Risk Premia Implementation Motivation for Isolating Risk Premia ■ Correlations between Relative Performance risk premia are significantly lower than among Long Only Risk Premia Long Only Risk Premia Correlations Value Quality Momentum Low Beta MSCI World Value 96% 89% 91% 96% Quality 94% 92% 98% Momentum 88% 93% Low Beta 92% MSCI World Relative Performance Risk Premia Correlations Value Quality Momentum low Beta MSCI World Value -15% -49% 2% 25% Quality -18% -7% -38% Momentum 20% 13% Low Beta 37% MSCI World Source: Deutsche Bank. Bloomberg .Correlation is calculated using monthly returns. Data Period: Jan-02 to Jul-13. 10 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0054960 CONFIDENTIAL SDNY_GM_00201144 EFTA01364424