net investment income (%)
    3.73 *
Portfolio turnover rate (%)
    39 f
a For the period from November 28, 2014 (commencement of operations) to March 31, 2015.
b Based on average shares outstanding during the period.
c Total return would have been lower had certain expenses not been reduced.
d Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
e The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
f Represents the Fund's portfolio turnover rate for the year ended March 31, 2015.
* Annualized
** Not annualized
 
 

   
Years Ended March 31,
 
Class S
   
2015
   
2014
   
2013
   
2012
   
2011
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.49     $ 9.47     $ 9.07     $ 9.61     $ 8.66  
Income (loss) from investment operations:
Net investment incomea
    .22       .14       .22       .40       .20  
Net realized and unrealized gain (loss)
    (.13 )     .02 e     .40       (.56 )     .89  
Total from investment operations
    .09       .16       .62       (.16 )     1.09  
Less distributions from:
Net investment income
    (.29 )     (.14 )     (.22 )     (.38 )     (.14 )
Net asset value, end of period
  $ 9.29     $ 9.49     $ 9.47     $ 9.07     $ 9.61  
Total Return (%)b,c
    .92       1.88       6.74       (1.49 )     12.66  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    152       163       259       230       250  
Ratio of expenses before expense reductions (%)d
    .55       .62       .57       .61       .62  
Ratio of expenses after expense reductions (%)d
    .39       .42       .34       .22       .22  
Ratio of net investment income (%)
    2.26       1.50       2.42       4.37       2.19  
Portfolio turnover rate (%)
    39       41       30       32       24  
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
c Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
d The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
e The amount of net realized and unrealized gain shown for a share outstanding for the period ended March 31, 2014 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of the Fund shares in relation to fluctuating market values of the investments of the Fund.
 
 

   
Years Ended March 31,
 
Institutional Class
   
2015
   
2014
   
2013
   
2012
   
2011
 
Selected Per Share Data
 
Net asset value, beginning of period
  $ 9.49     $ 9.47     $ 9.07     $ 9.61     $ 8.65  
Income (loss) from investment operations:
Net investment incomea
    .23       .17       .24       .41       .20  
Net realized and unrealized gain (loss)
    (.12 )     .02 e     .38       (.57 )     .90  
Total from investment operations
    .11       .19       .62       (.16 )     1.10  
Less distributions from:
Net investment income
    (.31 )     (.17 )     (.22 )     (.38 )     (.14 )
Net asset value, end of period
  $ 9.29     $ 9.49     $ 9.47     $ 9.07     $ 9.61  
Total Return (%)b,c
    1.10       2.02       6.87       (1.50 )     12.80  
Ratios to Average Net Assets and Supplemental Data
 
Net assets, end of period ($ millions)
    114       102       44       42       41  
Ratio of expenses before expense reductions (%)d
    .45       .43       .45       .45       .41  
Ratio of expenses after expense reductions (%)d
    .21       .21       .22       .22       .22  
Ratio of net investment income (%)
    2.45       1.84       2.56       4.45       2.19  
Portfolio turnover rate (%)
    39       41       30       32       24  
a Based on average shares outstanding during the period.
b Total return would have been lower had certain expenses not been reduced.
c Total return would have been lower if the Advisor had not reduced some Underlying Deutsche Funds' expenses.
d The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. This ratio does not include these indirect fees and expenses.
e The amount of net realized and unrealized gain shown for a share outstanding for the period ended March 31, 2014 does not correspond with the aggregate net loss on investments for the period due to the timing of sales and repurchases of the Fund shares in relation to fluctuating market values of the investments of the Fund.
 
 
Notes to Financial Statements
 
A. Organization and Significant Accounting Policies
 
Deutsche Alternative Asset Allocation Fund (formerly DWS Alternative Asset Allocation Fund) (the "Fund") is a diversified series of Deutsche Market Trust (formerly DWS Market Trust) (the "Trust"), which is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company organized as a Massachusetts business trust. The Fund mainly invests in other affiliated Deutsche funds (i.e., mutual funds, exchange-traded funds and other pooled investment vehicles managed by Deutsche Investment Management Americas Inc. or one of its affiliates, together the "Underlying Deutsche Funds"), non-affiliated exchange-traded funds ("Non-affiliated ETFs") and derivative investments. Non-affiliated ETFs and Underlying Deutsche Funds are collectively referred to as "Underlying Funds." Each Underlying Deutsche Fund's accounting policies and investment holdings are outlined in the Underlying Deutsche Funds' financial statements and are available upon request.
 
The Fund offers multiple classes of shares which provide investors with different purchase options. Class A shares are subject to an initial sales charge. Class C shares are not subject to an initial sales charge but are subject to higher ongoing expenses than Class A shares and a contingent deferred sales charge payable upon certain redemptions within one year of purchase. Class R shares are not subject to initial or contingent deferred sales charges and are generally available only to certain retirement plans. Class S shares are not subject to initial or contingent deferred sales charges and are only available to a limited group of investors. Institutional Class shares are not subject to initial or contingent deferred sales charges and are generally available only to qualified institutions. Class R6 shares commenced operations on November 28, 2014. Class R6 shares are not subject to initial or contingent deferred sales charges and are generally available only to certain retirement plans.
 
Investment income, realized and unrealized gains and losses, and certain fund-level expenses and expense reductions, if any, are borne pro rata on the basis of relative net assets by the holders of all classes of shares, except that each class bears certain expenses unique to that class such as services to shareholders, distribution and service fees and certain other class-specific expenses. Differences in class-level expenses may result in payment of different per share dividends by class. All shares of the Fund have equal rights with respect to voting subject to class-specific arrangements.
 
The Fund's financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates. Actual results could differ from those estimates. The policies described below are followed consistently by the Fund in the preparation of its financial statements.
 
Security Valuation. Investments are stated at value determined as of the close of regular trading on the New York Stock Exchange on each day the exchange is open for trading.
 
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
 
Investments in mutual funds are valued at the net asset value per share of each class of the mutual fund and are categorized as Level 1.
 
ETFs are valued at the most recent sale price or official closing price reported on the exchange (U.S. or foreign) or over-the-counter market on which they trade. ETFs for which no sales are reported are valued at the calculated mean between the most recent bid and asked quotations on the relevant market or, if a mean cannot be determined, at the most recent bid quotation. ETF securities are generally categorized as Level 1.
 
Disclosure about the classification of fair value measurements is included in a table following the Fund's Investment Portfolio.
 
Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars at the prevailing exchange rates at period end. Purchases and sales of investment securities, income and expenses are translated into U.S. dollars at the prevailing exchange rates on the respective dates of the transactions.
 
Net realized and unrealized gains and losses on foreign currency transactions represent net gains and losses between trade and settlement dates on securities transactions, the acquisition and disposition of foreign currencies, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gain/appreciation and loss/depreciation on investments.
 
Federal Income Taxes. The Fund's policy is to comply with the requirements of the Internal Revenue Code, as amended, which are applicable to regulated investment companies, and to distribute all of its taxable income to its shareholders.
 
Under the Regulated Investment Company Modernization Act of 2010, net capital losses incurred post-enactment may be carried forward indefinitely, and their character is retained as short-term and/or long-term. Previously, net capital losses were carried forward for eight years and treated as short-term losses. As a transition rule, the Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
 
At March 31, 2015, the Fund had a net tax basis capital loss carryforward of approximately $68,253,000, including $36,529,000 of pre-enactment losses, which may be applied against any realized net taxable capital gains of each succeeding year until fully utilized or until March 31, 2017 ($1,048,000) and March 31, 2018 ($35,481,000), the respective expiration dates, whichever occurs first; and approximately $31,724,000 of post-enactment losses, which may be applied against realized net taxable capital gains indefinitely, including short-term losses ($2,550,000) and long-term losses ($29,174,000).
 
The Fund has reviewed the tax positions for the open tax years as of March 31, 2015 and has determined that no provision for income tax and/or uncertain tax provisions is required in the Fund's financial statements. The Fund's federal tax returns for the prior three fiscal years remain open subject to examination by the Internal Revenue Service.
 
Distribution of Income and Gains. Distributions from net investment income of the Fund, if any, are declared and distributed to shareholders annually. Net realized gains from investment transactions, in excess of available capital loss carryforwards, would be taxable to the Fund if not distributed, and, therefore, will be distributed to shareholders at least annually. The Fund may also make additional distributions for tax purposes if necessary.
 
The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States of America. These differences primarily relate to investments in certain securities sold at a loss. As a result, net investment income (loss) and net realized gain (loss) on investment transactions for a reporting period may differ significantly from distributions during such period. Accordingly, the Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset value of the Fund.
 
At March 31, 2015, the Fund's components of distributable earnings (accumulated losses) on a tax basis were as follows:
Undistributed ordinary income*
  $ 2,981,819  
Capital loss carryforwards
  $ (68,253,000 )
Net unrealized appreciation (depreciation) on investments
  $ 13,818,805  
 
In addition, the tax character of distributions paid to shareholders by the Fund is summarized as follows:
   
Years Ended March 31,
 
   
2015
   
2014
 
Distributions from ordinary income*
  $ 16,107,255     $ 8,133,368  
 
* For tax purposes, short-term capital gain distributions are considered ordinary income distributions.
 
Expenses. Expenses of the Trust arising in connection with a specific fund are allocated to that fund. Other Trust expenses which cannot be directly attributed to a fund are apportioned among the funds in the Trust based upon the relative net assets or other appropriate measures.
 
Contingencies. In the normal course of business, the Fund may enter into contracts with service providers that contain general indemnification clauses. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet been made. However, based on experience, the Fund expects the risk of loss to be remote.
 
Other. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is recorded on the accrual basis. Distributions of income and capital gains from the Underlying Funds are recorded on the ex-dividend date. Realized gains and losses from investment transactions are recorded on an identified cost basis.
 
B. Purchases and Sales of Underlying Funds
 
During the year ended March 31, 2015, purchases and sales of affiliated Underlying Funds (excluding short-term investments and money market funds) aggregated $145,022,381 and $195,945,807, respectively. Purchases and sales of non-affiliated ETFs (excluding short-term investments and money market funds) aggregated $74,614,044 and $60,826,039, respectively.
 
C. Related Parties
 
Management Agreement. Under the Investment Management Agreement with Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), an indirect, wholly owned subsidiary of Deutsche Bank AG, the Advisor directs the investments of the Fund in accordance with its investment objectives, policies and restrictions. The Advisor determines the securities, instruments and other contracts relating to investments in Underlying Funds to be purchased, sold or entered into by the Fund or delegates such responsibility to the Fund's subadvisor. However, the Advisor will receive management fees from managing the Underlying Deutsche Funds in which the Fund invests.
 
The Fund does not invest in the Underlying Deutsche Funds for the purpose of exercising management or control; however, investments within the set limits may represent 5% or more of an Underlying Deutsche Fund's outstanding shares. At March 31, 2015, the Fund held greater than 5% of the following Underlying Deutsche Funds' outstanding shares: approximately 35% of Deutsche Global Inflation Fund, 24% of Deutsche Diversified Market Neutral Fund, 23% of Deutsche Real Estate Securities Income Fund, 10% of Deutsche Enhanced Emerging Markets Fixed Income Fund and 9% of Enhanced Commodity Strategy Fund.
 
The management fee payable under the Investment Management Agreement is equivalent to the annual rate (exclusive of any applicable waivers/reimbursements) of 0.20% of the Fund's average daily net assets, computed and accrued daily and payable monthly. In addition, the Advisor will receive management fees from managing the Underlying Deutsche Funds in which the Fund invests.
 
For the period from April 1, 2014 through September 30, 2014, the Advisor had contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest and indirect expenses of Underlying Funds) of each class as follows:
Class A
.68%
Class C
1.43%
Class R
.93%
Class S
.53%
Institutional Class
.43%
 
Effective October 1, 2014 through September 30, 2015 and for the period from November 28, 2014 through November 30, 2015 for Class R6 shares, the Advisor has contractually agreed to waive its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest and indirect expenses of Underlying Funds) of each class as follows:
Class A
.57%
Class C
1.32%
Class R
.82%
Class R6
.32%
Class S
.42%
Institutional Class
.32%
 
In addition, for the period from April 1, 2014 through September 30, 2014, for the period from November 28, 2014 through March 31, 2015 for Class R6 shares and for the period from April 1, 2014 through March 31, 2015 for Class R and Institutional Class shares, the Advisor has voluntarily agreed to waive its fees and/or reimburse certain operating expenses of the Fund to the extent necessary to maintain the total annual operating expenses (excluding certain expenses such as extraordinary expenses, taxes, brokerage, interest and indirect expenses of Underlying Funds) of each class as follows:
Class A
.57%
Class C
1.32%
Class R
.77%
Class R6
.21%
Class S
.42%
Institutional Class
.21%
 
The voluntary waiver or reimbursement may be terminated at any time at the option of the Advisor.
 
For the year ended March 31, 2015, fees waived and/or expenses reimbursed for each class are as follows:
Class A
  $ 284,193  
Class C
    180,947  
Class R
    9,543  
Class R6
    12  
Class S
    264,501  
Institutional Class
    269,584  
    $ 1,008,780  
 
The Fund indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which it is invested.
 
Administration Fee. Pursuant to an Administrative Services Agreement, DIMA provides most administrative services to the Fund. For all services provided under the Administrative Services Agreement, the Fund pays the Advisor an annual fee ("Administration Fee") of 0.10% of the Fund's average daily net assets, computed and accrued daily and payable monthly. For the year ended March 31, 2015, the Administration Fee was $571,540, of which $45,394 is unpaid.
 
Service Provider Fees. DeAWM Service Company ("DSC"), an affiliate of the Advisor, is the transfer agent, dividend-paying agent and shareholder service agent of the Fund. Pursuant to a sub-transfer agency agreement between DSC and DST Systems, Inc. ("DST"), DSC has delegated certain transfer agent, dividend-paying agent and shareholder service agent functions to DST. DSC compensates DST out of the shareholder servicing fee it receives from the Fund. For the year ended March 31, 2015, the amounts charged to the Fund by DSC were as follows:
Services to Shareholders
 
Total Aggregated
   
Unpaid at March 31, 2015
 
Class A
  $ 18,769     $ 6,427  
Class C
           
Class R
    859       223  
Class R6
    7       5  
Class S
    3,789       1,906  
Institutional Class
    882       323  
    $ 24,306     $ 8,884  
 
Distribution and Service Fees. Under the Fund's Class C and Class R 12b-1 Plans, DeAWM Distributors, Inc., ("DDI"), an affiliate of the Advisor, receives a fee ("Distribution Fee") of 0.75% of average daily net assets of C shares and 0.25% of average daily net assets of Class R shares. In accordance with the Fund's Underwriting and Distribution Services Agreement, DDI enters into related selling group agreements with various firms at various rates for sales of Class C and R shares. For the year ended March 31, 2015, the Distribution Fee was as follows:
Distribution Fee
 
Total Aggregated
   
Unpaid at March 31, 2015
 
Class C
  $ 847,537     $ 66,593  
Class R
    6,593       565  
    $ 854,130     $ 67,158  
 
In addition, DDI provides information and administrative services for a fee ("Service Fee") to Class A, Class C and Class R shareholders at an annual rate of up to 0.25% of average daily net assets for each such class. DDI in turn has various agreements with financial services firms that provide these services and pays these fees based upon the assets of shareholder accounts the firms service. For the year ended March 31, 2015, the Service Fee was as follows:
Service Fee
 
Total Aggregated
   
Unpaid at March 31, 2015
   
Annual
Rate
 
Class A
  $ 397,401     $ 64,538       .22 %
Class C
    262,981       42,756       .23 %
Class R
    6,589       1,079       .25 %
    $ 666,971     $ 108,373          
 
Underwriting Agreement and Contingent Deferred Sales Charge. DDI is the principal underwriter for the Fund. Underwriting commissions paid by shareholders in connection with the distribution of Class A shares for the year ended March 31, 2015, aggregated $13,665.
 
In addition, DDI receives any contingent deferred sales charge ("CDSC") from Class C share redemptions occurring within one year of purchase. There is no such charge upon redemption of any share appreciation or reinvested dividends. The CDSC is 1% of the value of the shares redeemed for Class C. For the year ended March 31, 2015, the CDSC for the Fund's Class C shares aggregated $3,250. A deferred sales charge of up to 0.75% is assessed on certain redemptions of Class A shares. For the year ended March 31, 2015, DDI received $2,630 for Class A shares.
 
Typesetting and Filing Service Fees. Under an agreement with DIMA, DIMA is compensated for providing typesetting and certain regulatory filing services to the Fund. For the year ended March 31, 2015, the amount charged to the Fund by DIMA included in the Statement of Operations under "Reports to shareholders" aggregated $26,983, of which $8,170 is unpaid.
 
Trustees' Fees and Expenses. The Fund paid retainer fees to each Trustee not affiliated with the Advisor, plus specified amounts to the Board Chairperson and Vice Chairperson and to each committee Chairperson.
 
Affiliated Cash Management Vehicles. The Fund may invest uninvested cash balances in Central Cash Management Fund and Deutsche Variable NAV Money Fund, affiliated money market funds which are managed by the Advisor. Each affiliated money market fund seeks to provide a high level of current income consistent with liquidity and the preservation of capital. Each affiliated money market fund is managed in accordance with Rule 2a-7 under the 1940 Act, which governs the quality, maturity, diversity and liquidity of instruments in which a money market fund may invest. Central Cash Management Fund seeks to maintain a stable net asset value, and Deutsche Variable NAV Money Fund maintains a floating net asset value. The Fund indirectly bears its proportionate share of the expenses of each affiliated money market fund in which it invests. Central Cash Management Fund does not pay the Advisor an investment management fee. To the extent that Deutsche Variable NAV Money Fund pays an investment management fee to the Advisor, the Advisor will waive an amount of the investment management fee payable to the Advisor by the Fund equal to the amount of the investment management fee payable on the Fund's assets invested in Deutsche Variable NAV Money Fund.
 
D. Share Transactions
 
The following table summarizes share and dollar activity in the Fund:
   
Year Ended March 31, 2015
   
Year Ended March 31, 2014
 
   
Shares
   
Dollars
   
Shares
   
Dollars
 
Shares sold
 
Class A
    2,842,902     $ 27,338,831       4,719,175     $ 44,092,708  
Class C
    633,233       6,071,762       1,076,074       10,037,612  
Class R
    207,097       1,994,252       245,521       2,314,136  
Class R6*
    1,042       10,000              
Class S
    7,051,204       67,624,359       6,198,687       57,824,997  
Institutional Class
    3,738,138       35,695,169       7,692,901       71,230,660  
            $ 138,734,373             $ 185,500,113  
Shares issued to shareholders in reinvestment of distributions
 
Class A
    505,367     $ 4,793,445       291,540     $ 2,696,283  
Class C
    222,364       2,102,949       53,405       488,977  
Class R
    7,198       68,731       2,589       24,053  
Class R6*
    27       253              
Class S
    487,521       4,581,523       293,123       2,688,479  
Institutional Class
    373,567       3,512,814       157,893       1,455,673  
            $ 15,059,715             $ 7,353,465  
Shares redeemed
 
Class A
    (7,053,815 )   $ (68,130,819 )     (9,419,066 )   $ (87,904,229 )
Class C
    (2,379,910 )     (22,744,651 )     (4,947,668 )     (45,999,074 )
Class R
    (219,598 )     (2,113,239 )     (181,319 )     (1,698,227 )
Class S
    (8,378,487 )     (79,539,317 )     (16,661,658 )     (154,350,233 )
Institutional Class
    (2,580,722 )     (24,425,206 )     (1,754,757 )     (16,290,359 )
            $ (196,953,232 )           $ (306,242,122 )
Net increase (decrease)
 
Class A
    (3,705,546 )   $ (35,998,543 )     (4,408,351 )   $ (41,115,238 )
Class C
    (1,524,313 )     (14,569,940 )     (3,818,189 )     (35,472,485 )
Class R
    (5,303 )     (50,256 )     66,791       639,962  
Class R6*
    1,069       10,253              
Class S
    (839,762 )     (7,333,435 )     (10,169,848 )     (93,836,757 )
Institutional Class
    1,530,983       14,782,777       6,096,037       56,395,974  
            $ (43,159,144 )           $ (113,388,544 )
 
* For the period from November 28, 2014 (commencement of operations of Class R6) to March 31, 2015.
 
E. Transactions with Affiliates
 
The Fund mainly invests in Underlying Deutsche Funds and Non-affiliated ETFs. The Underlying Deutsche Funds in which the Fund invests are considered to be affiliated investments. A summary of the Fund's transactions with affiliated Underlying Deutsche Funds during the year ended March 31, 2015 is as follows:
Affiliate
 
Value ($) at 3/31/2014
   
Purchases ($)
   
Sales ($)
   
Realized Gain/
(Loss) ($)
   
Income Distributions ($)
   
Capital Gain Distributions ($)
   
Value ($) at 3/31/2015
 
Deutsche Diversified Market Neutral Fund
    87,272,491       50,000       44,159,000       (4,199,220 )                 42,081,458  
Deutsche Enhanced Commodity Strategy Fund
    74,513,923       3,797,210       7,383,000       (1,383,802 )     2,295,210             58,760,814  
Deutsche Enhanced Emerging Markets Fixed Income Fund
    81,284,651       4,677,246       63,043,000       (130,006 )     1,569,246             20,705,562  
Deutsche Floating Rate Fund
    98,725,790       4,007,035       23,076,000       (369,647 )     3,518,035             76,984,223  
Deutsche Global Inflation Fund
    22,846,607       34,766,409       2,650,000       (27,231 )     895,409             54,975,553  
Deutsche Global Infrastructure Fund
    102,677,232       22,834,757       20,529,000       1,113,501       1,667,896       5,182,860       109,895,855  
Deutsche Global Real Estate Securities Fund
    18,931,829       20,412,987       8,034,000       2,529,414       1,028,987             33,882,901  
Deutsche Real Estate Securities Fund
          47,790,555       14,853,000       (50,693 )     502,548       2,054,007       34,567,260  
Deutsche Real Estate Securities Income Fund
          6,686,182       442,000       (7,057 )     243,844       402,338       6,036,627  
PowerShares DB U.S. Dollar Index Bullish Fund
    11,827,915             11,776,807       (517,730 )                  
Central Cash Management Fund
    6,660,563       134,787,932       136,843,488             6,609             4,605,007  
Total
    504,741,001       279,810,313       332,789,295       (3,042,471 )     11,727,784       7,639,205       442,495,260  
 
Report of Independent Registered Public Accounting Firm
 
To the Board of Trustees of Deutsche Market Trust and Shareholders of Deutsche Alternative Asset Allocation Fund:
 
We have audited the accompanying statement of assets and liabilities, including the investment portfolio, of Deutsche Alternative Asset Allocation Fund (formerly DWS Alternative Asset Allocation Fund) (the "Fund"), a series of Deutsche Market Trust (formerly DWS Market Trust) (the "Trust"), as of March 31, 2015, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2015, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Deutsche Alternative Asset Allocation Fund at March 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
 
   
Boston, Massachusetts
May 26, 2015
   
 
Information About Your Fund's Expenses
 
As an investor of the Fund, you incur two types of costs: ongoing expenses and transaction costs. Ongoing expenses include management fees, distribution and service (12b-1) fees and other Fund expenses. Examples of transaction costs include sales charges (loads) and account maintenance fees, which are not shown in this section. The following table is intended to help you understand your ongoing expenses (in dollars) of investing in the Fund and to help you compare these expenses with the ongoing expenses of investing in other mutual funds. In addition to the ongoing expenses which the Fund bears directly, the Fund's shareholders indirectly bear the expense of the Underlying Funds in which the Fund invests. These expenses are not included in the Fund's annualized expense ratios used to calculate the expense estimate in the table. In the most recent six-month period, the Fund limited the ongoing expenses the Fund bears directly; had it not done so, expenses would have been higher. The examples in the table are based on an investment of $1,000 invested at the beginning of the six-month period and held for the entire period (October 1, 2014 to March 31, 2015).
 
The tables illustrate your Fund's expenses in two ways:
 
Actual Fund Return. This helps you estimate the actual dollar amount of ongoing expenses (but not transaction costs) paid on a $1,000 investment in the Fund using the Fund's actual return during the period. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the "Expenses Paid per $1,000" line under the share class you hold.
 
Hypothetical 5% Fund Return. This helps you to compare your Fund's ongoing expenses (but not transaction costs) with those of other mutual funds using the Fund's actual expense ratio and a hypothetical rate of return of 5% per year before expenses. Examples using a 5% hypothetical fund return may be found in the shareholder reports of other mutual funds. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period.
 
Please note that the expenses shown in these tables are meant to highlight your ongoing expenses only and do not reflect any transaction costs. The "Expenses Paid per $1,000" line of the tables is useful in comparing ongoing expenses only and will not help you determine the relative total expense of owning different funds. Subject to certain exceptions, an account maintenance fee of $20.00 assessed once per calendar year for Classes A, C and S shares may apply for accounts with balances less than $10,000. This fee is not included in these tables. If it was, the estimate of expenses paid for Classes A, C and S shares during the period would be higher, and account value during the period would be lower, by this amount.
 
Expenses and Value of a $1,000 Investmentfor the six months ended March 31, 2015 (Unaudited)
 
Actual Fund Return
 
Class A
   
Class C
   
Class R
   
Class R6*
   
Class S
   
Institutional Class
 
Beginning Account Value 10/1/14
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 3/31/15
  $ 999.80     $ 996.10     $ 998.30     $ 992.90     $ 1,001.10     $ 1,001.20  
Expenses Paid per $1,000**
  $ 2.89     $ 6.57     $ 3.84     $ .70     $ 2.05     $ 1.05  
Hypothetical 5% Fund Return
 
Class A
   
Class C
   
Class R
   
Class R6
   
Class S
   
Institutional Class
 
Beginning Account Value 10/1/14
  $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00     $ 1,000.00  
Ending Account Value 3/31/15
  $ 1,022.04     $ 1,018.35     $ 1,021.09     $ 1,023.88     $ 1,022.89     $ 1,023.88  
Expenses Paid per $1,000**
  $ 2.92     $ 6.64     $ 3.88     $ 1.06     $ 2.07     $ 1.06  
 
* For the period from November 28, 2014 (commencement of operations of Class R6) to March 31, 2015.
 
** Expenses (hypothetical expenses if Class R6 had been in existence from October 1, 2014) are equal to the Fund's annualized expense ratio for each share class, multiplied by the average account value over the period, multiplied by 182 (the number of days in the most recent six-month period), then divided by 365.
 
Annualized Expense Ratios***
Class A
Class C
Class R
Class R6
Class S
Institutional Class
Deutsche Alternative Asset Allocation Fund
.58%
1.32%
.77%
.21%
.41%
.21%
 
*** The Fund invests in other funds and indirectly bears its proportionate share of fees and expenses incurred by the Underlying Funds in which the Fund is invested. These ratios do not include these indirect fees and expenses.
 
For more information, please refer to the Fund's prospectus.
 
For an analysis of the fees associated with an investment in the Fund or similar funds, please refer to http://apps.finra.org/fundanalyzer/1/fa.aspx.
 
Tax Information (Unaudited)
 
For corporate shareholders, 100% of the ordinary dividends (i.e., income dividends plus short-term capital gains) paid during the Fund's fiscal year ended March 31, 2015, qualified for the dividends received deduction.
 
For federal income tax purposes, the Fund designates $16,500,000, or the maximum amount allowable under tax law, as qualified dividend income.
 
Please consult a tax advisor if you have questions about federal or state income tax laws, or on how to prepare your tax returns. If you have specific questions about your account, please call (800) 728-3337.
 
Advisory Agreement Board Considerations and Fee Evaluation
 
The Board of Trustees approved the renewal of Deutsche Alternative Asset Allocation Fund’s investment management agreement (the "Agreement") with Deutsche Investment Management Americas Inc. ("DIMA") in September 2014.
 
In terms of the process that the Board followed prior to approving the Agreement, shareholders should know that:
 
In September 2014, all of the Fund’s Trustees were independent of DIMA and its affiliates.
 
The Trustees met frequently during the past year to discuss fund matters and dedicated a substantial amount of time to contract review matters. Over the course of several months, the Board’s Contract Committee, in coordination with the Board’s Fixed Income and Asset Allocation Oversight Committee, reviewed comprehensive materials received from DIMA, independent third parties and independent counsel. These materials included an analysis of the Fund’s performance, fees and expenses, and profitability compiled by a fee consultant retained by the Fund’s Independent Trustees (the "Fee Consultant"). The Board also received extensive information throughout the year regarding performance of the Fund.
 
The Independent Trustees regularly meet privately with counsel to discuss contract review and other matters. In addition, the Independent Trustees were advised by the Fee Consultant in the course of their review of the Fund’s contractual arrangements and considered a comprehensive report prepared by the Fee Consultant in connection with their deliberations.
 
In connection with reviewing the Agreement, the Board also reviewed the terms of the Fund’s Rule 12b-1 plan, distribution agreement, administrative services agreement, transfer agency agreement and other material service agreements.
 
Based on its evaluation of the information provided, the Contract Committee presented its findings and recommendations to the Board. The Board then reviewed the Contract Committee’s findings and recommendations.
 
In connection with the contract review process, the Contract Committee and the Board considered the factors discussed below, among others. The Board also considered that DIMA has managed the Fund since its inception, and the Board believes that a long-term relationship with a capable, conscientious advisor is in the best interests of the Fund. The Board considered, generally, that shareholders chose to invest or remain invested in the Fund knowing that DIMA managed the Fund. DIMA is part of Deutsche Bank AG ("DB"), a major global banking institution that is engaged in a wide range of financial services. The Board believes that there are advantages to being part of a global asset management business that offers a wide range of investing expertise and resources, including hundreds of portfolio managers and analysts with research capabilities in many countries throughout the world.
 
As part of the contract review process, the Board carefully considered the fees and expenses of each Deutsche fund overseen by the Board in light of the fund’s performance. In many cases, this led to the negotiation and implementation of expense caps. As part of these negotiations, the Board indicated that it would consider relaxing these caps in future years following sustained improvements in performance, among other considerations.
 
In 2012, DB combined its Asset Management (of which DIMA was a part) and Wealth Management divisions into a new Asset and Wealth Management ("AWM") division. DB has advised the Independent Trustees that the U.S. asset management business is a critical and integral part of DB, and that DB will continue to invest in AWM a significant portion of the savings it has realized by combining its Asset and Wealth Management divisions, including ongoing enhancements to AWM’s investment capabilities. DB also has confirmed its commitment to maintaining strong legal and compliance groups within the AWM division.
 
While shareholders may focus primarily on fund performance and fees, the Fund’s Board considers these and many other factors, including the quality and integrity of DIMA’s personnel and such other issues as back-office operations, fund valuations, and compliance policies and procedures.
 
Nature, Quality and Extent of Services. The Board considered the terms of the Agreement, including the scope of advisory services provided under the Agreement. The Board noted that, under the Agreement, DIMA provides portfolio management services to the Fund and that, pursuant to a separate administrative services agreement, DIMA provides administrative services to the Fund. The Board considered the experience and skills of senior management and investment personnel, the resources made available to such personnel, the ability of DIMA to attract and retain high-quality personnel, and the organizational depth and stability of DIMA. The Board reviewed the Fund’s performance over short-term and long-term periods and compared those returns to various agreed-upon performance measures, including market index(es) and a peer universe compiled by the Fee Consultant using information supplied by Morningstar Direct ("Morningstar"), an independent fund data service. The Board also noted that it has put into place a process of identifying "Focus Funds" (e.g., funds performing poorly relative to a peer universe), and receives more frequent reporting and information from DIMA regarding such funds, along with DIMA’s plans to address underperformance. The Board believes this process is an effective manner of identifying and addressing underperforming funds. Based on the information provided, the Board noted that for the one-, three- and five-year periods ended December 31, 2013, the Fund’s performance (Class A shares) was in the 4th quartile, 3rd quartile and 1st quartile, respectively, of the applicable Morningstar universe (the 1st quartile being the best performers and the 4th quartile being the worst performers). The Board also observed that the Fund has underperformed its benchmark in the one-, three- and five-year periods ended December 31, 2013. The Board noted the disappointing investment performance of the Fund in recent periods and continued to discuss with senior management of DIMA the factors contributing to such underperformance and actions being taken to improve performance. The Board observed that the Fund had experienced improved relative performance during the first seven months of 2014. The Board recognized the efforts by DIMA in recent years to enhance its investment platform and improve long-term performance across the Deutsche fund complex.
 
Fees and Expenses. The Board considered the Fund’s investment management fee schedule, operating expenses and total expense ratios, and comparative information provided by Lipper Inc. ("Lipper") and the Fee Consultant regarding investment management fee rates paid to other investment advisors by similar funds (1st quartile being the most favorable and 4th quartile being the least favorable). With respect to management fees paid to other investment advisors by similar funds, the Board noted that the contractual fee rates paid by the Fund, which include a 0.10% fee paid to DIMA under the Fund’s administrative services agreement, were higher than the median (3rd quartile) of the applicable Lipper peer group (based on Lipper data provided as of December 31, 2013). The Board noted that the Fund’s Class A shares total (net) operating expenses (excluding 12b-1 fees) were expected to be higher than the median (3rd quartile) of the applicable Lipper expense universe (based on Lipper data provided as of December 31, 2013, and analyzing Lipper expense universe Class A (net) expenses less any applicable 12b-1 fees) ("Lipper Universe Expenses"). The Board also reviewed data comparing each share class’s total (net) operating expenses to the applicable Lipper Universe Expenses. The Board also considered how the Fund’s total (net) operating expenses compared to the total (net) operating expenses of a more customized peer group selected by Lipper (based on such factors as asset size). The Board noted that the expense limitations agreed to by DIMA helped to ensure that the Fund’s total (net) operating expenses would remain competitive. The Board considered the Fund’s management fee rate as compared to fees charged by DIMA to comparable funds and considered differences between the Fund and the comparable funds. The information requested by the Board as part of its review of fees and expenses also included information about institutional accounts and funds offered primarily to European investors ("Deutsche Europe funds") managed by DIMA and its affiliates. The Board noted that DIMA indicated that it does not manage any institutional accounts or Deutsche Europe funds comparable to the Fund.
 
On the basis of the information provided, the Board concluded that management fees were reasonable and appropriate in light of the nature, quality and extent of services provided by DIMA.
 
Profitability. The Board reviewed detailed information regarding revenues received by DIMA from advising the Deutsche Funds along with the estimated costs and pre-tax profits realized by DIMA from advising the Deutsche U.S. mutual funds ("Deutsche Funds"). The Board also received information regarding the estimated enterprise-wide profitability of DIMA and its affiliates with respect to all fund services in totality. The Board did not receive profitability information with respect to the Fund, but did receive such information with respect to the funds in which the Fund invests.
 
Economies of Scale. The Board considered whether there are economies of scale with respect to the management of the Fund and whether the Fund benefits from any economies of scale. The Board concluded that the Fund’s fee schedule represents an appropriate sharing between the Fund and DIMA of such economies of scale as may exist in the management of the Fund at current asset levels.
 
Other Benefits to DIMA and Its Affiliates. The Board also considered the character and amount of other incidental benefits received by DIMA and its affiliates, including any fees received by DIMA for administrative services provided to the Fund and any fees received by an affiliate of DIMA for distribution services. The Board also considered benefits to DIMA related to brokerage and soft-dollar allocations, including allocating brokerage to pay for research generated by parties other than the executing broker dealers, which pertain primarily to funds investing in equity securities, along with the incidental public relations benefits to DIMA related to Deutsche Funds advertising and cross-selling opportunities among DIMA products and services. The Board concluded that management fees were reasonable in light of these fallout benefits.
 
Compliance. The Board considered the significant attention and resources dedicated by DIMA to documenting and enhancing its compliance processes in recent years. The Board noted in particular (i) the experience and seniority of both DIMA’s chief compliance officer and the Fund’s chief compliance officer; (ii) the large number of DIMA compliance personnel; and (iii) the substantial commitment of resources by DIMA and its affiliates to compliance matters.
 
Based on all of the information considered and the conclusions reached, the Board unanimously determined that the continuation of the Agreement is in the best interests of the Fund. In making this determination, the Board did not give particular weight to any single factor identified above. The Board considered these factors over the course of numerous meetings, certain of which were in executive session with only the Independent Trustees and counsel present. It is possible that individual Trustees may have weighed these factors differently in reaching their individual decisions to approve the continuation of the Agreement.
 
Board Members and Officers
 
The following table presents certain information regarding the Board Members and Officers of the fund. Each Board Member's year of birth is set forth in parentheses after his or her name. Unless otherwise noted, (i) each Board Member has engaged in the principal occupation(s) noted in the table for at least the most recent five years, although not necessarily in the same capacity; and (ii) the address of each Independent Board Member is c/o Kenneth C. Froewiss, Chairman, Deutsche Mutual Funds, P.O. Box 390601, Cambridge, MA 02139. Except as otherwise noted below, the term of office for each Board Member is until the election and qualification of a successor, or until such Board Member sooner dies, resigns, is removed or as otherwise provided in the governing documents of the fund. Because the fund does not hold an annual meeting of shareholders, each Board Member will hold office for an indeterminate period. The Board Members may also serve in similar capacities with other funds in the fund complex.
 
Independent Board Members
Name, Year of Birth, Position with the Fund and Length of Time Served1
 
Business Experience and Directorships During the Past Five Years
Number of Funds in Deutsche Fund Complex Overseen
Other Directorships Held by Board Member
Kenneth C. Froewiss (1945)
Chairperson since 2013, and Board Member since 2001
 
Retired Clinical Professor of Finance, NYU Stern School of Business (1997–2014); Member, Finance Committee, Association for Asian Studies (2002–present); Director, Mitsui Sumitomo Insurance Group (US) (2004–present); prior thereto, Managing Director, J.P. Morgan (investment banking firm) (until 1996)
106
William McClayton (1944)
Vice Chairperson since 2013, and Board Member since 2004
 
Private equity investor (since October 2009); previously, Managing Director, Diamond Management & Technology Consultants, Inc. (global consulting firm) (2001–2009); Directorship: Board of Managers, YMCA of Metropolitan Chicago; formerly: Senior Partner, Arthur Andersen LLP (accounting) (1966–2001); Trustee, Ravinia Festival
106
John W. Ballantine (1946)
Board Member since 1999
 
Retired; formerly, Executive Vice President and Chief Risk Management Officer, First Chicago NBD Corporation/The First National Bank of Chicago (1996–1998); Executive Vice President and Head of International Banking (1995–1996); former Directorships: Director and former Chairman of the Board, Healthways, Inc.2 (provider of disease and care management services) (2003–2014); Stockwell Capital Investments PLC (private equity); First Oak Brook Bancshares, Inc. and Oak Brook Bank; Prisma Energy International
106
Portland General Electric2 (utility company) (2003– present)
Henry P. Becton, Jr. (1943)
Board Member since 1990
 
Vice Chair and former President, WGBH Educational Foundation. Directorships: Public Radio International; Public Radio Exchange (PRX); North Bennett Street School (Boston); former Directorships: Belo Corporation2 (media company); The PBS Foundation; Association of Public Television Stations; Boston Museum of Science; American Public Television; Concord Academy; New England Aquarium; Mass. Corporation for Educational Telecommunications; Committee for Economic Development; Public Broadcasting Service; Connecticut College
106
Lead Director, Becton Dickinson and Company2 (medical technology company)
Dawn-Marie Driscoll (1946)
Board Member since 1987
 
Emeritus Executive Fellow, Center for Business Ethics, Bentley University; formerly: President, Driscoll Associates (consulting firm); Partner, Palmer & Dodge (law firm) (1988–1990); Vice President of Corporate Affairs and General Counsel, Filene's (retail) (1978–1988). Directorships: Director of ICI Mutual Insurance Company (since 2007); Advisory Board, Center for Business Ethics, Bentley University; Trustee and former Chairman of the Board, Southwest Florida Community Foundation (charitable organization); former Directorships: Sun Capital Advisers Trust (mutual funds) (2007–2012), Investment Company Institute (audit, executive, nominating committees) and Independent Directors Council (governance, executive committees)
106
Keith R. Fox, CFA (1954)
Board Member since 1996
 
Managing General Partner, Exeter Capital Partners (a series of private investment funds) (since 1986). Directorships: Progressive International Corporation (kitchen goods importer and distributor); The Kennel Shop (retailer); former Chairman, National Association of Small Business Investment Companies; former Directorships: BoxTop Media Inc. (advertising); Sun Capital Advisers Trust (mutual funds) (2011–2012)
106
Paul K. Freeman (1950)
Board Member since 1993
 
Consultant, World Bank/Inter-American Development Bank; Chair, Independent Directors Council; Investment Company Institute (executive and nominating committees); formerly, Chairman of Education Committee of Independent Directors Council; Project Leader, International Institute for Applied Systems Analysis (1998–2001); Chief Executive Officer, The Eric Group, Inc. (environmental insurance) (1986–1998); Directorships: Denver Zoo Foundation (December 2012–present); former Directorships: Prisma Energy International
106
Richard J. Herring (1946)
Board Member since 1990
 
Jacob Safra Professor of International Banking and Professor, Finance Department, The Wharton School, University of Pennsylvania (since July 1972); Co-Director, Wharton Financial Institutions Center; Co-Chair, U.S. Shadow Financial Regulatory Committee; Executive Director, Financial Economists Roundtable; formerly: Vice Dean and Director, Wharton Undergraduate Division (July 1995–June 2000); Director, Lauder Institute of International Management Studies (July 2000–June 2006)
106
Director, Aberdeen Singapore and Japan Funds (since 2007); Independent Director of Barclays Bank Delaware (since September 2010)
Rebecca W. Rimel (1951)
Board Member since 1995
 
President and Chief Executive Officer, The Pew Charitable Trusts (charitable organization) (1994 to present); formerly: Executive Vice President, The Glenmede Trust Company (investment trust and wealth management) (1983–2004); Board Member, Investor Education (charitable organization) (2004–2005); Trustee, Executive Committee, Philadelphia Chamber of Commerce (2001–2007); Director, Viasys Health Care2 (January 2007–June 2007); Trustee, Thomas Jefferson Foundation (charitable organization) (1994–2012)
106
Director, Becton Dickinson and Company2 (medical technology company) (2012– present); Director, BioTelemetry Inc.2 (health care) (2009– present)
William N. Searcy, Jr. (1946)
Board Member since 1993
 
Private investor since October 2003; formerly: Pension & Savings Trust Officer, Sprint Corporation2 (telecommunications) (November 1989–September 2003); Trustee, Sun Capital Advisers Trust (mutual funds) (1998–2012)
106
Jean Gleason Stromberg (1943)
Board Member since 1997
 
Retired. Formerly, Consultant (1997–2001); Director, Financial Markets U.S. Government Accountability Office (1996–1997); Partner, Norton Rose Fulbright, L.L.P. (law firm) (1978–1996). Directorships: The William and Flora Hewlett Foundation (charitable organization); former Directorships: Service Source, Inc. (nonprofit), Mutual Fund Directors Forum (2002–2004), American Bar Retirement Association (funding vehicle for retirement plans) (1987–1990 and 1994–1996)
106
 

Officers4
Name, Year of Birth, Position with the Fund and Length of Time Served5
 
Business Experience and Directorships During the Past Five Years
Brian E. Binder8 (1972)
President and Chief Executive Officer, 2013–present
 
Managing Director3 and Head of Fund Administration, Deutsche Asset & Wealth Management (2013–present); formerly: Head of Business Management and Consulting at Invesco, Ltd. (2010–2012); Chief Administrative Officer, Van Kampen Funds Inc. (2008–2010); and Chief Administrative Officer, Morgan Stanley Investment Management Americas Distribution (2003–2008)
John Millette7 (1962)
Vice President and Secretary, 1999–present
 
Director,3 Deutsche Asset & Wealth Management
Melinda Morrow6 (1970)
Vice President,
2012–present
 
Director,3 Deutsche Asset & Wealth Management
Paul H. Schubert6 (1963)
Chief Financial Officer, 2004–present
Treasurer, 2005–present
 
Managing Director,3 Deutsche Asset & Wealth Management (since July 2004); formerly: Executive Director, Head of Mutual Fund Services and Treasurer for UBS Family of Funds (1998–2004); Vice President and Director of Mutual Fund Finance at UBS Global Asset Management (1994–1998)
Caroline Pearson7 (1962)
Chief Legal Officer,
2010–present
 
Managing Director,3 Deutsche Asset & Wealth Management; formerly: Assistant Secretary for DWS family of funds (1997–2010)
Robert Kloby6 (1962)
Chief Compliance Officer, 2006–present
 
Managing Director,3 Deutsche Asset & Wealth Management
Wayne Salit6 (1967)
Anti-Money Laundering Compliance Officer, 2014–present
 
Director,3 Deutsche Asset & Wealth Management; formerly: Managing Director, AML Compliance Officer at BNY Mellon (2011–2014); and Director, AML Compliance Officer at Deutsche Bank (2004–2011)
Hepsen Uzcan6 (1974)
Assistant Secretary, 2013–present
 
Director,3 Deutsche Asset & Wealth Management
Paul Antosca7 (1957)
Assistant Treasurer, 2007–present
 
Director,3 Deutsche Asset & Wealth Management
Jack Clark7 (1967)
Assistant Treasurer, 2007–present
 
Director,3 Deutsche Asset & Wealth Management
Diane Kenneally7 (1966)
Assistant Treasurer, 2007–present
 
Director,3 Deutsche Asset & Wealth Management
 
1 The length of time served represents the year in which the Board Member joined the board of one or more Deutsche funds currently overseen by the Board.
 
2 A publicly held company with securities registered pursuant to Section 12 of the Securities Exchange Act of 1934.
 
3 Executive title, not a board directorship.
 
4 As a result of their respective positions held with the Advisor, these individuals are considered "interested persons" of the Advisor within the meaning of the 1940 Act. Interested persons receive no compensation from the fund.
 
5 The length of time served represents the year in which the officer was first elected in such capacity for one or more Deutsche funds.
 
6 Address: 60 Wall Street, New York, NY 10005.
 
7 Address: One Beacon Street, Boston, MA 02108.
 
8 Address: 222 South Riverside Plaza, Chicago, IL 60606.
 
The fund's Statement of Additional Information ("SAI") includes additional information about the Board Members. The SAI is available, without charge, upon request. If you would like to request a copy of the SAI, you may do so by calling the following toll-free number: (800) 728-3337.
 
Account Management Resources
 
For More Information
 
The automated telephone system allows you to access personalized account information and obtain information on other Deutsche funds using either your voice or your telephone keypad. Certain account types within Classes A, C and S also have the ability to purchase, exchange or redeem shares using this system.
For more information, contact your financial advisor. You may also access our automated telephone system or speak with a Shareholder Service representative by calling:
(800) 728-3337
Web Site
 
deutschefunds.com
View your account transactions and balances, trade shares, monitor your asset allocation, subscribe to fund and account updates by e-mail, and change your address, 24 hours a day.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about Deutsche funds, retirement planning information, and more.
Written Correspondence
 
Deutsche Asset & Wealth Management
PO Box 219151
Kansas City, MO 64121-9151
Proxy Voting
 
The fund's policies and procedures for voting proxies for portfolio securities and information about how the fund voted proxies related to its portfolio securities during the 12-month period ended June 30 are available on our Web site — deutschefunds.com (click on "proxy voting"at the bottom of the page) — or on the SEC's Web site — sec.gov. To obtain a written copy of the fund's policies and procedures without charge, upon request, call us toll free at (800) 728-3337.
Portfolio Holdings
 
Following the fund's fiscal first and third quarter-end, a complete portfolio holdings listing is filed with the SEC on Form N-Q. This form will be available on the SEC's Web site at sec.gov, and it also may be reviewed and copied at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the SEC's Public Reference Room may be obtained by calling (800) SEC-0330. The fund's portfolio holdings are also posted on deutschefunds.com from time to time. Please see the fund's current prospectus for more information.
Principal Underwriter
 
If you have questions, comments or complaints, contact:
DeAWM Distributors, Inc.
222 South Riverside Plaza
Chicago, IL 60606-5808
(800) 621-1148
Investment Management
 
Deutsche Investment Management Americas Inc. ("DIMA" or the "Advisor"), which is part of Deutsche Asset & Wealth Management, is the investment advisor for the fund. DIMA and its predecessors have more than 80 years of experience managing mutual funds and DIMA provides a full range of investment advisory services to both institutional and retail clients.
DIMA is an indirect, wholly owned subsidiary of Deutsche Bank AG. Deutsche Bank AG is a major global banking institution engaged in a wide variety of financial services, including investment management, retail, private and commercial banking, investment banking and insurance.
Deutsche Asset & Wealth Management is the retail brand name in the U.S. for the wealth management and asset management activities of Deutsche Bank AG and DIMA. Deutsche Asset & Wealth Management is committed to delivering the investing expertise, insight and resources of this global investment platform to American investors.
 

   
Class A
Class C
Class S
Institutional Class
Nasdaq Symbol
 
AAAAX
AAAPX
AAASX
AAAZX
CUSIP Number
 
25159K 879
25159K 887
25159K 804
25159K 705
Fund Number
 
487
787
2087
1487
 

For shareholders of Class R and R6
Automated Information Line
 
DeAWM Flex Plan Access (800) 728-3337
24-hour access to your retirement plan account.
Web Site
 
deutschefunds.com
Click "Retirement Plans" to reallocate assets, process transactions, review your funds, and subscribe to fund updates by e-mail through our secure online account access.
Obtain prospectuses and applications, blank forms, interactive worksheets, news about Deutsche funds, retirement planning information, and more.
For More Information
 
(800) 728-3337
To speak with a service representative.
Written Correspondence
 
DeAWM Service Company
222 South Riverside Plaza
Chicago, IL 60606-5806
 

   
Class R
Class R6
Nasdaq Symbol
 
AAAQX
AAAVX
CUSIP Number
 
25159K 200
25159K 713
Fund Number
 
1587
1687
 
Notes
 
Notes
 
Notes
 
 

 
 
   
ITEM 2.
CODE OF ETHICS
   
 
As of the end of the period covered by this report, the registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its Principal Executive Officer and Principal Financial Officer.
 
There have been no amendments to, or waivers from, a provision of the code of ethics during the period covered by this report that would require disclosure under Item 2.
 
A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
   
ITEM 3.
AUDIT COMMITTEE FINANCIAL EXPERT
   
 
The fund’s audit committee is comprised solely of trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The fund’s Board of Trustees has determined that there are several "audit committee financial experts" (as such term has been defined by the Regulations) serving on the fund’s audit committee including Mr. Paul K. Freeman, the chair of the fund’s audit committee. An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933 and the designation or identification of a person as an “audit committee financial expert” does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification.
   
ITEM 4.
PRINCIPAL ACCOUNTANT FEES AND SERVICES
   
DEUTSCHE ALTERNATIVE ASSET ALLOCATION FUND
FORM N-CSR DISCLOSURE RE: AUDIT FEES
 
The following table shows the amount of fees that Ernst & Young LLP (“EY”), the Fund’s Independent Registered Public Accounting Firm, billed to the Fund during the Fund’s last two fiscal years.  The Audit Committee approved in advance all audit services and non-audit services that EY provided to the Fund.
 
Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Fund
 
Fiscal Year Ended March 31,
 
Audit Fees Billed to Fund
   
Audit-Related
Fees Billed to Fund
   
Tax Fees Billed to Fund
   
All
Other Fees Billed to Fund
 
2015
  $ 58,499     $ 0     $ 10,238     $ 0  
2014
  $ 58,499     $ 0     $ 10,238     $ 0  

The above “Tax Fees” were billed for professional services rendered for tax return preparation.


Services that the Fund’s Independent Registered Public Accounting Firm Billed to the Adviser and Affiliated Fund Service Providers
 
The following table shows the amount of fees billed by EY to Deutsche Investment Management Americas, Inc. (“DIMA” or the “Adviser”), and any entity controlling, controlled by or under common control with DIMA (“Control Affiliate”) that provides ongoing services to the Fund (“Affiliated Fund Service Provider”), for engagements directly related to the Fund’s operations and financial reporting, during the Fund’s last two fiscal years.

Fiscal Year Ended March 31,
 
Audit-Related
Fees Billed to Adviser and Affiliated Fund Service Providers
   
Tax Fees Billed to Adviser and Affiliated Fund Service Providers
   
All
Other Fees Billed to Adviser and Affiliated Fund Service Providers
 
2015
  $ 0     $ 372,386     $ 8,787,010  
2014
  $ 0     $ 163,150     $ 0  

The above “Tax Fees” were billed in connection with tax compliance services and agreed upon procedures.  All other engagement fees were billed for services in connection with agreed upon procedures for DIMA and other related entities.
 
Non-Audit Services
 
The following table shows the amount of fees that EY billed during the Fund’s last two fiscal years for non-audit services. The Audit Committee pre-approved all non-audit services that EY provided to the Adviser and any Affiliated Fund Service Provider that related directly to the Fund’s operations and financial reporting. The Audit Committee requested and received information from EY about any non-audit services that EY rendered during the Fund’s last fiscal year to the Adviser and any Affiliated Fund Service Provider.  The Committee considered this information in evaluating EY’s independence.

Fiscal Year Ended March 31,
 
Total
Non-Audit Fees Billed to Fund
(A)
   
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (engagements related directly to the operations and financial reporting of the Fund)
(B)
   
Total Non-Audit Fees billed to Adviser and Affiliated Fund Service Providers (all other engagements)
(C)
   
Total of (A), (B)
and (C)
 
2015
  $ 10,238     $ 9,159,396     $ 570,504     $ 9,740,138  
2014
  $ 10,238     $ 163,150     $ 387,295     $ 560,683  


All other engagement fees were billed for services in connection with agreed upon procedures and tax compliance for DIMA and other related entities.

Audit Committee Pre-Approval Policies and Procedures.  Generally, each Fund’s Audit Committee must pre approve (i) all services to be performed for a Fund by a Fund’s Independent Registered Public Accounting Firm and (ii) all non-audit services to be performed by a Fund’s Independent Registered Public Accounting Firm for the DIMA Entities with respect to operations and financial reporting of the Fund, except that the Chairperson or Vice Chairperson of each Fund’s Audit Committee may grant the pre-approval for non-audit services described in items (i) and (ii) above for non-prohibited services for engagements of less than $100,000.  All such delegated pre approvals shall be presented to each Fund’s Audit Committee no later than the next Audit Committee meeting.

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception under Rule 2-01 of Regulation S-X.

According to the registrant’s principal Independent Registered Public Accounting Firm, substantially all of the principal Independent Registered Public Accounting Firm's hours spent on auditing the registrant's financial statements were attributed to work performed by full-time permanent employees of the principal Independent Registered Public Accounting Firm.
 
***
In connection with the audit of the 2014 and 2015 financial statements, the Fund entered into an engagement letter with EY.  The terms of the engagement letter required by EY, and agreed to by the Audit Committee, include provisions in which the parties consent to the sole jurisdiction of federal courts in New York, Boston or the Northern District of Illinois, as well as a waiver of right to a trial by jury and an exclusion of punitive damages.
 
***

   
ITEM 5.
AUDIT COMMITTEE OF LISTED REGISTRANTS
   
 
Not applicable
   
ITEM 6.
SCHEDULE OF INVESTMENTS
   
 
Not applicable
   
ITEM 7.
DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 8.
PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
   
 
Not applicable
   
ITEM 9.
PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
   
 
Not applicable
   
ITEM 10.
SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
   
 
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board. The primary function of the Nominating and Governance Committee is to identify and recommend individuals for membership on the Board and oversee the administration of the Board Governance Guidelines. Shareholders may recommend candidates for Board positions by forwarding their correspondence by U.S. mail or courier service to Kenneth C. Froewiss, Independent Chairman, Deutsche Mutual Funds, P.O. Box 390601, Cambridge, MA 02139.
   
ITEM 11.
CONTROLS AND PROCEDURES
   
 
(a)
The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
   
 
(b)
There have been no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
   
ITEM 12.
EXHIBITS
   
 
(a)(1)
Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.
   
 
(a)(2)
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
   
 
(b)
Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:
Deutsche Alternative Asset Allocation Fund, a series of Deutsche Market Trust
   
   
By:
/s/Brian E. Binder
Brian E. Binder
President
   
Date:
May 29, 2015


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:
/s/Brian E. Binder
Brian E. Binder
President
   
Date:
May 29, 2015
   
   
   
By:
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
   
Date:
May 29, 2015