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Deutsche Bank Commodities Deutsche Bank Commodity Indices January 2015 Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-184193 Dated January 13, 2015 |
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Contents
[] Optimum Yield Indices
* DB Commodity Booster -- Bloomberg ERAC Index * DB Commodity Booster --
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name Commodities Name of event/date
1
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Executive Summary The Evolution of Commodity Markets [] Commodities are an asset class in their own right and exhibit unique characteristics such as historically low correlation with traditional asset classes and a positive correlation with inflation [] An investment in a commodity index is a simple way for investors to gain exposure to the asset class while insulating them from the mechanics of rolling futures and posting collateral. This transparent, rule-based roll mechanism eliminates human intervention [] Deutsche Bank is one of the largest providers of non-benchmark commodity indices with a comprehensive suite of commodity index products aimed at enhancing beta returns and extracting market neutral alpha returns in the commodity space [] As the commodity market has evolved, Deutsche Bank has created new indices that may benefit from the special features of the asset class Deutsche Bank Commodities 2 |
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DB Commodity -- Family of Indices
Introduction
[] The Deutsche Bank suite of Commodity indices seeks to enhance returns by
altering traditional commodity index construction rules related to: Relative
value asset allocation (Mean Reversion); Market momentum filter (Momentum);
Futures Rolling Methodology (Optimized Yield); Controlled Risk (Target
Volatility) and Risk Parity
Mean Optimized Yield
DB Commodity Indices Momentum Optimized Yield Risk Parity Target Volatility
Reversion Enhanced
DB Commodity Booster -- Bloomberg ERAC []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Booster -- Bloomberg ERAC TV 14 [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Booster -- Benchmark []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DBLCI-MR []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DBLCI-MR+ [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DBLCI -- Mean Reversion Enhanced ex NG ERAC [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB MR Enhanced 15 [] [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Harvest ERAC []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Harvest -- 10 ERAC [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Backwardation Alpha 22 []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Risk Parity 18 Index [] [] []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Booster OYE Benchmark
Bloomberg []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Booster OYE Benchmark LE []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Curve Alpha ERAC []
-------------------------------------------- --------- -------- --------------- --------------- ----------- -----------------
DB Commodity Curve Alpha ERAC 10 [] []
-------------------------------------------- --------- -------- --------------- -----------
Deutsche Bank Commodities
3
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Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name Commodities Name of event/date
4
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DB Commodity Booster -- Bloomberg ERAC
Index Summary
[] Composition of DB Commodity Booster Bloomberg ERAC Index: The DB Commodity
Booster -- Bloomberg ERAC Index has the same base weights as the Bloomberg
Commodity Index. Weights are rebalanced annually.
[] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield
("OY") technology, which rolls an expiring contract into the contract that
maximizes positive roll yield (in a backwardated market) or minimizes negative
roll yield (in a contango market) from the list of tradable futures which
expire in the next 13 months [] Embedded Cost: 0.70% per annum []
Transparency: Rule-based index with the closing level and weights published
daily on Bloomberg (DBCMBDEN)
Deutsche Bank Note: Speaker Commodities 1 ERAC: Excess Return After CostName of
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DB Commodity Booster -- Bloomberg ERAC Index Construction [] Replicates the Bloomberg Commodity Index by using OY indices thereby providing similar commodity exposure while seeking to manage returns more effectively Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 31 Dec 2014Name of event/date 6 2 ERAC: Excess Return After Cost |
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DB Commodity Booster -- Bloomberg ERAC
Performance Analysis
Performance Analysis (1)
------------------------------------------- -------------- --------------
DB Commodity Bloomberg
Jan 2005 -- Dec 2014 Booster -- SandP-GSCI
Bloomberg ERAC Commodity
Annualized Returns 0.6% -3.3% -6.2%
Volatility 16.9% 18.2% 24.2%
Sharpe Ratio(2) 0.04 -0.18 -0.26
Maximum Drawdown -54.3% -57.1% -71.6%
Start Date Jul-08 Jul-08 Jul-08
End Date Mar-09 Mar-09 Feb-09
Max Monthly Consecutive Loss -51.7% -54.5% -67.8%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 46% / -48.8% 39.9% / -52.7% 74.8% / -64.8%
Rolling 3 Months 24.2% / -38.5% 24.7% / -39.7% 34.4% / -53.4%
Average Monthly Returns 0.2% -0.1% -0.3%
% Months with Gains 55.8% 55.0% 53.3%
Correlation
Bloomberg Commodity 0.97 1.00 0.91
SandP-GSCI 0.89 0.91 1.00
---------------------------- -------------- -------------- --------------
Index Sector Exposure (1)
------------------------- --------------------------
Sector Current Weight (%)
Energy 24.30
Precious Metal 16.80
Industrial Metal 18.65
Agriculture 40.27
------------------------- --------------------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
---------------------------------------------------
DB Commodity Booster Bloomberg
Calendar Year -- Bloomberg ERAC Commodity SandP-GSCI
2005 29.73% 17.54% 21.61%
2006 11.79% -2.71% -19.07%
2007 15.87% 11.08% 26.81%
2008 -30.94% -36.61% -47.29%
2009 18.97% 18.72% 13.30%
2010 16.13% 16.67% 8.88%
2011 -9.77% -13.37% -1.23%
2012 0.21% -1.14% -0.01%
2013 -11.24% -9.58% -1.28%
2014 -17.16% -17.04% -33.08%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 0.64% -3.28% -6.16%
----------------- --------------------------- ------------ ----------
Notes:
1 Source: Bloomberg. DB Commodity Booster -- Bloomberg ERAC
has been retrospectively calculated and did not exist prior to 12 October 2010
(the " Speaker name Live Date"). The Index has very limited performance
Deutsche Bank history and no actual investment which allowed tracking of the
performance of the Index was possible before its Live Date. Accordingly, the
results shown before the Live Date are hypothetical and do not Commodities
reflect actual returns. Past performance is not necessarily indicative of how
the Index will perform in the future. The performance of any investment product
based on the DB Commodity Booster --Name of event/date Bloomberg ERAC Index
would have been lower than the Index as a result of fees and / or costs. Data
from 31 Dec 2004 till 31 December 2014. See Risk Considerations for more
information.
2 Sharpe Ratio = annualized return / volatility. ERAC = Excess Return After
Cost. Statistics shown are either for excess return indices or ERAC indices. 7
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DB Commodity Booster -- Bloomberg TV 14 ERAC
Index Summary
[] Composition: Same base weights as the Bloomberg Commodity Index
[] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield
("OY") technology, which rolls an expiring contract into the contract that
maximizes positive roll yield (in a backwardated market) or minimizes negative
roll yield (in a contango market) from the list of tradable futures which
expire in the next 13 months[] Target Volatility: Varies its exposure to the DB
Commodity Booster -- Bloomberg ERAC Index with a view to target a volatility of
14%. Exposure is capped at 500%.
[] Transparency: Rule-based index with the closing level and weights published
daily on Bloomberg (DBCMBTVN)
Deutsche Bank Note: Speaker name Commodities 1 ERAC: Excess Return After
CostName of event/date
8
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DB Commodity Booster -- Bloomberg TV 14 ERAC Index Construction [] Index replicates the Bloomberg Commodity Index by using the corresponding OY indices, thereby providing similar commodity exposure while seeking to manage roll returns more efficiently. [] Applies Target Volatility technology with the aim of achieving a smoother return profile, as well as benefit from the historically negative correlation between index returns and realized volatility. Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 31 Dec 2014Name of event/date 9 2 ERAC: Excess Return After Cost |
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DB Commodity Booster -- Bloomberg TV 14 ERAC
Performance Analysis
Performance Analysis (1)
------------------------------------------------- -------------- --------------
DB Commodity DB Commodity
Jan 2005 -- Dec 2014 Booster -- Bloomberg Booster -- Bloomberg
ERAC TV 14 Bloomberg ERAC Commodity
Annualized Returns -0.6% 0.6% -3.3%
Volatility 14.9% 16.9% 18.2%
Sharpe Ratio -0.04 0.04 -0.18
Maximum Drawdown -53.6% -54.3% -57.1%
Start Date Jul-08 Jul-08 Jul-08
End Date Dec-14 Mar-09 Mar-09
Max Monthly Consecutive Loss -36.9% -51.7% -54.5%
Start Date Jul-14 Jul-08 Jul-08
End Date Dec-14 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 41% / -31.6% 46% / -48.8% 39.9% / -52.7%
Rolling 3 Months 21.6% / -24.4% 24.2% / -38.5% 24.7% / -39.7%
Average Monthly Returns 0.1% 0.2% -0.1%
% Months with Gains 55.8% 55.8% 55.0%
Correlation
Booster Bloomberg ERAC 0.92 1.00 0.97
Bloomberg Commodity 0.90 0.97 1.00
---------------------------- -------------------- -------------- --------------
Index Sector Exposure (1)
-------------------------------- --------------------------
Current Exposure to DB Commodity
Booster -- Bloomberg ERAC 104.48%
Sector Current Weight (%)
Energy 24.30
Precious Metal 16.80
Industrial Metal 18.65
Agriculture 40.27
-------------------------------- --------------------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
---------------------------------------------------
DB Commodity DB Commodity Bloomberg
Booster -- Bloomberg Booster --
Calendar Year ERAC TV 14 Bloomberg ERAC Commodity
2005 29.49% 29.73% 17.54%
2006 10.23% 11.79% -2.71%
2007 15.91% 15.87% 11.08%
2008 -16.19% -30.94% -36.61%
2009 12.73% 18.97% 18.72%
2010 15.63% 16.13% 16.67%
2011 -8.94% -9.77% -13.37%
2012 -2.25% 0.21% -1.14%
2013 -16.79% -11.24% -9.58%
2014 -29.65% -17.16% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return -0.60% 0.64% -3.28%
----------------- --------------------- ------------------ ----------
Notes:
1 Source: Bloomberg. DB Commodity Booster-- Bloomberg TV 14
ERAC has been retrospectively calculated and did not exist prior to 12 October
2010 (the "Live Date"). The Index has very limited performance Deutsche Bank
history and no actual investment which allowed tracking of the performance of
the Index was possible before its Live Date. Accordingly, the results shown
before the Live Date are hypothetical and do not reflectSpeaker name
Commodities actual returns. Past performance is not necessarily indicative of
how the Index will perform in the future. The performance of any investment
product based on the DB Commodity Booster-- Bloomberg TV 14Name of event/date
ERAC Index would have been lower than the Index as a result of fees and / or
costs. Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information.
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices. Current weights shown are for DB Commodity
Booster -- Bloomberg ERAC Index 10
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DB Commodity Booster -- Benchmark
Index Summary
[] Composition: Same base weights as the SandP GSCI Index
[] Optimizing Roll Returns: Employs Deutsche Bank's proprietary optimum yield
("OY") technology, which rolls an expiring contract into the contract that
maximizes positive roll yield (in a backwardated market) or minimizes negative
roll yield (in a contango market) from the list of tradable futures which
expire in the next 13 months[] Transparency: Rule-based index with the closing
level and weights published daily on Bloomberg (DBCMBSEU)
Deutsche Bank Speaker name Commodities Name of event/date
11
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DB Commodity Booster -- Benchmark Index Construction [] Replicates the SandP GSCI Index by using OY indices thereby providing similar commodity exposure while seeking to manage returns more effectively Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 31 Dec 2014Name of event/date 12 |
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DB Commodity Booster -- Benchmark
Performance Analysis
Performance Analysis (1)
------------------------------------------- -------------- --------------
DB Commodity Bloomberg
Jan 2005 -- Dec 2014 Booster -- SandP-GSCI
Benchmark Commodity
Annualized Returns -0.2% -3.3% -6.2%
Volatility 21.7% 18.2% 24.2%
Sharpe Ratio -0.01 -0.18 -0.26
Maximum Drawdown -64.6% -57.1% -71.6%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Mar-09 Feb-09
Max Monthly Consecutive Loss -60.7% -54.5% -67.8%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max / Min Returns
Rolling 12 Months 76.3% / -56.7% 39.9% / -52.7% 74.8% / -64.8%
Rolling 3 Months 33.4% / -47.4% 24.7% / -39.7% 34.4% / -53.4%
Average Monthly Returns 0.2% -0.1% -0.3%
% Months with Gains 52.5% 55.0% 53.3%
Correlation
Bloomberg Commodity 0.89 1.00 0.91
SandP-GSCI 0.98 0.91 1.00
---------------------------- -------------- -------------- --------------
Index Sector Exposure (1)
------------------------- ---------------------------
Sector Current Weight (%)
Energy 62.40
Precious Metal 3.59
Industrial Metal 8.86
Agriculture and Livestock 25.17
------------------------- ---------------------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
DB Commodity Bloomberg SandP-GSCI
Calendar Year Booster -- Benchmark Commodity
2005 41.80% 17.54% 21.61%
2006 -2.31% -2.71% -19.07%
2007 25.49% 11.08% 26.81%
2008 -36.65% -36.61% -47.29%
2009 20.31% 18.72% 13.30%
2010 9.69% 16.67% 8.88%
2011 -0.55% -13.37% -1.23%
2012 0.60% -1.14% -0.01%
2013 -1.86% -9.58% -1.28%
2014 -31.03% -17.04% -33.08%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return -0.16% -3.28% -6.16%
----------------- ------------------------ ---------- -----------
Notes:
1 Source: Bloomberg. DB Commodity Booster -- Benchmark has
been retrospectively calculated and did not exist prior to 15 December 2007
(the " Speaker name Live Date"). The index has very limited performance
Deutsche Bank history and no actual investment which allowed tracking of the
performance of the Index was possible before its Live Date. Accordingly, the
results shown before the Live Date are hypothetical and do not Commodities
reflect actual returns. Past performance is not necessarily indicative of how
the Index will perform in the future. The performance of any investment product
based on the DB Commodity Booster --Name of event/date Benchmark Index would
have been lower than the Index as a result of fees and / or costs. Data from 31
Dec 2004 till 31 Dec 2014. See Risk Considerations for more information.
2 Statistics shown are for excess return indices. 13
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Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name Commodities Name of event/date
14
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DBLCI-MR Index Summary [] Components: Tracks the performance of a basket of 6 commodity futures: Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn, and Wheat [] Dynamic Weights: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among six of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture. The commodity weight is determined formulaically based on the ratio between a one-year and five-year moving average price [] Rebalancing: A rebalancing will occur whenever one of the commodities undergoes a "trigger event. " A trigger event occurs when the one-year moving average price of the commodity trades +/-- 5% than the five-year moving average [] Roll Frequency and Method: Fixed monthly roll for Energy components, fixed yearly roll for Metals and Agriculture components [] Transparency: Rule-based index with the closing level and weights published daily on Bloomberg (DBLCMMCL) Deutsche Bank Speaker name Commodities Name of event/date 15 |
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DBLCI-MR Index Construction [] Invests in 6 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones Source: Deutsche Bank, 2014 Deutsche Bank Notes: Speaker name Commodities 1 Base Weights of DBLCI-MR IndexNam of event/date 2 Current Weights as of 31 Dec 2014 16 |
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DBLCI-MR
Performance Analysis
Performance Analysis (1)
-------------------------------------- ------ ----------------------
Jan 2005 -- Dec 2014 DBLCI-MR DBLCI Bloomberg Commodity
Annualized Returns 3.1% -2.4% -3.3%
Volatility 20.9% 22.0% 18.2%
Sharpe Ratio 0.15 -0.11 -0.18
Maximum Drawdown -62.8% -65.7% -57.1%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Dec-14 Mar-09
Max Monthly Consecutive Loss -59.0% -61.9% -54.5%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max / Min Returns
Rolling 12 Months 84% / -56.3% 83.1% / -60.7% 39.9% / -52.7%
Rolling 3 Months 33.3% / -43.1% 28.4% / -47.4% 24.7% / -39.7%
Average Monthly Returns 0.4% 0.0% -0.1%
% Months with Gains 56.7% 52.5% 55.0%
Correlation
DBLCI 0.90 1.00 0.91
Bloomberg Commodity 0.84 0.91 1.00
----------------------- -------------- ------ ----------------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
Calendar Year DBLCI-MR DBLCI Bloomberg Commodity
2005 2.96% 13.89% 17.54%
2006 39.22% 3.06% -2.71%
2007 42.49% 34.67% 11.08%
2008 -35.43% -39.60% -36.61%
2009 22.29% 10.17% 18.72%
2010 13.62% 12.33% 16.67%
2011 -2.47% -1.13% -13.37%
2012 3.33% 0.79% -1.14%
2013 -9.05% -9.58% -9.58%
2014 -19.41% -26.48% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 3.07% -2.42% -3.28%
----------------- ------------ -------- -------------------------
Deutsche Bank Notes: Speaker name
Commodities 1 Source: Bloomberg. Past performance is not necessarily indicative
of how the Index will perform in the future. The performance of any investment
product based on the DBLCI -- MR Index wouldName of event/date have been lower
than the Index as a result of fees and / or costs. Data from 31 Dec 2004 till
31 Dec 2014. See Risk Considerations for more information.
2 Statistics shown are for excess return indices. 17
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DBLCI -- Mean Reversion Enhanced ex NG ERAC
Index Summary
[] Components: Tracks the performance of a basket of 11 commodities: Aluminum,
Nickel, Zinc, Copper, Lead, WTI Crude Oil, Gold, Silver, Corn, Wheat and
Soybeans.
[] Wheat : Wheat exposure is taken through an equally-weighted basket of
Chicago Wheat, Minneapolis Wheat and Kansas Wheat [] Dynamic Weights and
Diversification: Seeks to underweight relatively expensive commodities and
overweight relatively cheap commodities among twelve of the most liquid
commodities in four sectors: Energy, Base Metals, Precious Metals, Agriculture.
In order to avoid concentration and ensure adequate diversification, single
commodity allocations are first subject to a 32% cap and then to 18% cap on
subsequent commodities.
[] Optimizing Roll Returns: Deutsche Bank's proprietary Optimum Yield ("OY")
technology rolls an expiring contract into the contract that maximizes positive
roll yield (in a backwardated market) or minimizes negative roll yield (in a
contango market) from the list of tradable futures which expire in the next 13
months[] Rebalancing: A rebalancing will occur if on the monthly rebalance
date, the one-year moving average price of one or more commodities trade +/--
5% than the five-year moving average
[] Embedded Cost: 1.00% per annum
[] Transparency: Rule-based index with the closing level and weights published
daily on Bloomberg (DBLCMNGU)
Deutsche Bank Note: Speaker name Commodities 1 ERAC: Excess Return After
CostName of event/date
18
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DBLCI -- Mean Reversion Enhanced ex NG ERAC Index Construction [] Invests in 11 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones [] Employs OY technology seeking to maximize roll yield by selecting the optimum futures contract Deutsche Bank Source: Deutsche Bank, 2014Speaker name Commodities Notes: Name of event/date 1 Base Weights of DBLCI-MR Enhanced ex NG ERAC Index. Current Weights as of 31 Dec 2014 2 ERAC: Excess Return After Cost 19 |
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DBLCI -- Mean Reversion Enhanced ex NG ERAC
Performance Analysis
Index Sector Exposure (1)
------------------------- --------------------------
Sector Current Weight (%)
Energy 20.37
Precious Metal 29.64
Industrial Metal 18.13
Agriculture 31.86
------------------------- --------------------------
Performance Analysis (1)
------------------------------------------- -------------- --------------
DBLCI Mean Bloomberg
Jan 2005 -- Dec 2014 Reversion Enhanced DBLCI-MR Commodity
ex NG ERAC
Annualized Returns 6.5% 3.1% -3.3%
Volatility 20.3% 20.9% 18.2%
Sharpe Ratio 0.32 0.15 -0.18
Maximum Drawdown -50.9% -62.8% -57.1%
Start Date Jul-08 Jul-08 Jul-08
End Date Dec-08 Feb-09 Mar-09
Max Monthly Consecutive Loss -46.9% -59.0% -54.5%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 72.9% / -43.2% 84% / -56.3% 39.9% / -52.7%
Rolling 3 Months 38.1% / -38.4% 33.3% / -43.1% 24.7% / -39.7%
Average Monthly Returns 0.7% 0.4% -0.1%
% Months with Gains 55.8% 56.7% 55.0%
Correlation
DBLCI -- MR 0.90 1.00 0.84
Bloomberg Commodity 0.86 0.84 1.00
---------------------------- -------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
DBLCI Mean Bloomberg
Reversion Enhanced ex DBLCI-MR
Calendar Year NG ERAC Commodity
2005 11.93% 2.96% 17.54%
2006 29.59% 39.22% -2.71%
2007 34.65% 42.49% 11.08%
2008 -25.15% -35.43% -36.61%
2009 55.25% 22.29% 18.72%
2010 19.46% 13.62% 16.67%
2011 -9.69% -2.47% -13.37%
2012 3.22% 3.33% -1.14%
2013 -12.66% -9.05% -9.58%
2014 -14.69% -19.41% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 6.53% 3.07% -3.28%
----------------- ----------------------- -------- --------------
Notes:
1 Source: Bloomberg. DBLCI -- Mean Reversion Enhanced ex NG
ERAC has been retrospectively calculated and did not exist prior to 30 August
2012 (the "Live Date"). The Index has very limited performance Deutsche Bank
history and no actual investment which allowed tracking of the performance of
the Index was possible before its Live Date. Accordingly, the results shown
before the Live Date are hypothetical and do not reflectSpeaker name
Commodities actual returns. Past performance is not necessarily indicative of
how the Index will perform in the future. The performance of any investment
product based on the DBLCI -- Mean Reversion Enhanced ex NGName of event/date
ERAC Index would have been lower than the Index as a result of fees and / or
costs. Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information. 20
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices.
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DB MR Enhanced 15
Index Summary
[] Components: Tracks the performance of a basket of 12 commodities: Aluminum,
Nickel, Zinc, Copper, Lead, WTI Crude Oil, Natural Gas, Gold, Silver, Corn,
Wheat and Soybeans [] Wheat(1) : Wheat exposure is taken through an
equally-weighted basket of Chicago Wheat, Minneapolis Wheat and Kansas Wheat
[] Dynamic Weights and Diversification(2): Seeks to underweight relatively
expensive commodities and overweight relatively cheap commodities among twelve
of the most liquid commodities in four sectors: Energy, Base Metals, Precious
Metals, Agriculture. In order to avoid concentration and ensure adequate
diversification, single commodity allocations except Agriculture commodities
are first subject to a 32% cap and then to 18% cap on subsequent commodities.
Agriculture commodities are subject to a cap of 18%[] Optimizing Roll Returns:
Deutsche Bank's proprietary Optimum Yield ("OY") technology rolls an expiring
contract into the contract that maximizes positive roll yield (in a
backwardated market) or minimizes negative roll yield (in a contango market)
from the list of tradable futures which expire in the next 13 months[] Target
Volatility: Exposure to the DBLCI Mean Reversion Enhanced is reset monthly in
order to target a realized volatility of 15%. Exposure is capped at 300%.
[] Rebalancing: A rebalancing will occur if on the monthly rebalance date, the
one-year moving average price of one or more commodities trade +/-- 5% than
the five-year moving average [] Transparency: The DB MR Enhanced 15 is a
rule-based index with the closing level and weights published daily on
Bloomberg (DBLCMTEU)
Deutsche Bank Notes: Speaker name
Commodities 1 Until Feb 2012 exposure to Wheat in the Mean Reversion Enhanced
Index was taken entirely through Chicago Wheat futuresNam of event/dat
2 Until Feb 2012 the single commodity weighting cap was 35% (currently 32%) and
the subsequent individual cap was 20% (currently 18%) 21
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DB MR Enhanced 15 Index Construction [] Invests in 12 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones [] Employs OY technology seeking to maximize roll yield and Target Volatility technology with the aim of obtaining a smoother return profile Deutsche Bank Note: Speaker name Commodities 1 Base Weights of DBLCI -- Mean Reversion Enhanced IndexName of event/dat 2 Current Weights of DBLCI-Mean Reversion Enhanced Index as of 31 Dec 2014 22 |
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DB MR Enhanced 15
Performance Analysis
Performance Analysis (1)
------------------------------------------- ------------------ --------------
Jan 2005 -- Dec 2014 DB MR DBLCI -- Mean Bloomberg
Enhanced 15 Reversion Enhanced Commodity
Annualized Returns 1.3% 1.3% -3.3%
Volatility 15.8% 19.6% 18.2%
Sharpe Ratio 0.08 0.06 -0.18
Maximum Drawdown -53.5% -56.2% -57.1%
Start Date Jul-08 Jul-08 Jul-08
End Date Dec-14 Dec-14 Mar-09
Max Monthly Consecutive Loss -35.6% -53.8% -54.5%
Start Date Jul-14 Jul-08 Jul-08
End Date Dec-14 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 51.8% / -31.1% 71.2% / -46.5% 39.9% / -52.7%
Rolling 3 Months 22.8% / -24.6% 36% / -37.4% 24.7% / -39.7%
Average Monthly Returns 0.2% 0.3% -0.1%
% Months with Gains 51.7% 51.7% 55.0%
Correlation
DBLCI-MR 0.91 1.00 0.85
Bloomberg Commodity 0.80 0.85 1.00
---------------------------- -------------- ------------------ --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-------------------------------------------------------
DB MR Enhanced 15 DBLCI -- Mean Bloomberg
Calendar Year Reversion Enhanced Commodity
2005 15.77% 10.43% 17.54%
2006 30.96% 28.54% -2.71%
2007 24.84% 26.67% 11.08%
2008 -11.82% -26.29% -36.61%
2009 18.57% 37.53% 18.72%
2010 5.99% 5.29% 16.67%
2011 -16.78% -21.87% -13.37%
2012 -5.02% -4.42% -1.14%
2013 -9.29% -7.37% -9.58%
2014 -24.66% -14.64% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 1.26% 1.26% -3.28%
----------------- --------------------- --------------------- -----------
Notes:
1 Source: Bloomberg. DB MR Enhanced 15 has been
retrospectively calculated and did not exist prior to 28 September 2009 (the
"Live Date"). The Index has very limited performance history and no Deutsche
Bank actual investment which allowed tracking of the performance of the Index
was possible before its Live Date. Accordingly, the results shown before the
Live Date are hypothetical and do not reflect actualSpeaker name Commodities
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB MR Enhanced 15 Index would have beenName of event/dat lower than the Index
as a result of fees and / or costs. Data from 31 Dec 2004 till 31 Dec 2014. See
Risk Considerations for more information.
2 Statistics shown are for excess return indices. 23
|
 |
DBLCI MR+
Index Summary
[] Components: Tracks the performance of 6 commodity futures: Aluminum, WTI
Crude Oil, Heating Oil, Gold, Corn and Wheat [] Dynamic Weights: Seeks to
underweight relatively expensive commodities and overweight relatively cheap
commodities among six of the most liquid futures contracts in four sectors:
Energy, Base Metals, Precious Metals, Agriculture[] Dynamic Allocation: The
"Plus" strategy aims to preserve excess returns generated by the DBLCI-MR by
adjusting its exposure monthly to reflect upward and downward momentum cycles.
A sample set of returns for each period ranging between one and twelve
months are calculated. The weight assigned to DBLCI-MR is based on the number
of periods with positive returns [] Rebalancing: A rebalancing in the
underlying index (DBLCI-MR) will occur whenever one of the commodities
undergoes a "trigger event. " A trigger event occurs when the one-year moving
average price of the commodity trades +/-- 5% than the five-year moving
average [] Roll Frequency and Method: Fixed monthly roll for Energy components,
fixed yearly roll for Metals and Agriculture components [] Transparency:
Rule-based index with the closing level, weights and exposure published daily
on Bloomberg (DBLCMPUE)
|
 |
DBLCI MR+ Index Construction [] Invests in 6 liquid commodity contracts. Over-weights cheap commodities and under-weights expensive ones [] Aims to offer upside exposure to DBLCI-MR but limit potential drawdowns by employing a momentum algorithm Deutsche Bank Note: Speaker name 1 Base Weights of DBLCI-MR Index Commodities 2 Current Weights of DBLCI-MR Index as of 31 Dec 2014Name of event/date 3 Returns are calculated as of 6(th) business day of each month, from Dec 2013 to Dec 2014. 25 |
 |
DBLCI MR+
Performance Analysis
Performance Analysis (1)
------------------------------------------- -------------- --------------
Jan 2005 -- Dec 2014 DBLCI MR+ DBLCI-MR Bloomberg
Commodity
Annualized Returns 4.5% 3.1% -3.3%
Volatility 14.1% 20.9% 18.2%
Sharpe Ratio 0.32 0.15 -0.18
Maximum Drawdown -33.8% -62.8% -57.1%
Start Date Jul-08 Jul-08 Jul-08
End Date Jun-10 Feb-09 Mar-09
Max Monthly Consecutive Loss -27.1% -59.0% -54.5%
Start Date Jul-08 Jul-08 Jul-08
End Date Nov-08 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 81.8% / -31.4% 84% / -56.3% 39.9% / -52.7%
Rolling 3 Months 28.4% / -26.7% 33.3% / -43.1% 24.7% / -39.7%
Average Monthly Returns 0.4% 0.4% -0.1%
% Months with Gains 47.5% 56.7% 55.0%
Correlation
DBLCI -- MR 0.83 1.00 0.84
Bloomberg Commodity 0.69 0.84 1.00
---------------------------- -------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
Calendar Year DBLCI MR+ DBLCI-MR Bloomberg Commodity
2005 -4.53% 2.96% 17.54%
2006 24.53% 39.22% -2.71%
2007 38.57% 42.49% 11.08%
2008 -0.67% -35.43% -36.61%
2009 8.87% 22.29% 18.72%
2010 2.36% 13.62% 16.67%
2011 -2.84% -2.47% -13.37%
2012 -2.45% 3.33% -1.14%
2013 -7.36% -9.05% -9.58%
2014 -2.85% -19.41% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 4.52% 3.07% -3.28%
----------------- ------------- --------- -----------------------
Notes:
1 Source: Bloomberg. DBLCI MR+ has been retrospectively
calculated and did not exist prior to 20 June 2007 (the "Live Date"). The Index
has very limited performance history and no actual investment Deutsche Bank
which allowed tracking of the performance of the Index was possible before its
Live Date. Accordingly, the results shown before the Live Date are hypothetical
and do not reflect actual returns. PastSpeaker name Commodities performance is
not necessarily indicative of how the Index will perform in the future. The
performance of any investment product based on the DBLCI MR+ Index would have
been lower than the IndexName of event/dat as a result of fees and / or costs.
Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information.
2 Statistics shown are for excess return indices. 26
|
 |
Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name
Commodities Name of event/date 27
|
 |
DB Commodity Harvest ERAC
Index Summary
[] Market Neutral Strategy: The DB Commodity Harvest ERAC Index goes short the
SandP Goldman Sachs Light Energy Index and long the DB Commodity Booster --
Benchmark Light Energy Index, an Optimum Yield version of the SandP Goldman Sachs
Light Energy Index, in an attempt to provide market-neutral exposure, and to
generate returns from DB's optimum yield technology.
[] Optimizing Roll Returns: Deutsche Bank's proprietary optimum yield ("OY")
technology rolls an expiring contract into the contract that maximizes positive
roll yield (in a backwardated market) or minimizes negative roll yield (in a
contango market) from the list of tradable futures which expire in the next 13
months
[] Embedded Cost: 0.60% per annum
[] Transparency: Rule based index with the closing level and weights published
daily on Bloomberg (DBLCHNUE)
Deutsche Bank Note: Speaker name Commodities 1 ERAC: Excess Return After
CostName of event/date
28
|
 |
DB Commodity Harvest ERAC Index Construction [] Strategy aims to generate alpha from roll returns by going long the OY index and short the benchmark index Deutsche Bank Note: Speaker name 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 31 Dec 2014 Commodities 2 ERAC: Excess Return After CostName of event/date 29 |
 |
DB Commodity Harvest ERAC
Performance Analysis
Index Sector Exposure (1)
------------------------------------ -----------------------
Index Current Weight (%)
DB Commodity Booster -- Benchmark 100
Light Energy
SandP Goldman Sachs Light Energy Index --100
------------------------------------ -----------------------
Performance Analysis (1)
----------------------------------------- -------------------- --------------
DB Commodity Booster
DB Commodity SandP-GSCI
Jan 2005 -- Dec 2014 Harvest ERAC -- Benchmark Light Energy
Light Energy
Annualized Returns 2.9% 0.5% -3.2%
Volatility 3.0% 17.6% 19.0%
Sharpe Ratio 0.98 0.03 -0.17
Maximum Drawdown -6.5% -56.8% -60.9%
Start Date Feb-09 Jul-08 Jul-08
End Date Mar-14 Mar-09 Feb-09
Max Monthly Consecutive Loss -5.3% -53.8% -42.0%
Start Date Jun-07 Jul-08 Jul-08
End Date Sep-07 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 17% / -4.9% 51.7% / -50.3% 48.2% / -55.8%
Rolling 3 Months 6.4% / -5.6% 24.8% / -42.4% 26.1% / -44.6%
Average Monthly Returns 0.2% 0.2% -0.1%
% Months with Gains 62.5% 52.5% 52.5%
Correlation
Booster Benchmark LE -0.38 1.00 0.98
SandP GSCI Light Energy -0.51 0.98 1.00
---------------------------- ------------ -------------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-------------------------------------------------------
DB Commodity
DB Commodity SandP-GSCI
Booster -- Benchmark
Harvest ERAC Light Energy
Calendar Year Light Energy
2005 10.17% 28.51% 15.51%
2006 12.30% 9.15% -3.77%
2007 -0.44% 17.49% 17.16%
2008 10.61% -33.20% -40.39%
2009 0.58% 17.02% 15.17%
2010 -1.38% 16.11% 16.94%
2011 1.58% -5.21% -7.28%
2012 -0.89% 1.46% 1.60%
2013 -2.02% -9.40% -8.16%
2014 0.16% -19.32% -20.02%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 2.93% 0.50% -3.18%
----------------- ---------------- ------------------------ -------------
Notes:
1 Source: Bloomberg. DB Commodity Harvest ERAC has been
retrospectively calculated and did not exist prior to 14 October 2008 (the
"Live Date"). The Index has very limited performance history and no Deutsche
Bank actual investment which allowed tracking of the performance of the Index
was possible before its Live Date. Accordingly, the results shown before the
Live Date are hypothetical and do not reflect actualSpeaker name Commodities
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB Commodity Harvest ERAC Index would haveName of event/dat been lower than the
Index as a result of fees and / or costs. Data from 31 Dec 2004 till 31 Dec
2014. See Risk Considerations for more information. 30
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices.
|
 |
DB Commodity Harvest -- 10 ERAC
Index Summary
[] Market Neutral Strategy: The DB Commodity Harvest Index goes short the SandP
Goldman Sachs Light Energy Index and long the DB Commodity Booster -- Benchmark
Light Energy Index, an Optimum Yield version of the SandP Goldman Sachs Light
Energy Index, in an attempt to provide market-neutral exposure, and to generate
returns from DB's optimum yield technology [] Optimizing Roll Returns: Deutsche
Bank's proprietary optimum yield ("OY") technology rolls an expiring contract
into the contract that maximizes positive roll yield (in a backwardated market)
or minimizes negative roll yield (in a contango market) from the list of
tradable futures which expire in the next 13 months [] Target Volatility:
Varies exposure to the DB Commodity Harvest ERAC Index with a view to target a
volatility of 10%. Exposure is capped at 500%.
[] Transparency: Rule based index with the closing level and weights published
daily on Bloomberg (DBCMHVEG)
Deutsche Bank Note: Speaker name Commodities 1 ERAC: Excess Return After
CostName of event/date
31
|
 |
DB Commodity Harvest -- 10 ERAC Index Construction [] Strategy aims to generate alpha from roll returns and to smoothen the return profile by varying exposure to the underlying index in response to changes in realized volatility Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Current Weight (Base Weight). Current weights are as of 31 Dec 2014Name of event/date 32 2 ERAC: Excess Return After Cost |
 |
DB Commodity Harvest -- 10 ERAC
Performance Analysis
Performance Analysis (1)
----------------------------------------------- ------------ --------------
DB
DB Commodity SandP-GSCI
Jan 2005 -- Dec 2014 Harvest -- 10 ERAC Commodity Light Energy
Harvest ERAC
Annualized Returns 7.9% 2.9% -3.2%
Volatility 10.4% 3.0% 19.0%
Sharpe Ratio 0.76 0.98 -0.17
Maximum Drawdown -29.7% -6.5% -60.9%
Start Date Jun-10 Feb-09 Jul-08
End Date Mar-14 Mar-14 Feb-09
Max Monthly Consecutive Loss -17.2% -5.3% -42.0%
Start Date Jun-07 Jun-07 Jul-08
End Date Sep-07 Sep-07 Feb-09
Max / Min Returns
Rolling 12 Months 49.1% / -21.5% 17% / -4.9% 48.2% / -55.8%
Rolling 3 Months 20% / -17.6% 6.4% / -5.6% 26.1% / -44.6%
Average Monthly Returns 0.7% 0.2% -0.1%
% Months with Gains 62.5% 62.5% 52.5%
Correlation
DB Commodity Harvest ERAC 0.96 1.00 -0.51
SandP-GSCI Light Energy -0.49 -0.51 1.00
---------------------------- ------------------ ------------ --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
---------------------------------------------------------
DB
DB Commodity SandP-GSCI
Commodity Harvest
Harvest -- 10 ERAC Light Energy
Calendar Year ERAC
2005 34.80% 10.17% 15.51%
2006 36.68% 12.30% -3.77%
2007 -2.51% -0.44% 17.16%
2008 39.69% 10.61% -40.39%
2009 1.85% 0.58% 15.17%
2010 -5.88% -1.38% 16.94%
2011 3.51% 1.58% -7.28%
2012 -6.10% -0.89% 1.60%
2013 -9.13% -2.02% -8.16%
2014 0.52% 0.16% -20.02%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 7.88% 2.93% -3.18%
----------------- -------------------- ---------------------- -------------
Notes:
1 Source: Bloomberg. DB Commodity Harvest -- 10 ERAC has been
retrospectively calculated and did not exist prior to 14 October 2008 (the "
Speaker name Live Date"). The Index has very limited performance history
Deutsche Bank and no actual investment which allowed tracking of the
performance of the Index was possible before its Live Date. Accordingly, the
results shown before the Live Date are hypothetical and do not reflect
Commodities actual returns. Past performance is not necessarily indicative of
how the Index will perform in the future. The performance of any investment
product based on the DB Commodity Harvest -- 10 ERACName of event/date Index
would have been lower than the Index as a result of fees and / or costs. Data
from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information. 33
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices.
|
 |
Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name
Commodities Name of event/date 34
|
 |
DB Commodity Backwardation Alpha 22 Index Summary [] Concept: The Index goes long the top 11 backwardated commodities, and short the remaining 11 commodities, from a universe of 22 commodities. The hypothesis is that the backwardated commodities' basket will outperform the basket of the remaining commodities. [] Components: 22 commodities futures spanning the energy, industrial metals, agriculture and precious metals sectors. [] Summary: The strategy goes long the 11 commodities with the most backwardation (or least contango) with a weight of 1/11 each and shorts the remaining 11 commodities with a weight of 1/11 each. -- Short exposure is provided via front month contracts -- Long exposure is provided via OY Enhanced single commodity Indices [] 'Backwardation' Measure: Backwardation for each commodity is measured as the weighted backwardation of the basket of contracts included in the Optimum Yield Enhanced Index for such commodity. [] Rebalancing: The index is rebalanced every month at the end of the 2(nd) index business day of the month. [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCBWUE) Deutsche Bank Speaker name Commodities Name of event/date 35 |
 |
DB Commodity Backwardation Alpha 22 Index Construction Deutsche Bank Speaker name Commodities Name of event/date 36 |
 |
DB Commodity Backwardation Alpha 22
Performance Analysis
Year on Year Performance Comparison (1)
------------------------------------------------------ -------------
Annual Returns for Excess Return / ERAC Indices
--------------------------------------------------
DB Commodity
Backwardation Alpha SandP GSCI Bloomberg
Calendar Year 22 Commodity
2005 40.71% 21.61% 17.54%
2006 48.18% -19.07% -2.71%
2007 10.97% 26.81% 11.08%
2008 26.71% -47.29% -36.61%
2009 35.40% 13.30% 18.72%
2010 3.73% 8.88% 16.67%
2011 8.35% -1.23% -13.37%
2012 -3.31% -0.01% -1.14%
2013 5.15% -1.28% -9.58%
2014 -16.52% -33.08% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 14.23% -6.16% -3.28%
----------------- ------------------------- ---------- -------------
Performance Analysis (1)
---------------------------------------------- -------------- --------------
DB Commodity Bloomberg
Jan 2005 -- Dec 2014 SandP GSCI
Backwardation Alpha 22 Commodity
Annualized Returns 14.2% -6.2% -3.3%
Volatility 13.5% 24.2% 18.2%
Sharpe Ratio 1.05 -0.26 -0.18
Maximum Drawdown -24.7% -71.6% -57.1%
Start Date Apr-12 Jul-08 Jul-08
End Date Dec-14 Feb-09 Mar-09
Max Monthly Consecutive Loss -14.9% -67.8% -54.5%
Start Date Apr-12 Jul-08 Jul-08
End Date Jul-12 Feb-09 Feb-09
Max / Min Returns
Rolling 12 Months 67.4% / -18.7% 74.8% / -64.8% 39.9% / -52.7%
Rolling 3 Months 24.4% / -17.1% 34.4% / -53.4% 24.7% / -39.7%
Average Monthly Returns 1.2% -0.3% -0.1%
% Months with Gains 66.7% 53.3% 55.0%
Correlation
SandP GSCI 0.00 1.00 0.91
Bloomberg Commodity 0.02 0.91 1.00
----------------------- ---------------------- -------------- --------------
Notes:
1 Source: Bloomberg. DB Commodity Backwardation Alpha 22 has
been retrospectively calculated and did not exist prior to 15 October 2012 (the
"Live Date"). The Index has very limited performance history Deutsche Bank and
no actual investment which allowed tracking of the performance of the Index was
possible before its Live Date. Accordingly, the results shown before the Live
Date are hypothetical and do not reflectSpeaker name Commodities actual
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB Commodity Backwardation Alpha 22Name of event/date Index would have been
lower than the Index as a result of fees and / or costs. Data from 31 Dec 2004
till 31 Dec 2014. See Risk Considerations for more information. 37
2 Statistics shown are for excess return indices.
|
 |
Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name
Commodities Name of event/date 38
|
 |
DB Commodity Risk Parity 18
Index Summary
[] Risk Parity: Provides exposure to 4 commodity sector indices such that risk
contribution of each to the resulting portfolio is equal. Risk contribution is
determined by using past 3 month realized volatilities and correlations.
Volatility is targeted at 18% by leveraging the equal risk weighted portfolio;
such leverage is capped at 300%.
[] Components: The 4 sector indices used to construct the index are: DBLCI-OY
Energy Index, DBLCI-OY Industrial Metal Index, DBLCI-OY Precious Metal Index
and DBLCI-OY Agriculture Index.
[] Rebalancing: Each month, sector exposures are adjusted with the aim of
achieving equal risk contributions and a volatility of 18%.
[] Optimizing Roll Returns: All 4 sector indices employ Deutsche Bank's
proprietary optimum yield ("OY") technology, which rolls an expiring contract
into the contract that maximizes positive roll yield (in a backwardated market)
or minimizes negative roll yield (in a contango market) from the list of
tradable futures which expire in the next 13 months[] Transparency: Rule-based
index with the closing level and weights published daily on Bloomberg
(DBCMRPTV)
Deutsche Bank Speaker name Commodities Name of event/date
39
|
 |
DB Commodity Risk Parity 18 Index Construction Deutsche Bank Note: Speaker name Commodities 1 Current weights are as of 31 Dec 2014Name of event/date 40 |
 |
DB Commodity Risk Parity 18
Performance Analysis
Performance Analysis (1)
-------------------------------------------- -------------- --------------
DB Commodity Bloomberg
Jan 2005 -- Dec 2014 SandP GSCI
Risk Parity 18 Commodity
Annualized Returns 3.4% -6.2% -3.3%
Volatility 19.9% 24.2% 18.2%
Sharpe Ratio 0.17 -0.26 -0.18
Maximum Drawdown -62.1% -71.6% -57.1%
Start Date Apr-11 Jul-08 Jul-08
End Date Dec-14 Feb-09 Mar-09
Max Monthly Consecutive Loss -42.6% -67.8% -54.5%
Start Date Jul-14 Jul-08 Jul-08
End Date Dec-14 Feb-09 Feb-09
Max / Min Returns
Rolling 12 Months 118.5% / -37.6% 74.8% / -64.8% 39.9% / -52.7%
Rolling 3 Months 47.9% / -28.8% 34.4% / -53.4% 24.7% / -39.7%
Average Monthly Returns 0.5% -0.3% -0.1%
% Months with Gains 51.7% 53.3% 55.0%
Correlation
SandP GSCI 0.74 1.00 0.91
Bloomberg Commodity 0.84 0.91 1.00
---------------------------- --------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
DB Commodity Bloomberg
SandP GSCI
Calendar Year Risk Parity 18 Commodity
2005 57.65% 21.61% 17.54%
2006 26.76% -19.07% -2.71%
2007 20.15% 26.81% 11.08%
2008 -17.48% -47.29% -36.61%
2009 26.22% 13.30% 18.72%
2010 27.90% 8.88% 16.67%
2011 -7.48% -1.23% -13.37%
2012 1.63% -0.01% -1.14%
2013 -26.18% -1.28% -9.58%
2014 -37.23% -33.08% -17.04%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 3.37% -6.16% -3.28%
----------------- ----------------- ---------- ------------------
Notes:
1 Source: Bloomberg. DB Commodity Risk Parity 18 has been
retrospectively calculated and did not exist prior to 12 December 2010 (the
"Live Date"). The Index has very limited performance history Deutsche Bank and
no actual investment which allowed tracking of the performance of the Index was
possible before its Live Date. Accordingly, the results shown before the Live
Date are hypothetical and do notSpeaker name Commodities reflect actual
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB Commodity Risk Parity 18Name of event/date
Index would have been lower than the Index as a result of fees and / or costs.
Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information. 41
2 Statistics shown are for excess return indices.
|
 |
Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name
Commodities Name of event/date 42
|
 |
DB Commodity Booster OYE Benchmark Bloomberg
Index Summary
[] Composition: Same base weights as the Bloomberg Commodity Index. Weights
are rebalanced annually [] Optimizing Roll Returns: Employs Deutsche Bank's
proprietary Optimum Yield Enhanced ("OY Enhanced") technology, which provides
exposure to 3 different contracts on each commodity's curve, with a view to
maximizing volatility adjusted implied roll yield. Exposure to the 3 contracts
is assessed and rebalanced monthly -- Exposure to short-term contract (front
month), medium-term and long-term contracts (pre- defined schedule based on
liquidity) -- For livestock, exposure is to three-month forward contracts []
Transparency: Rule-based index with the closing level published daily on
Bloomberg (DBCMODUE)
Deutsche Bank Speaker name Commodities Name of event/date
43
|
 |
DB Commodity Booster OYE Benchmark Bloomberg Index Construction [] Index replicates the Bloomberg Commodity index by using OY Enhanced indices thereby providing similar commodity exposure while seeking to manage roll returns more effectively Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Rebalance Weights for 2014Name of event/date 44 |
 |
DB Commodity Booster OYE Benchmark Bloomberg
Performance Analysis
Index Sector Exposure (1)
------------------------- ---------------------------
Sector Rebalance Weight (%)
Energy 31.79
Precious Metal 15.67
Industrial Metal 16.59
Agriculture and Livestock 35.94
------------------------- ---------------------------
Performance Analysis (1)
------------------------------------------------ -------------- --------------
DB Commodity Bloomberg
Jan 2005 -- Dec 2014 Booster OYE SandP-GSCI
Bloomberg Commodity Commodity
Annualized Returns 3.3% -3.3% -6.2%
Volatility 16.0% 18.2% 24.2%
Sharpe Ratio(2) 0.21 -0.18 -0.26
Maximum Drawdown -52.1% -57.1% -71.6%
Start Date Jul-08 Jul-08 Jul-08
End Date Mar-09 Mar-09 Feb-09
Max Monthly Consecutive Loss -49.4% -54.5% -67.8%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 50.7% / -45.6% 39.9% / -52.7% 74.8% / -64.8%
Rolling 3 Months 24.3% / -36.9% 24.7% / -39.7% 34.4% / -53.4%
Average Monthly Returns 0.4% -0.1% -0.3%
% Months with Gains 55.8% 55.0% 53.3%
Correlation
Bloomberg Commodity 0.97 1.00 0.91
SandP-GSCI 0.89 0.91 1.00
---------------------------- ------------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
----------------------------------------------------
DB Commodity Bloomberg
Booster OYE Bloomberg SandP-GSCI
Calendar Year Commodity Commodity
2005 34.94% 17.54% 21.61%
2006 14.89% -2.71% -19.07%
2007 19.35% 11.08% 26.81%
2008 -27.14% -36.61% -47.29%
2009 21.67% 18.72% 13.30%
2010 16.88% 16.67% 8.88%
2011 -6.80% -13.37% -1.23%
2012 1.11% -1.14% -0.01%
2013 -10.78% -9.58% -1.28%
2014 -14.03% -17.04% -33.08%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 3.32% -3.28% -6.16%
----------------- ---------------------------- ------------ ----------
Notes:
1 Source: Bloomberg. DB Commodity Booster OYE Benchmark
Bloomberg has been retrospectively calculated and did not exist prior to 31
October 2011 (the "Live Date"). The Index has very limited Deutsche Bank
performance history and no actual investment which allowed tracking of the
performance of the Index was possible before its Live Date. Accordingly, the
results shown before the Live Date areSpeaker name Commodities hypothetical and
do not reflect actual returns. Past performance is not necessarily indicative
of how the Index will perform in the future. The performance of any investment
product based on the DBName of event/date Commodity Booster OYE Benchmark
Bloomberg Index would have been lower than the Index as a result of fees and /
or costs. Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for
more information. 45
2 Statistics shown are for excess return indices.
|
 |
DB Commodity Booster OYE Benchmark Light Energy
Index Summary
[] Composition: Same base weights as the SandP GSCI Light Energy Index. Weights
are rebalanced annually
[] Optimizing Roll Returns: Employs Deutsche Bank's proprietary Optimum Yield
Enhanced ("OY Enhanced") technology, which provides exposure to 3 different
contracts on each commodity's curve, with a view to maximizing volatility
adjusted implied roll yield. Exposure to the 3 contracts is assessed and
rebalanced monthly -- Exposure to short-term contract (front month),
medium-term and long-term contracts (pre- defined schedule based on
liquidity) -- For livestock, exposure is to three-month forward contracts []
Transparency: Rule-based index with the closing level published daily on
Bloomberg (DBRCOSUE)
Deutsche Bank Speaker name Commodities Name of event/date
46
|
 |
DB Commodity Booster OYE Benchmark Light Energy Index Construction [] Index replicates the SandP GSCI Light Energy by using OY Enhanced indices thereby providing similar commodity exposure while seeking to manage roll returns more effectively Deutsche Bank Note: Speaker name Commodities 1 Weights shown are: Rebalance Weights for 2014Nam of event/date 47 |
 |
DB Commodity Booster OYE Benchmark Light Energy
Performance Analysis
Index Sector Exposure (1)
------------------------- ----------------------------
Sector Rebalance Weight (%)
Energy 39.09
Precious Metal 5.96
Industrial Metal 14.73
Agriculture and Livestock 40.25
------------------------- ----------------------------
Performance Analysis (1)
------------------------------------------- -------------- --------------
DB Commodity Bloomberg SandP-GSCI
Jan 2005 -- Dec 2014 Booster OYE Commodity Light Energy
Benchmark LE
Annualized Returns 2.9% -3.3% -3.2%
Volatility 16.9% 18.2% 19.0%
Sharpe Ratio(2) 0.17 -0.18 -0.17
Maximum Drawdown -55.3% -57.1% -60.9%
Start Date Jul-08 Jul-08 Jul-08
End Date Mar-09 Mar-09 Feb-09
Max Monthly Consecutive Loss -52.3% -54.5% -58.0%
Start Date Jul-08 Jul-08 Jul-08
End Date Feb-09 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 56.7% / -48.7% 39.9% / -52.7% 48.2% / -55.8%
Rolling 3 Months 24.5% / -41.1% 24.7% / -39.7% 26.1% / -44.6%
Average Monthly Returns 0.4% -0.1% -0.1%
% Months with Gains 54.2% 55.0% 52.5%
Correlation
Bloomberg Commodity 0.94 1.00 0.97
SandP-GSCI Light Energy 0.98 0.97 1.00
---------------------------- -------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
-----------------------------------------------
DB Commodity Bloomberg SandP-GSCI
Booster OYE Commodity Light Energy
Calendar Year Benchmark LE
2005 34.84% 17.54% 15.51%
2006 12.68% -2.71% -3.77%
2007 20.90% 11.08% 17.16%
2008 -29.98% -36.61% -40.40%
2009 17.27% 18.72% 15.17%
2010 17.10% 16.67% 16.94%
2011 -1.82% -13.37% -7.27%
2012 1.65% -1.14% 1.59%
2013 -8.99% -9.58% -8.16%
2014 -16.65% -17.04% -20.02%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 2.95% -3.28% -3.18%
----------------- ---------------------- ------------ -----------
Notes:
1 Source: Bloomberg. DB Commodity Booster OYE Benchmark Light
Energy has been retrospectively calculated and did not exist prior to 30
November 2011 (the "Live Date"). The Index has very limited Deutsche Bank
performance history and no actual investment which allowed tracking of the
performance of the Index was possible before its Live Date. Accordingly, the
results shown before the Live Date are hypothetical andSpeaker name Commodities
do not reflect actual returns. Past performance is not necessarily indicative
of how the Index will perform in the future. The performance of any investment
product based on the DB Commodity Booster OYEName of event/dat Benchmark Light
Energy Index would have been lower than the Index as a result of fees and / or
costs. Data from 31 Dec 2004 till 31 Dec 2014. See Risk Considerations for more
information. 48
2 Statistics shown are for excess return indices.
|
 |
DB Commodity Curve Alpha ERAC Index Summary [] Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same base weights as the SandP GSCI Light Energy Index. Weights are rebalanced annually [] Market Neutral Strategy: For each constituent commodity, the Index provides long exposure to the single commodity OY Enhanced Index and volatility adjusted short exposure to the corresponding SandP GSCI Index. The Index seeks to provide market-neutral exposure, and to generate returns from carry using DB's Optimum Yield Enhanced methodology [] Volatility Weighting: Every month, the long leg exposure for each constituent commodity is reset to 100%. Exposure to the short leg is set to (--100%) * 3-month realized volatility of the single commodity OY Enhanced Index / 3-month realized volatility of the single commodity GSCI index[] Embedded Cost: 0.75% per annum [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCOAEC) Deutsche Bank Speaker name Commodities Name of event/date 49 |
 |
DB Commodity Curve Alpha ERAC Index Construction [] Strategy aims to generate alpha from roll returns by going long the single commodity OY Enhanced index and short volatility weighted exposure to the single commodity Benchmark Light Energy index Deutsche Bank Speaker name Commodities Name of event/date 50 |
 |
DB Commodity Curve Alpha ERAC
Performance Analysis
Index Sector Exposure (1)
------------------------- ----------------------------
Sector Rebalance Weight (%)
Energy 39.09
Precious Metal 5.96
Industrial Metal 14.73
Agriculture and Livestock 40.25
------------------------- ----------------------------
Performance Analysis (1)
------------------------------------------ -------------- --------------
DB Commodity DB Commodity SandP-GSCI Light
Jan 2005 -- Dec 2014 Curve Alpha Booster OYE Energy
ERAC Benchmark LE
Annualized Returns 4.7% 2.9% -3.2%
Volatility 2.5% 16.9% 19.0%
Sharpe Ratio(2) 1.93 0.17 -0.17
Maximum Drawdown -5.5% -55.3% -60.9%
Start Date Jun-11 Jul-08 Jul-08
End Date Jan-14 Mar-09 Feb-09
Max Monthly Consecutive Loss -2.4% -52.3% -58.0%
Start Date Feb-12 Jul-08 Jul-08
End Date Jul-12 Feb-09 Feb-09
Max/Min Returns
Rolling 12 Months 19.4% / -4.1% 56.7% / -48.7% 48.2% / -55.8%
Rolling 3 Months 6.7% / -2.4% 24.5% / -41.1% 26.1% / -44.6%
Average Monthly Returns 0.4% 0.4% -0.1%
% Months with Gains 62.5% 54.2% 52.5%
Correlation
OYE Benchmark LE 0.18 1.00 0.98
SandP-GSCI Light Energy 0.04 0.98 1.00
---------------------------- ------------- -------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
---------------------------------------------------
DB Commodity DB Commodity SandP-GSCI Light
Curve Alpha Booster OYE Energy
Calendar Year ERAC Benchmark LE
2005 17.04% 34.84% 15.51%
2006 10.63% 12.68% -3.77%
2007 5.83% 20.90% 17.16%
2008 11.82% -29.98% -40.40%
2009 2.31% 17.27% 15.17%
2010 0.57% 17.10% 16.94%
2011 3.98% -1.82% -7.27%
2012 -1.17% 1.65% 1.59%
2013 -2.21% -8.99% -8.16%
2014 0.34% -16.65% -20.02%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 4.74% 2.95% -3.18%
----------------- ---------------- ---------------- -----------------
Notes:
1 Source: Bloomberg. DB Commodity Curve Alpha ERAC has been
retrospectively calculated and did not exist prior to 30 November 2011 (the
"Live Date"). The Index has very limited performance history and Deutsche Bank
no actual investment which allowed tracking of the performance of the Index was
possible before its Live Date. Accordingly, the results shown before the Live
Date are hypothetical and do not reflect actualSpeaker name Commodities
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB Commodity Curve Alpha ERAC Index wouldNam of event/date have been lower than
the Index as a result of fees and / or costs. Data from 31 Dec 2004 till 31 Dec
2014. See Risk Considerations for more information. 51
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices.
|
 |
DB Commodity Curve Alpha ERAC 10 Index Summary [] Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same base weights as the SandP GSCI Light Energy Index. Weights are rebalanced annually [] Market Neutral Strategy: For each constituent commodity, the Index provides short exposure to the corresponding single commodity SandP GSCI Index and volatility adjusted long exposure to the OY Enhanced Index. The Index seeks to provide market-neutral exposure, and to generate returns from carry using DB's Optimum Yield Enhanced methodology [] Volatility Weighting: Every month, the long leg exposure for each constituent commodity is reset to 100%. Exposure to the short leg is set to (--100%) * 3-month realized volatility of the single commodity OY Enhanced Index / 3-month realized volatility of the single commodity GSCI index[] Target Volatility: DB Commodity Curve Alpha ERAC 10 Index varies exposure to the DB Commodity Curve Alpha ERAC Index with a view to target a volatility of 10%. Exposure is capped at 600%. [] Transparency: Rule-based index with the closing level published daily on Bloomberg (DBRCOCUE) Deutsche Bank Speaker name Commodities Name of event/date 52 |
 |
DB Commodity Curve Alpha ERAC 10 Index Construction [] Strategy aims to generate alpha from roll returns by going long the single commodity OY Enhanced index and short volatility weighted exposure to the single commodity Benchmark Light Energy Commodities Name of event/date 53 |
 |
DB Commodity Curve Alpha ERAC 10
Performance Analysis
Index Sector Exposure (1)
------------------------- ----------------------------
Sector Rebalance Weight (%)
Energy 39.09
Precious Metal 5.96
Industrial Metal 14.73
Agriculture and Livestock 40.25
------------------------- ----------------------------
Performance Analysis (1)
-------------------------------------------- ------------- --------------
DB Commodity DB Commodity SandP-GSCI Light
Jan 2005 -- Dec 2014 Curve Alpha Curve Alpha Energy
ERAC 10 ERAC
Annualized Returns 19.5% 4.7% -3.2%
Volatility 10.1% 2.5% 19.0%
Sharpe Ratio(2) 1.93 1.93 -0.17
Maximum Drawdown -29.1% -5.5% -60.9%
Start Date Aug-11 Jun-11 Jul-08
End Date Jan-14 Jan-14 Feb-09
Max Monthly Consecutive Loss -13.1% -2.4% -58.0%
Start Date Feb-12 Feb-12 Jul-08
End Date Jul-12 Jul-12 Feb-09
Max/Min Returns
Rolling 12 Months 114.8% / -20.7% 19.4% / -4.1% 48.2% / -55.8%
Rolling 3 Months 37.2% / -12.4% 6.7% / -2.4% 26.1% / -44.6%
Average Monthly Returns 1.6% 0.4% -0.1%
% Months with Gains 62.5% 62.5% 52.5%
Correlation
Curve Alpha ERAC 0.95 1.00 0.04
SandP-GSCI Light Energy 0.05 0.04 1.00
---------------------------- --------------- ------------- --------------
Year on Year Performance Comparison (1)
Annual Returns for Excess Return / ERAC Indices
---------------------------------------------------
DB Commodity DB Commodity SandP-GSCI Light
Curve Alpha Curve Alpha Energy
Calendar Year ERAC 10 ERAC
2005 97.40% 17.04% 15.51%
2006 56.71% 10.63% -3.77%
2007 28.09% 5.83% 17.16%
2008 50.11% 11.82% -40.40%
2009 4.87% 2.31% 15.17%
2010 4.96% 0.57% 16.94%
2011 11.37% 3.98% -7.27%
2012 -8.25% -1.17% 1.59%
2013 -12.80% -2.21% -8.16%
2014 1.62% 0.34% -20.02%
2015 YTD 0.00% 0.00% 0.00%
Annualized Return 19.47% 4.74% -3.18%
----------------- ---------------- ---------------- -----------------
Notes:
1 Source: Bloomberg. DB Commodity Curve Alpha ERAC 10 has
been retrospectively calculated and did not exist prior to 30 November 2011
(the "Live Date"). The Index has very limited performance Deutsche Bank history
and no actual investment which allowed tracking of the performance of the Index
was possible before its Live Date. Accordingly, the results shown before the
Live Date are hypothetical and do notSpeaker name Commodities reflect actual
returns. Past performance is not necessarily indicative of how the Index will
perform in the future. The performance of any investment product based on the
DB Commodity Curve AlphaName of event/date ERAC 10 Index would have been lower
than the Index as a result of fees and / or costs. Data from 31 Dec 2004 till
31 Dec 2014. See Risk Considerations for more information. 54
2 ERAC = Excess Return After Cost. Statistics shown are either for excess
return indices or ERAC indices.
|
 |
Contents
[] Optimum Yield Indices
* DB Commodity Booster - Bloomberg ERAC Index * DB Commodity Booster -
Bloomberg ERAC TV 14 Index * DB Commodity Booster - Benchmark Index
[] Mean Reversion Indices
* DBLCI - MR Index
* DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index * DB MR Enhanced 15
Index * DBLCI - MR+ Index
[] Market Neutral Indices
* DB Commodity Harvest ERAC Index * DB Commodity Harvest -- 10 ERAC Index
[] Long-Short Indices
* DB Commodity Backwardation Alpha 22 Index
[] DB Commodity Risk Parity 18 Index [] Optimum Yield Enhanced Indices
* DB Commodity Booster OYE Benchmark Bloomberg Index * DB Commodity
Booster OYE Benchmark Light Energy Index * DB Commodity Curve Alpha ERAC Index
* DB Commodity Curve Alpha ERAC 10 Index Appendix [] Appendix
Deutsche Bank Speaker name
Commodities Name of event/date 55
|
 |
Types of Returns in a Commodity Index Total Return vs. Excess Return Stock and Bond returns come from two sources: [] Underlying price movement [] Dividends (Stocks) or Coupons (Bonds) Commodity returns come from three sources: [] Collateral Yield [] Interest earned on capital held as collateral[] Spot Return [] Change in front month futures contract [] Roll Return [] Process of buying a futures contract at a premium (negative roll) or discount (positive roll) to the spot price Excess Return = Spot Return + Roll Return Total Return = Excess Return + Collateral Yield Collateral yield of 3-Month US Treasury Bills is added to the DB Commodity excess return version indices to create the DB Commodity total return version Deutsche Bank Speaker name Commodities Name of event/date 56 |
 |
Mean Reversion [] As illustrated below, the mean reversion methodology overweights "cheap" commodities and underweights "expensive" commodities based on their respective 5y moving average price vs. 1y moving average price Heavy investment in Corn and Wheat as agricultural commodities are the most historically undervalued. Captures the 2006 Ags rally. Underweighting in Energy also contributed to good performance as energy prices declined significantly in 2006 [] In 2008 the index increased its weight to Aluminum and reduced its weight to Energy, which was then at historical highs. In retrospect, while the under-weighting in Energy was a good decision, the overweight in Aluminum was not, as Aluminum prices declined significantly [] In 2009 the index was overweight in Aluminum and Oil and gained from rallies in both. However, it was underweight in Gold and missed out on the Gold rally Notes: Deutsche Bank 1 Past performance is not a guarantee of future results. Source:Speaker name Bloomberg Commodities 2 The Mean Reversion strategy may not always result in outperformance to benchmark commodity indices. As a long-only commodity index, if all underlying commodity prices fall,Name of event/date the DBLCI -- Mean Reversion will also likely result in a negative performance 57 3 Data is as of 31 Dec 2014. DBLCI and DBLCI-MR are calculated retrospectively prior to their Index Live Dates |
 |
MR+
[] DBLCI-MR Plus(TM) Excess Return is a dynamic allocation strategy based on
the performance of the DBLCI-MR (TM) Excess Return Index[] Mandatory
rebalancing takes place on a monthly basis [] At each monthly rebalancing, the
allocation in the DBLCI-MR (TM) Excess Return strategy is determined based on
the performance of the DBLCI-MR (TM) Excess Return over the previous 12
months [] Twelve performance indicators are built, reflecting the performance
of DBLCI-MR (TM) Excess Return over previous 12-months, 11-months, 10-
months[] 3-months, 2-months, 1-month [] The allocation or component weight
to commodities is proportional to the number of times the DBCLI-MR (TM)
Excess Return performance is greater than zero. The current allocation is 0.0%
(see table) [] Rules based momentum strategy with no human intervention, only
execution [] The allocation can be as low as 0% and as high as 100%
DBLCI-MR (Lookback Returns as of 8(th) Dec 2014)
------------------------------------------------
1 Month -5.4%
------------- ----------------------------------
2 Month -6.0%
------------- ----------------------------------
3 Month -9.9%
------------- ----------------------------------
4 Month -13.2%
------------- ----------------------------------
5 Month -14.8%
------------- ----------------------------------
6 Month -17.1%
------------- ----------------------------------
7 Month -18.9%
------------- ----------------------------------
8 Month -19.4%
------------- ----------------------------------
9 Month -17.2%
------------- ----------------------------------
10 Month -14.2%
------------- ----------------------------------
11 Month -11.7%
------------- ----------------------------------
12 Month -15.7%
------------- ----------------------------------
Deutsche Bank Speaker name
Commodities Notes: Returns are calculated as of 6 Name event/date (th)
business day of each month, from Dec 2013 to Dec 2014.
58
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 |
Optimized Yield
Contract Selection to Create an "Optimal Yield"
Contract selection and roll return can have a significant impact in the overall
return of the index
[] Deutsche Bank's proprietary optimum yield ("OY") technology rolls into the
contract that maximizes positive roll yield (in a backwardated market) or
minimizes negative roll yield (in a contango market) from the list of tradable
futures which expire in the next 13 months
[] Longer dated contracts typically have less negative carry when the curve
slopes upward (contango)
[] Shorter dated contracts typically offer greater positive carry when the
curve slopes downward (backwardation)
Deutsche Bank Speaker name Commodities Name of event/date
59
|
 |
Optimized Yield Index Contract Selection [] When: The OY index rolls out of a currently held contract one month prior to delivery month of the contract [] New Contract Selection: -- the new contract is selected on the first business day of the month from the list of eligible contracts -- eligible contracts for selection are contracts with delivery months 2 months after current month to 13 months after current month -- the eligible contract with the highest annualized implied roll yield is selected. If two or more contracts are tied for the maximum roll yield, the contract with the shorter tenor is selected Deutsche Bank Speaker name Commodities Name of event/date 60 |
 |
Optimized Yield Index
Contract Selection (Cont'd)
[] Implied Roll Yield measurement:
-- implied roll yield for each eligible contract is measured as: [] 1[][][]
[]PC(t, b)[][] F (t ,i ,b )[] Y (t, i) =[][] []1 [] PC(t, i)[]
-- Y(t,i): on any day t, the implied roll yield for entering into the
commodity futures contract with exchange expiration month i -- PC(t,b): Closing
price of the base commodity future b -- PC(t,i): Closing price of any eligible
futures contract i -- F(t,i,b): Fraction of year between expiry dates of the
base futures contract b and the futures contract with exchange expiration month
i. Calculated as number of calendar days between dates divided by 365 -- b:
Base commodity future is the commodity future currently in the index [] Roll
Period is 2nd to 5th business days of the month [] OY index rolls a specified
number of units of the commodity every day during the roll period
Deutsche Bank Speaker name Commodities Name of event/date
61
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 |
Optimum Yield Annualized Excess returns from Jan 2005 to Dec 2014. Most Optimum Yield indices have outperformed corresponding front-month rolling indices. Notes: Deutsche Bank 1 All indices have been retrospectively calculated and did not exist prior to 31 May 2006 (the " Speaker name Live Date"). Indices have very limited performance history and no actual investment Commodities which allowed tracking of the performance of these Indices was possible before their Live Date. Accordingly, the results shown before the Live Date are hypothetical and do notName of event/date reflect actual returns. Past performance is not necessarily indicative of how the Indices will perform in the future. See Risk Considerations for more information. 2 Data from 31 Dec 2004 till 31 Dec 2014. Source: Bloomberg 62 |
 |
Target Volatility
Applying Volatility Targeting to Potentially Control Risk
Step II Step III
Step I Volatility Based Participation:
Rebalancing Realized Volatility Monitoring Participation = Target Volatility / Return Vol Target =
Participation Index x
Once a Month Based on Last 90 Days Returns Realized Volatility, subject to Underlying Index Return
certain maximum and minimum
3 Month Underlying
Volatility
Realized Volatility Vol Target Allocation Index Return
Target Return
Month (Annualized %) (%) (%)
(%)
12 10.00 150.00 +5.00
+7.50
13 12.50 120.00 --1.00
--1.20
Numerical Example: 14 5.00 300.00 +3.00
+9.00
Volatility Target =
15% 15 7.50 200.00 --2.00
--4.00
16 15.00 100.00 --5.00
--5.00
17 20.00 75.00 +1.00
+0.75
18 30.00 50.00 --10.00
--5.00
--- --- --------------------------- ---------------------------------------------- ---------------------
--------------------
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 |
Risk-Parity Technology
[] On each rebalance date we calculate the total index risk, (R)p, on that date
according to the formula
4 4
RP = [][]WiWj[] i[] j []ij
i=1 j =1
[] Where the volatility and dollar-weighting of the i(t)(h) sector
index is given by i i, respectively, and the correlation between ([]) (and W)
the indices is given by ([])ij. To calculate ([])i and ([])ij we have used
90-day historical levels based on log returns [] The amount of risk
contributed, i, to the portfolio by the i(th) sector index is then calculated
according to
(RC)
4
Wi[]i []Wj[] j []ij j
=1
RCi = RP
[] We then solve the above set of non linear equations for each (W)i with the
following constraints
1) (W)i [] 0 for each i
2) (RC)1 (= RC)2 (= RC)3 (= RC)4
3) (R)P = TV, where TV is some pre-defined target level of portfolio risk
[] Constraints 1) and 2) above are necessary and sufficient for any risk-parity
formulation, but using only these two constraints leaves one degree-of-freedom
open. Constraint 3) above fixes this final degree-of-freedom by imposing
an overall leverage on the index in an attempt to target a constant level of
(user-specified) risk within the portfolio of sector exposures
Deutsche Bank Speaker name
Commodities Name of event/date 64
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 |
Overview of OY Enhanced [] For each commodity, exposure is provided to 3 sub-indices : -- Short-Term Index: invests in the front month contract - the same as GSCI contract -- Medium-Term Index: invests in a long-term liquid contract -- Long-Term Index: invests in an even longer-term liquid contract [] Roll: Each sub-index rolls into its target contract between the 2 (nd) and 6(th) business days of each month [] Rebalance: Exposure to each sub-index is computed at the close of the 1st business day of each month. Rebalance is implemented at the close of the 2(nd) business day of the month Deutsche Bank Commodities 65 |
 |
Construction of OY Enhanced [] The Optimum Yield Enhanced (OYE) indices diversify their exposure over three points of the relevant commodity's forward curve, the short term contract, the medium term contract and the long term contract [] The methodology considers implied roll yields as well as historical volatility of curve shape to determine the exposure to be provided to the 3 different contracts. [] Exposure to the three contracts is rebalanced on a monthly basis, thereby providing the flexibility to react to any change in curve shape. Deutsche Bank Commodities 66 |
 |
OY Enhanced Roll
[] Choice of contracts for each component index is illustrated with Sugar below
[] Table above shows the contracts into which each index will roll in the month
mentioned in the top row [] Short-Term Index: [] Rolls into H contract in
Jan, K in Feb, etc. In Sep, it rolls into H contract of the next year.
[] This roll schedule matches the SandP GSCI index roll schedule (roll
period for the 2 indices is different -- GSCI rolls between 5(th) and 9th
business days of the month; OYE rolls between 2nd and 6th business days of the
month) [] Medium-Term Index: [] For each commodity, 2 named contracts per
year are specified as Liquid Contracts. For Sugar, these are H and V.
[] The Medium-Term contract provides exposure to the first Liquid
Contract available whose delivery month is after the Short-term Index
contract's delivery month [] Long-Term Index: [] Provides exposure to the
first Liquid Contract available whose delivery month is after the Medium-Term
Index's delivery contract [] Unnecessary trading is avoided by maintaining
continuity in contract exposures. E. g. In Jun, the Long-term Index rolls
out of H * contract, the Medium-Term Index rolls out of V and into H *, and
the Short-Term Index rolls into V. As a result, exposure is maintained to the
H * and V contracts (although there might be a change in weights due to a
change in Sharpe Ratios)
Deutsche Bank Commodities
67
|
 |
OY Enhanced Rebalance
[] For each commodity, exposure across the 3 sub-indices is computed as
follows
1. Compute Implied Roll Return for each sub-index
(1/ T )
[] Price of Spot Contract[]
Implied Roll Return = [][][][] []1[] Price of Target Contract[]
[] Spot Contract: Contract Short-Term Index rolled into in the previous month
[] Target Contract: Contract Short-Term Index will roll into in the current
month. If this is the same as Spot Contract, then it is replaced by the next
available GSCI contract [] T: Days between expiry dates of Target Contract and
Spot Contract / 365
2. Compute Volatility for each sub-index
[] Compute daily returns, r(s), of the Spot Contract for last 61 business days
[] Compute daily returns, r(t), of the Target Contract for last 61 business
days [] Compute spread returns: r(spread) = r(t) -- r(s) [] Compute annualized
volatility of spread returns
3. Compute Sharpe Ratio for each sub-index Implied Roll Return Sharpe
Ratio = Volatility
4. Transform Sharpe Ratio of each sub-index to a Probability Measure
[] Probability Measure = Cumulative probability on a standard normal
distribution for the computed Sharpe Ratio. The higher the Sharpe Ratio, the
higher will be the Probability Measure. In this way, a Sharpe Ratio which can
be negative or positive is transformed to a measure that is always positive and
lies between 0 and 1.
5. Compute Exposures
[] Normalize the Probability Measures so they add to 100%
[] Exposure to each sub-index = the normalized Probability Measure
[] The rebalance calculation is performed at the end of the 1(st) business day
of every month
Deutsche Bank Commodities
68
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Liquid Contracts for Optimum Yield Enhanced Indices
Commodity Liquid Contracts
--------------- --- ---------------- ---
WTI Crude Oil Jun Dec
--------------- --- ---------------- ---
Natural Gas Jan Jul
--------------- --- ---------------- ---
Heating Oil Jun Dec
--------------- --- ---------------- ---
RBOB Gasoline Jun Dec
--------------- --- ---------------- ---
Brent Crude Oil Jun Dec
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Gas Oil Jun Dec
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Gold Jun Dec
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Silver Jul Dec
--------------- --- ---------------- ---
Soybeans Jul Nov
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Corn Jul Dec
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Wheat Jul Dec
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Soybean Oil Jul Dec
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Sugar Mar Oct
--------------- --- ---------------- ---
Coffee Jul Dec
--------------- --- ---------------- ---
Cotton Jul Dec
--------------- --- ---------------- ---
Kansas Wheat Jul Dec
--------------- --- ---------------- ---
Cocoa Mar Dec
--------------- --- ---------------- ---
Copper Jun Dec
--------------- --- ---------------- ---
Aluminum Jun Dec
--------------- --- ---------------- ---
Zinc Jun Dec
--------------- --- ---------------- ---
Nickel Jun Dec
--------------- --- ---------------- ---
Lead Jun Dec
--------------- --- ================ ---
Deutsche Bank Commodities
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Comparative Performance Statistics
Annualized Returns for Various Indices
------------- ----------------------------------------------- ----------------
YTD Return [] 1 Year Return 3 Year Return 5 Year Return 10 Year Return
Volatility [] Sharpe
Beta Allocation Indices
DBLCI (TM) 0.00% -26.48% -12.48% -5.74% -2.42%
21.98% -0.11
SandP GSCI (TM) 0.00% -33.08% -12.89% -6.61% -6.16%
24.16% -0.25
Bloomberg Commodity (SM) 0.00% -17.04% -9.47% -5.60% -3.28%
18.16% -0.18
Optimum Yield Based Indices
DB Commodity Booster -- Bloomberg ERAC 0.00% -17.16% -9.66% -5.04% 0.64%
16.88% 0.04
DB Commodity Booster -- Bloomberg ERAC TV 14 0.00% -29.65% -16.95% -9.63% -0.60%
14.90% -0.04
DB Commodity Booster -- Benchmark 0.00% -31.03% -12.00% -5.77% -0.16%
21.72% -0.01
Mean Reversion Based Indices
DBLCI-MR 0.00% -19.41% -8.83% -3.44% 3.07%
20.87% 0.15
DBLCI -- Mean Reversion Enhanced ex NG ERAC 0.00% -14.69% -8.36% -3.66% 6.53%
20.27% 0.32
DBLCI MR Enhanced 15 0.00% -24.66% -13.39% -10.55% 1.26%
15.77% 0.08
DBLCI MR+ 0.00% -2.85% -4.24% -2.67% 4.52%
14.12% 0.32
Market Neutral Indices
DB Commodity Harvest ERAC 0.00% 0.16% -0.92% -0.52% 2.93%
3.00% 0.98
DB Commodity Harvest -- 10 ERAC 0.00% 0.52% -4.98% -3.53% 7.88%
10.40% 0.76
DB Commodity Backwardation Alpha 22 0.00% -16.52% -5.31% -0.94% 14.23%
13.50% 1.05
DB Commodity Risk Parity 18 0.00% -37.23% -22.16% -11.03% 3.37%
19.94% 0.17
Optimum Yield Enhanced Based Indices
DB Commodity Booster OYE Benchmark Bloomberg 0.00% -14.03% -8.11% -3.31% 3.32%
15.99% 0.21
DB Commodity Booster OYE Benchmark LE 0.00% -16.65% -8.28% -2.38% 2.95%
16.92% 0.17
DB Commodity Curve Alpha ERAC 0.00% 0.34% -1.02% 0.28% 4.74%
2.46% 1.93
DB Commodity Curve Alpha ERAC 10 0.00% 1.62% -6.65% -1.01% 19.47%
10.08% 1.93
Other Asset Classes
Equities (SandP 500) 0.00% 13.69% 20.37% 15.45% 7.67%
20.45% 0.37
Fixed Income (US Govt. All Total Return) 0.00% 8.48% 4.04% 4.50% 4.65%
2.69% 1.73
--------------------------------------------- ------------- --------------- --------------- --------------- ----------------
------------- ------ -----
Notes: Statistics shown for "Other asset classes" are
computed using Total Return Indices. Sharpe Ratio for these indices is computed
using a threshold return of zero. All indices have been retrospectively
calculated and did not exist prior to their respective Live Date. Indices have
very limited performance history and no actual investment which allowed
tracking of the Deutsche Bank performance of these Indices was possible before
their Live Date. Accordingly, the results shown before the Live Date are
hypothetical and do not reflect actual returns. PastSpeaker name Commodities
performance is not necessarily indicative of how the Indices will perform in
the future. Data till 31 Dec 2014. See Risk Considerations for more
information.Name of event/date
1 YTD returns are not annualized 70 2 Annualised vol of the daily lognormal
returns
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Products
DB Commodity Indices Delta 1 Structures Structures with Vanilla
Optionality
DB Commodity Booster -- Bloomberg ERAC [] []
----------------------------------------------- ------------------ -----------------------
DB Commodity Booster -- Bloomberg ERAC TV 14 [] []
----------------------------------------------- ------------------ -----------------------
DB Commodity Booster -- Benchmark [] []
----------------------------------------------- ------------------ -----------------------
DBLCI-MR []
----------------------------------------------- ------------------ -----------------------
DBLCI-MR+ []
----------------------------------------------- ------------------ -----------------------
DBLCI -- Mean Reversion Enhanced ex NG ERAC [] []
----------------------------------------------- ------------------ -----------------------
DB MR Enhanced 15 [] []
----------------------------------------------- ------------------ -----------------------
DB Commodity Harvest ERAC [] []
----------------------------------------------- ------------------ -----------------------
DB Commodity Harvest -- 10 ERAC [] []
----------------------------------------------- ------------------ -----------------------
DB Commodity Backwardation Alpha 22 Index []
----------------------------------------------- ------------------ -----------------------
DB Commodity Risk Parity 18 Index []
----------------------------------------------- ------------------ -----------------------
DB Commodity Booster OYE Benchmark Bloomberg []
----------------------------------------------- ------------------ -----------------------
DB Commodity Booster OYE Benchmark Light Energy []
----------------------------------------------- ------------------ -----------------------
DB Commodity Curve Alpha ERAC []
----------------------------------------------- ------------------ -----------------------
DB Commodity Curve Alpha ERAC 10 []
----------------------------------------------- ------------------ -----------------------
Deutsche Bank Speaker name
Commodities Name of event/date 71
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Market Data Sources
Bloomberg Tickers and Index Live Dates
----------------------------------------------- ---------------- ----------------
Bloomberg Ticker Index Live Date
SandP GSCI Index SPGCCIP (Index)
SandP GSCI Light Energy SPGSLEP (Index)
Bloomberg Commodity Index BCOM (Index)
DBLCI DBLCMACL (Index) 28 February 03
DBLCI-MR DBLCMMCL (Index) 28 February 03
DBLCI -- Mean Reversion Enhanced ex NG ERAC DBLCMNGU (Index) 30 August 2012
DB MR Enhanced 15 DBLCMTEU (Index) 28 September 09
DBLCI-MR+ DBLCMPUE (Index) 20 June 07
DB Commodity Booster -- Benchmark DBCMBSEU (Index) 15 December 07
DB Commodity Booster -- Benchmark Light Energy DBCMBLEU (Index) 15 December 07
DB Commodity Booster -- Bloomberg ERAC DBCMBDEN (Index) 12 October 10
DB Commodity Booster -- Bloomberg ERAC TV 14 DBCMBTVN (Index) 12 October 10
DB Commodity Harvest ERAC DBLCHNUE (Index) 14 October 08
DB Commodity Harvest -- 10 ERAC DBCMHVEG (Index) 14 October 08
DB Commodity Booster OYE Benchmark Bloomberg DBCMODUE (Index) 31 October 11
DB Commodity Booster OYE Benchmark Light Energy DBRCOSUE (Index) 30 November 11
DB Commodity Curve Alpha ERAC DBRCOAEC (Index) 30 November 11
DB Commodity Curve Alpha ERAC 10 DBRCOCUE (Index) 30 November 11
DB Commodity Risk Parity 18 Index DBCMRPTV (Index) 12 December 2010
DB Commodity Backwardation Alpha 22 Index DBRCBWUE (Index) 15 October 2012
Equities (SandP 500) Total Return SPTR (Index)
Fixed Income Total Return JHDCGBIG (Index)
----------------------------------------------- ---------------- ----------------
Deutsche Bank Speaker name Commodities Name of event/date
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Optimized Yield Available Indices Commodity Contract Expiry Date Bloomberg Ticker Index Live Date Energy WTI Crude Oil 20-Feb-15 DBLCOCLE Index 31 May 06 Brent Crude Oil 13-Nov-15 DBLCYECO Index 31 May 06 Heating Oil 29-May-15 DBLCOHOE Index 31 May 06 RBOB Gasoline 30-Nov-15 DBLCYERB Index 31 May 06 Gasoil 10-Jul-15 DBLCYEGO Index 31 May 06 Natural Gas 27-Mar-15 DBLCYENG Index 31 May 06 Base Metals Aluminum 21-Oct-15 DBLCOALE Index 31 May 06 Copper 18-Feb-15 DBLCYECU Index 31 May 06 Zinc 18-Feb-15 DBLCYEZN Index 31 May 06 Nickel 16-Sep-15 DBLCYENI Index 31 May 06 Lead 18-Feb-15 DBLCYEPB Index 31 May 06 Precious Metals Gold 28-Apr-15 DBLCOGCE Index 31 May 06 Silver 27-Jan-16 DBLCYESI Index 31 May 06 Agriculture Wheat 14-Jul-15 DBLCOWTE Index 31 May 06 Kansas Wheat 14-Jul-15 DBLCYEKW Index 31 May 06 Corn 14-Dec-15 DBLCOCNE Index 31 May 06 Soybean 13-Nov-15 DBLCYESS Index 31 May 06 Cotton 09-Mar-15 DBLCYECE Index 31 May 06 Sugar 30-Jun-15 DBLCYESB Index 31 May 06 Coffee 19-Mar-15 DBLCYEKC Index 31 May 06 Cocoa 13-May-15 DBLCYECC Index 31 May 06 --------------- -------------------- ---------------- --------------- Source: DBIQ Deutsche Bank Notes: Speaker name Commodities 1 Bloomberg Tickers shown are for Excess Return version of the indices Name of event/date 2 Data as of 31 Dec 2014 73 |
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Risk Considerations [] The information contained in this presentation does not provide personal investment advice. You should consult with independent accounting, tax, legal and regulatory counsel regarding such matters as they may apply to your particular circumstances Strategy Risk [] The DB Commodity Harvest Indices adopt a market neutral strategy by taking a long position in a specified booster index and a short position in a specified benchmark index. However, this market neutral strategy may not be successful, and each index may not be able to achieve its desired objective [] The Optimum Yield and Optimum Yield Enhanced strategies described herein aim to maximize the potential roll benefits in backwardated markets and minimize potential roll losses in contango markets by purchasing the relevant new futures contracts that would generate the maximum implied roll yield. However, indices employing the Optimum Yield and Optimum Yield Enhanced strategies may not be successful in achieving the desired objective [] The Target Volatility strategy described herein aims to achieve a specified realized volatility in the base index by adjusting the level of participation based on the historical realized volatility of the base index. However, indices employing the Target Volatility strategy may not be successful in achieving the desired objective [] The Mean Reversion strategy described herein aims to maximize returns by over-weighting relatively cheap commodities and under-weighting relatively expensive commodities. However, indices employing the Mean Reversion strategy may not be successful in achieving the desired objective [] The Risk Parity strategy described herein aims to provide exposure to four commodity sector indices such that risk contribution of each to the resulting portfolio, determined based on past three months' realized volatilities and correlations, is equal. However, indices employing the Risk Parity strategy may not be successful in achieving the desired objective [] The DB Commodity Backwardation Alpha 22 Index adopts a long-short strategy of taking a long position in 11 of the 22 index commodities with the highest positive roll yields in backwardated markets (or the lowest negative roll yields in contango markets), in conjunction with the Optimum Yield Enhanced strategy described herein, and taking a short position in the remaining 11 index commodities. However, the long-short strategy and Optimum Yield Enhanced strategy employed by the DB Commodity Backwardation Alpha 22 Index may not be successful, and the index may not be able to achieve its desired objective Deutsche Bank Speaker name Commodities Name of event/date 74 |
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Risk Considerations (Cont'd) [] Commodities are speculative and highly volatile and the risk of loss from investing in financial instruments linked to commodities or commodity indices can be substantial Past Performance [] An index's performance is unpredictable, and past performance is not indicative of future performance. We give no representation or warranty as to the future performance of any index or investment [] Some of the indices described herein have very limited performance history Index Comparison [] In this document, various performance-related statistics, such as index return and volatility, among others, of each Deutsche Bank proprietary index included herein are compared with those of their related Deutsche Bank and/or non-Deutsche Bank indices. Such comparisons are for information purposes only. No assurance can be given that such Deutsche Bank proprietary indices included herein will outperform their related Deutsche Bank and/or non-Deutsche Bank indices in the future; nor can assurance be given that such Deutsche Bank proprietary indices will not significantly underperform their related Deutsche Bank and/or non- Deutsche Bank indices in the future. Similarly, no assurance can be given that the relative volatility levels of such Deutsche Bank proprietary indices and their related Deutsche Bank and/or non-Deutsche Bank indices will remain the same in the future Backtesting [] Backtested, hypothetical or simulated performance results discussed herein have inherent limitations. The index methodology of each index was designed, constructed and tested using historical market data and based on knowledge of factors that may have possibly affected its performance. The returns of an index prior to such index's Live Date were achieved by means of a retroactive application of such backtested index methodology designed with the benefit of hindsight. Taking into account historical events, the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid and do not account for all financial risk that may affect the actual performance of an investment. Past hypothetical backtested results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis contained herein Deutsche Bank Speaker name Commodities Name of event/date 75 |
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Important Notes
Additional Information (including index methodology and rules) about the
Deutsche Bank proprietary indices discussed in this presentation is available
upon request by calling (212) 250-0703
Deutsche Bank AG has filed a registration statement (including a prospectus)
with the Securities and Exchange Commission, or SEC, for the offering to which
this communication relates. Before you invest, you should read the prospectus
in that registration statement and other documents that Deutsche Bank AG has
filed with the SEC for more complete information about Deutsche Bank AG and any
such offering. You may obtain these documents without cost by visiting EDGAR on
the SEC website at www.sec.gov. Alternatively, Deutsche Bank AG, any agent or
any dealer participating in the offering will arrange to send you the
prospectus if you so request by calling toll-free 1-800-311-4409
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The Products are not sponsored, endorsed, sold or promoted by Bloomberg, UBS
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Products.
Deutsche Bank Speaker name Commodities Name of event/date
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