Multi-Asset Risk Premia Portfolio — TV5 Performance Overview 180%, 160% 140% I 120% 100% 80% 60% 40% 20% 0% Historical Performance vs MSCI World and Barclays Agg Risk Premia Portfolio —MSCI World - Suess Return —Ban.lays Agg FIxeecs Return Q s s • P Summary Statistics Risk Premia Data From 24-Feb-012 to 24-Feb-17 s MSCI World - s Barclays ASS - Portfolio Excess Excess Return Return Compounded Annual Growth 8.5% 9.2% 2.1% Volatility 4.8% 11.8% 3.2% Sharpe 1.76 0.78 0.66 Max Drawdown -4.0% -18.1% -4.9% CAGR/ Max Drawdown 2.12 0.51 0.43 Max Drawdown / Volatility 0.83 1.53 1.54 Correlation to MSCI World Excess Rtn -5% -19% Correlation to Barden Au Excess Rtn 14% -19% Beta to MSCI World Excess Rtn -2% -5% 100% 80% 60% 40% 20% 0% -20% 40% 40% -80% -100% Rolling 2 year Correlation MSCI World - Excess Return Average Risk Premium Weights -kis. 7j% 15A% • Equity Implied Dividend • Equity Low Beta rilEquity Momentum • Bprity Quality REquity Value Mammy Moment= ', Cum:my Value Rates Mtaucipal tebarage • Equity Mean Reversion RRaws alorneraum • Commisclity Claw -Pena at (tilts. Momentum Source: Deutsche Bank, Bloomberg. Past results are neither an indicator nor a guarantee of future performance. Performance is net of costs and fees. Correlation and beta are calculated over rolling weekly returns. Volatility is calculated with daily returns. MSCI World Excess Return is calculated by deducting Fed Funds daily from MSCI World Net Total Return Index (NDDUWI). Barclays Agg Excess Return is calculated by deducting Fed Funds daily from Barclays Agg Total Return Index (LB 7USTRUU). CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0055023 SDNY_GM_00201207 EFTA01364483