Multi-Asset Risk Premia Portfolio — TV8 Performance Overview Historical Performance vs MSCI World and Barclays Agg 200% ISO% 160% 140% 120% 100% 80% 60% 40% 20% 0% Fcb-12 Risk Prania Portfolio MSCI World • Excess Return Agg - Excess Return Feb-13 Feb-14 Feb-15 Summary Statistics Data From 24-Feb-012 to 24-Feb-17 Compounded Annual Growth Volatility Sharpe Risk Premia Portfolio 12.4% 6.3% 1.97 Max Drawdown -5.3 CAGR / Max Drawdown 2.33 Max Drawdown / Volatility 0.85 Correlation to MSCI World Excess Rtn -7% Correlation to Barclays Agg Excess Rtn 15% Beta to MSCI World Excess Rtn -4% Feb-16 MSCI World - Excess Return Feb-17 Barclays Agg. Excess Return 9.2% 2.1% 11.8% 3.2% 0.78 0.66 -18.1% -4.9% 0.51 0.43 1.53 1.53 -19% -19% -5% Rolling 2 year Correlation MSCI World - Excess Return 100% 80% 60% 40% 20% 0% -20% 40% 40% 40% -100% Average Risk Premium Weights (Before Vol-Targeting) 15Th • Sauuy Implied Ps-Wend • Eresty Low Btu rilEquity Moment= IlE9114YQuallY REquity Value scmutey Moment= 111Curtawy Value alkalis% Mtaucipal Arbitrage ' Equity Mean Reversion URaws1dornentum • Commodity Claw -Pees airomnsdity 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 (LBUSTRUU). 18 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0055024 SDNY_GM_00201208 EFTA01364484