ISSUER FREE WRITING PROSPECTUS Filed Pursuant to Rule 433 Registration Statement No. 333-137902 Dated March 6, 2009 |
![]() | Global Markets / Equity Global Markets Equity Proprietary Indices Monthly Report - March 2009 A Passion to Perform Deutsche Bank |
![]() | GME Indices Review (as of 27th February 2009) TABLE OF CONTENTS Performance Summary Deutsche Bank CROCI Indices 2 Deutsche Bank Evergreen Indices 2 Deutsche Bank Alpha Indices 3 Deutsche Bank Multi-Asset Indices 4 Deutsche Bank Specialised Indices 4 Deutsche Bank Islamic Indices 5 Monthly Reviews Deutsche Bank CROCI US+ Index 6 Deutsche Bank CROCI US Plus II Index 7 Deutsche Bank CROCI Euro+ Index 8 Deutsche Bank CROCI Euro II Index 9 Deutsche Bank CROCI Japan+ Index 10 Deutsche Bank CROCI Japan II Index 11 Deutsche Bank US Growth Total Return Index 12 Deutsche Bank US Value Total Return Index 13 Deutsche Bank Euro Growth Total Return Index 14 Deutsche Bank Euro Value Total Return Index 15 Deutsche Bank UK Growth Total Return Index 16 Deutsche Bank UK Value Total Return Index 17 Deutsche Bank Japan Growth Total Return Index 18 Deutsche Bank Japan Value Total Return Index 19 S&P X-Alpha Total Return USD Index 20 S&P X-Alpha Excess Return USD Index 21 Deutsche Bank X-Alpha Total Return USD Index 22 Deutsche Bank X-Alpha Excess Return USD Index 23 DBIQ ImpAct Dollar Equity Volatility (Bid) Index 24 Deutsche Bank Liquid Alpha USD 5 Total Return S1 Index 25 Deutsche Bank Liquid Alpha USD 5 Excess Return S1 Index 26 Deutsche Bank US ValueGrowth Select Index 27 Deutsche Bank ValueGrowth Select Total Return Index 28 Deutsche Bank Global Yield US Total Return Index 29 Deutsche Bank Global Yield Euro Total Return Index 30 Deutsche Bank Global Yield AP Total Return Index 31 Deutsche Bank E-REV Europe Total Return Index 32 Deutsche Bank E-REV Japan Total Return Index 33 Deutsche Bank SectorLeader Total Return Index 34 Deutsche Bank ChinaOpportunity USD Total Return Index 35 Deutsche Bank Islamic US EquityBuilder Total Return Index 36 Deutsche Bank Islamic Europe EquityBuilder Total Return Index 37 Deutsche Bank Islamic Asia Pacific EquityBuilder Total Return 38 Index Deutsche Bank Islamic Global Pacific EquityBuilder Total Return 39 Index 1 |
![]() ![]() | GME Indices Performance Summary (as of 27th February 2009) Deutsche Bank Croci Indices Deutsche Bank CROCI US+ Index Bloomberg: CROCI 1 Month 3 Months 6 Months YTD 1 year CROCI US+ Index -10.2% -11.3% -40.4% -14.5% -42.9% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% S&P 500/Citigroup Value Index (TR) -13.1% -22.9% -46.2% -23.6% -49.4% Excess Return vs S&P 500 Index (TR) 0.5% 6.0% 1.4% 3.7% 0.5% Excess Return vs S&P 500/Citigroup Value Index (TR) 2.9% 11.6% 5.8% 9.1% 6.5% Deutsche Bank CROCI US Plus II Index Bloomberg: DBUSCPII 1 Month 3 Months 6 Months YTD 1 year CROCI US Plus II Index -9.1% -9.4% -35.6% -12.8% -36.3% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% S&P 500/Citigroup Value Index (TR) -13.1% -22.9% -46.2% -23.6% -49.4% Excess Return vs S&P 500 Index (TR) 1.6% 8.0% 6.3% 5.4% 7.1% Excess Return vs S&P 500/Citigroup Value Index (TR) 4.0% 13.6% 10.6% 10.8% 13.1% Deutsche Bank CROCI Euro+ Index Bloomberg: CRCEU 1 Month 3 Months 6 Months YTD 1 year CROCI Euro+ Index -9.5% -10.5% -38.2% -15.0% -41.8% EuroSTOXX 50 Index (TR) -11.6% -18.4% -40.7% -19.0% -45.1% MSCI EMU Index (TR) -10.9% -16.8% -42.4% -16.7% -47.0% Excess Return vs EuroSTOXX 50 Index (TR) 2.1% 8.0% 2.5% 4.0% 3.2% Excess Return vs MSCI EMU Index (TR) 1.4% 6.3% 4.1% 1.7% 5.1% Deutsche Bank CROCI Euro II Index Bloomberg: DBEECRII 1 Month 3 Months 6 Months YTD 1 year CROCI Euro II Index -7.7% -7.7% -36.9% -12.3% -38.7% EuroSTOXX 50 Index (TR) -11.6% -18.4% -40.7% -19.0% -45.1% MSCI EMU Index (TR) -10.9% -16.8% -42.4% -16.7% -47.0% Excess Return vs EuroSTOXX 50 Index (TR) 3.9% 10.7% 3.8% 6.7% 6.4% Excess Return vs MSCI EMU Index (TR) 3.2% 9.0% 5.4% 4.4% 8.3% Deutsche Bank CROCI Japan+ Index Bloomberg: CRCJP 1 Month 3 Months 6 Months YTD 1 year CROCI Japan+ Index 0.5% -2.3% -41.9% -3.6% -45.6% TOPIX 100 Index (TR) -4.3% -9.1% -42.3% -11.5% -44.7% MSCI Japan Index (TR) -4.6% -9.5% -40.6% -11.9% -43.5% Excess Return vs TOPIX 100 Index (TR) 4.9% 6.8% 0.5% 7.8% -0.9% Excess Return vs MSCI Japan Index (TR) 5.1% 7.2% -1.3% 8.2% -2.1% Deutsche Bank CROCI Japan II Index Bloomberg: DBAPCRII 1 Month 3 Months 6 Months YTD 1 year CROCI Japan II Index 0.6% -0.9% -40.6% -2.5% -43.6% TOPIX 100 Index (TR) -4.3% -9.1% -42.3% -11.5% -44.7% MSCI Japan Index (TR) -4.6% -9.5% -40.6% -11.9% -43.5% Excess Return vs TOPIX 100 Index (TR) 4.9% 8.1% 1.7% 9.0% 1.1% Excess Return vs MSCI Japan Index (TR) 5.2% 8.6% 0.0% 9.4% -0.1% Deutsche Bank Evergreen Indices Deutsche Bank US Growth Total Return Index Bloomberg: DBUSUSG 1 Month 3 Months 6 Months YTD 1 year US Growth Index -8.0% -11.9% -43.7% -11.4% -46.6% S&P 500/Citigroup Growth Index (TR) -8.5% -12.0% -37.7% -13.0% -37.5% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% Excess Return vs S&P 500/Citigroup Growth Index (TR) 0.5% 0.1% -6.0% 1.6% -9.1% Excess Return vs S&P 500 Index (TR) 2.6% 5.4% -1.8% 6.8% -3.2% Deutsche Bank US Value Total Return Index Bloomberg: DBUSUSV 1 Month 3 Months 6 Months YTD 1 year US Value Index -9.8% -9.3% -37.6% -14.6% -44.1% S&P 500/Citigroup Value Index (TR) -13.1% -22.9% -46.2% -23.6% -49.4% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% Excess Return vs S&P 500/Citigroup Value Index (TR) 3.2% 13.6% 8.6% 9.0% 5.2% Excess Return vs S&P 500 Index (TR) 0.8% 8.0% 4.3% 3.6% -0.7% Deutsche Bank Euro Growth Total Return Index Bloomberg: DBEEEUGR 1 Month 3 Months 6 Months YTD 1 year Euro Growth Index -7.3% -13.3% -33.8% -14.1% -41.1% EuroSTOXX Large Cap Growth Index (TR) -10.8% -16.1% -39.0% -16.9% -44.8% EuroSTOXX Large Euro Return Index (TR) -11.2% -17.8% -41.9% -18.2% -46.8% Excess Return vs EuroSTOXX Large Cap Growth Index (TR) 3.4% 2.8% 5.1% 2.8% 3.7% Excess Return vs EuroSTOXX Large Euro Return Index (TR) 3.8% 4.5% 8.0% 4.1% 5.8% Deutsche Bank Croci Indices Deutsche Bank CROCI US+ Index Annualised Bloomberg: CROCI 3 years 5 years 0 years CROCI US+ Index -12.6% -2.1% 6.1% S&P 500 Index (TR) -15.1% -6.6% -3.4% S&P 500/Citigroup Value Index (TR) -18.1% -7.6% -2.5% Excess Return vs S&P 500 Index (TR) 2.5% 4.5% 9.5% Excess Return vs S&P 500/Citigroup Value Index (TR) 5.5% 5.5% 8.6% Deutsche Bank CROCI US Plus II Index Annualised Bloomberg: DBUSCPII 3 years 5 years 0 years CROCI US Plus II Index -9.1% 0.2% 7.3% S&P 500 Index (TR) -15.1% -6.6% -3.4% S&P 500/Citigroup Value Index (TR) -18.1% -7.6% -2.5% Excess Return vs S&P 500 Index (TR) 6.0% 6.9% 10.7% Excess Return vs S&P 500/Citigroup Value Index (TR) 9.0% 7.9% 9.9% Deutsche Bank CROCI Euro+ Index Bloomberg: CRCEU Annualised 3 years 5 years 0 years CROCI Euro+ Index -13.0% -0.4% 3.9% EuroSTOXX 50 Index (TR) -17.0% -4.8% -3.5% MSCI EMU Index (TR) -17.5% -4.1% N/A Excess Return vs EuroSTOXX 50 Index (TR) 4.0% 4.4% 7.4% Excess Return vs MSCI EMU Index (TR) 4.5% 3.7% N/A Deutsche Bank CROCI Euro II Index Bloomberg: DBEECRII Annualised 3 years 5 years 0 years CROCI Euro II Index -10.9% 1.1% 4.7% EuroSTOXX 50 Index (TR) -17.0% -4.8% -3.5% MSCI EMU Index (TR) -17.5% -4.1% N/A Excess Return vs EuroSTOXX 50 Index (TR) 6.1% 5.9% 8.2% Excess Return vs MSCI EMU Index (TR) 6.6% 5.2% N/A Deutsche Bank CROCI Japan+ Index Bloomberg: CRCJP Annualised 3 years 5 years 0 years CROCI Japan+ Index -19.6% -6.0% 0.7% TOPIX 100 Index (TR) -22.2% -6.8% -4.4% MSCI Japan Index (TR) -21.8% -5.4% -3.3% Excess Return vs TOPIX 100 Index (TR) 2.7% 0.8% 5.1% Excess Return vs MSCI Japan Index (TR) 2.3% -0.6% 4.0% Deutsche Bank CROCI Japan II Index Bloomberg: DBAPCRII Annualised 3 years 5 years 0 years CROCI Japan II Index -18.3% -5.1% 1.2% TOPIX 100 Index (TR) -22.2% -6.8% -4.4% MSCI Japan Index (TR) -21.8% -5.4% -3.3% Excess Return vs TOPIX 100 Index (TR) 4.0% 1.7% 5.6% Excess Return vs MSCI Japan Index (TR) 3.5% 0.3% 4.5% Deutsche Bank Evergreen Indices Deutsche Bank US Growth Total Return Index Bloomberg: DBUSUSG Annualised 3 years 5 years 10 years US Growth Index -17.7% -4.7% 0.0% S&P 500/Citigroup Growth Index (TR) -12.3% -5.9% -4.6% S&P 500 Index (TR) -15.1% -6.6% -3.4% Excess Return vs S&P 500/Citigroup Growth Index (TR) -5.4% 1.1% 4.7% Excess Return vs S&P 500 Index (TR) -2.6% 1.9% 3.4% Deutsche Bank US Value Total Return Index Bloomberg: DBUSUSV Annualised 3 years 5 years 10 years US Value Index -16.2% -3.3% 3.6% S&P 500/Citigroup Value Index (TR) -18.1% -7.6% -2.5% S&P 500 Index (TR) -15.1% -6.6% -3.4% Excess Return vs S&P 500/Citigroup Value Index (TR) 1.9% 4.3% 6.2% Excess Return vs S&P 500 Index (TR) -1.1% 3.3% 7.0% Deutsche Bank Euro Growth Total Return Index Bloomberg: DBEEEUGR Annualised 3 years 5 years 10 years Euro Growth Index -12.9% -0.9% 0.5% EuroSTOXX Large Cap Growth Index (TR) -15.7% -6.3% -4.9% EuroSTOXX Large Euro Return Index (TR) -17.5% -4.7% N/A Excess Return vs EuroSTOXX Large Cap Growth Index (TR) 2.9% 5.4% 5.4% Excess Return vs EuroSTOXX Large Euro Return Index (TR) 4.6% 3.8% N/A Return data shown above may be based on simulated and/or actual returns, refer to Index description pages for details. Past performance is no guarantee of future results. Source: Bloomberg or Deutsche Bank AG/London 2 |
![]() ![]() | GME Indices Performance Summary (as of 27th February 2009) Deutsche Bank Euro Value Total Return Index Bloomberg: DBEEEUVA 1 Month 3 Months 6 Months YTD 1 year EURO VALUE INDEX -13.7% -21.7% -48.1% -23.6% -54.2% EuroSTOXX Large Cap Value Index (TR) -11.0% -17.9% -45.9% -18.1% -51.3% EuroSTOXX Large Euro Return Index (TR) -11.2% -17.8% -41.9% -18.2% -46.8% Excess Return vs EuroSTOXX Large Cap Value Index (TR) -2.8% -3.8% -2.2% -5.5% -2.9% Excess Return vs EuroSTOXX Large Euro Return Index (TR) -2.6% -3.9% -6.2% -5.4% -7.4% Deutsche Bank UK Growth Total Return Index Bloomberg: DBEEUKGT 1 Month 3 Months 6 Months YTD 1 year UK Growth Index 1.2% 12.8% -17.1% 4.4% -20.0% FTSE 100 Index (TR) -7.0% -9.8% -30.7% -12.9% -31.9% MSCI UK Growth Index (TR) -5.9% -3.2% -30.3% -8.2% -31.1% Excess Return vs FTSE 100 Index (TR) 8.2% 22.6% 13.6% 17.3% 11.8% Excess Return vs MSCI UK Growth Index (TR) 7.1% 16.0% 13.3% 12.6% 11.1% Deutsche Bank UK Value Total Return Index Bloomberg: DBEEUKVT 1 Month 3 Months 6 Months YTD 1 year UK Value Index 1.1% -5.6% -33.0% -3.7% -42.6% FTSE 100 Index (TR) -7.0% -9.8% -30.7% -12.9% -31.9% MSCI UK Value Index (TR) -8.9% -18.4% -33.4% -19.5% -35.2% Excess Return vs FTSE 100 Index (TR) 8.1% 4.2% -2.3% 9.1% -10.8% Excess Return vs MSCI UK Value Index (TR) 10.0% 12.8% 0.4% 15.8% -7.5% Deutsche Bank Japan Growth Total Return Index Bloomberg: DBAPJGT 1 Month 3 Months 6 Months YTD 1 year Japan Growth Index -4.1% -6.5% -43.8% -8.5% -47.7% TOPIX 100 Index (TR) -4.3% -9.1% -42.3% -11.5% -44.7% MSCI Japan Growth Index (TR) -6.2% -12.3% -45.8% -15.4% -49.0% Excess Return vs TOPIX 100 Index (TR) 0.2% 2.6% -1.5% 3.0% -3.0% Excess Return vs MSCI Japan Growth Index (TR) 2.1% 5.8% 2.0% 6.9% 1.3% Deutsche Bank Japan Value Total Return Index Bloomberg: DBAPJVT 1 Month 3 Months 6 Months YTD 1 year Japan Value Index -3.1% -7.0% -46.9% -9.2% -49.9% TOPIX 100 Index (TR) -4.3% -9.1% -42.3% -11.5% -44.7% MSCI Japan Value Index (TR) -2.9% -6.2% -35.0% -8.2% -37.7% Excess Return vs TOPIX 100 Index (TR) 1.2% 2.1% -4.6% 2.2% -5.1% Excess Return vs MSCI Japan Value Index (TR) -0.2% -0.8% -11.8% -1.0% -12.1% DEUTSCHE BANK ALPHA INDICES S&P X-Alpha Total Return USD Index Bloomberg: SPXADT 1 Month 3 Months 6 Months YTD 1 year S&P X-Alpha TR Index 1.8% 4.6% 1.5% 3.9% -2.7% MSCI World Index (TR) -10.2% -15.5% -43.6% -18.1% -47.2% HFRX USD Equity Market Neutral Index (TR) -1.0% -3.1% -2.4% -0.9% -0.1% Excess Return vs MSCI World Index (TR) 12.1% 20.1% 45.0% 22.0% 44.5% Excess Return vs HFRX USD Equity Market Neutral Index (TR)2.8% 7.7% 3.9% 4.8% -2.6% S&P X-Alpha Excess Return USD Index Bloomberg: SPXADE 1 Month 3 Months 6 Months YTD 1 year S&P X-Alpha ER Index 1.8% 4.6% 1.2% 3.9% -4.1% MSCI World Index (TR) -10.2% -15.5% -43.6% -18.1% -47.2% HFRX USD Equity Market Neutral Index (TR) -1.0% -3.1% -2.4% -0.9% -0.1% Excess Return vs MSCI World Index (TR) 12.0% 20.1% 44.7% 22.0% 43.2% Excess Return vs HFRX USD Equity Market Neutral Index (TR)2.8% 7.7% 3.6% 4.8% -4.0% Deutsche Bank X-Alpha Total Return USD Index Bloomberg: DBGLXAT 1 Month 3 Months 6 Months YTD 1 year X-Alpha TR Index 1.2% 4.0% 0.1% 3.2% -3.9% MSCI World Index (TR) -10.2% -15.5% -43.6% -18.1% -47.2% HFRX USD Equity Market Neutral Index (TR) -1.0% -3.1% -2.4% -0.9% -0.1% Excess Return vs MSCI World Index (TR) 11.5% 19.4% 43.7% 21.3% 43.4% Excess Return vs HFRX USD Equity Market Neutral Index (TR)2.2% 7.0% 2.5% 4.2% -3.8% Deutsche Bank X-Alpha Excess Return USD Index Bloomberg: DBGLXAE 1 Month 3 Months 6 Months YTD 1 year X-Alpha ER Index 1.2% 3.9% -0.2% 3.2% -5.2% MSCI World Index (TR) -10.2% -15.5% -43.6% -18.1% -47.2% HFRX USD Equity Market Neutral Index (TR) -1.0% -3.1% -2.4% -0.9% -0.1% Excess Return vs MSCI World Index (TR) 11.4% 19.4% 43.4% 21.3% 42.0% Excess Return vs HFRX USD Equity Market Neutral Index (TR)2.2% 7.0% 2.2% 4.2% -5.1% Deutsche Bank Euro Value Total Return Index Bloomberg: DBEEEUVA Annualised 3 years 5 years 10 years EURO VALUE INDEX -21.3% -6.1% -0.6% EuroSTOXX Large Cap Value Index (TR) -20.5% -5.5% -4.9% EuroSTOXX Large Euro Return Index (TR) -17.5% -4.7% N/A Excess Return vs EuroSTOXX Large Cap Value Index (TR) -0.8% -0.6% 4.3% Excess Return vs EuroSTOXX Large Euro Return Index (TR) -3.9% -1.4% N/A Deutsche Bank UK Growth Total Return Index Bloomberg: DBEEUKGT Annualised 3 years 5 years 10 years UK Growth Index -7.6% 5.6% 5.5% FTSE 100 Index (TR) -9.5% 0.5% -1.6% MSCI UK Growth Index (TR) -6.8% 1.2% -2.4% Excess Return vs FTSE 100 Index (TR) 1.9% 5.1% 7.0% Excess Return vs MSCI UK Growth Index (TR) -0.7% 4.5% 7.8% Deutsche Bank UK Value Total Return Index Bloomberg: DBEEUKVT Annualised 3 years 5 years 10 years UK Value Index -19.9% -3.9% 3.5% FTSE 100 Index (TR) -9.5% 0.5% -1.6% MSCI UK Value Index (TR) -13.5% -1.4% -1.1% Excess Return vs FTSE 100 Index (TR) -10.5% -4.4% 5.1% Excess Return vs MSCI UK Value Index (TR) -6.4% -2.5% 4.7% Deutsche Bank Japan Growth Total Return Index Bloomberg: DBAPJGT Annualised 3 years 5 years 10 years Japan Growth Index -24.1% -6.6% -2.3% TOPIX 100 Index (TR) -22.2% -6.8% -4.4% MSCI Japan Growth Index (TR) -26.2% -9.1% -7.2% Excess Return vs TOPIX 100 Index (TR) -1.9% 0.2% 2.1% Excess Return vs MSCI Japan Growth Index (TR) 2.1% 2.5% 4.9% Deutsche Bank Japan Value Total Return Index Bloomberg: DBAPJVT Annualised 3 years 5 years 10 years Japan Value Index -20.6% -4.5% 4.0% TOPIX 100 Index (TR) -22.2% -6.8% -4.4% MSCI Japan Value Index (TR) -17.5% -1.9% 0.4% Excess Return vs TOPIX 100 Index (TR) 1.6% 2.4% 8.4% Excess Return vs MSCI Japan Value Index (TR) -3.1% -2.6% 3.6% DEUTSCHE BANK ALPHA INDICES S&P X-Alpha Total Return USD Index Bloomberg: SPXADT Annualised 3 years 5 years 10 years S&P X-Alpha TR Index 2.0% 7.8% 9.1% MSCI World Index (TR) -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index (TR) 1.8% 1.2% N/A Excess Return vs MSCI World Index (TR) 17.2% 12.9% 11.7% Excess Return vs HFRX USD Equity Market Neutral Index ( 0.2% 6.7% N/A S&P X-Alpha Excess Return USD Index Bloomberg: SPXADE Annualised 3 years 5 years 10 years S&P X-Alpha ER Index -1.8% 4.4% 5.6% MSCI World Index (TR) -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index (TR) 1.8% 1.2% N/A Excess Return vs MSCI World Index (TR) 13.4% 9.4% 8.1% Excess Return vs HFRX USD Equity Market Neutral Index ( -3.6% 3.2% N/A Deutsche Bank X-Alpha Total Return USD Index Bloomberg: DBGLXAT Annualised 3 years 5 years 10 years X-Alpha TR Index 1.5% 7.7% 9.4% MSCI World Index (TR) -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index (TR) 1.8% 1.2% N/A Excess Return vs MSCI World Index (TR) 16.8% 12.8% 11.9% Excess Return vs HFRX USD Equity Market Neutral Index ( -0.2% 6.6% N/A Deutsche Bank X-Alpha Excess Return USD Index Bloomberg: DBGLXAE Annualised 3 years 5 years 10 years X-Alpha ER Index -2.2% 4.3% 5.8% MSCI World Index (TR) -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index (TR) 1.8% 1.2% N/A Excess Return vs MSCI World Index (TR) 13.0% 9.3% 8.3% Excess Return vs HFRX USD Equity Market Neutral Index ( -4.0% 3.1% N/A Return data shown above may be based on simulated and/or actual returns, refer to Index description pages for details. Past performance is no guarantee of future results. Source: Bloomberg or Deutsche Bank AG/London 3 |
![]() ![]() | GME Indices Performance Summary (as of 27th February 2009) DBIQ ImpAct Dollar Equity Volatility (Bid) Index Bloomberg: DBVEUSDB 1 Month 3 Months 6 Months YTD 1 year ImpAct Dollar Equity Volatility Index 0.9% 2.2% -25.9% 0.9% -25.2% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% iBoxx USD Treasury Index (TR) -0.6% -0.2% 5.8% -4.3% 6.1% Excess Return vs S&P 500 Index (TR) 11.5% 19.5% 16.0% 19.1% 18.3% Excess Return vs iBoxx USD Treasury Index (TR) 1.5% 2.5% -31.6% 5.2% -31.2% DEUTSCHE BANK MULTI-ASSET INDICES Deutsche Bank Liquid Alpha USD 5 Total Return S1 Index Bloomberg: DBLAUT5J 1 Month 3 Months 6 Months YTD 1 year Liquid Alpha USD 5 TR Index 1.1% 3.4% -6.3% 2.5% -5.3% MSCI World Index (TR) -10.2% -15.3% -43.4% -18.0% -46.9% iBoxx USD Treasury Index (TR) -0.6% -0.2% 5.8% -4.3% 6.1% Excess Return vs MSCI World Index (TR) 11.3% 18.7% 37.1% 20.5% 41.5% Excess Return vs iBoxx USD Treasury Index (TR) 1.7% 3.6% -12.1% 6.8% -11.4% Deutsche Bank Liquid Alpha USD 5 Excess Return S1 Index Bloomberg: DBLAUE5J 1 Month 3 Months 6 Months YTD 1 year Liquid Alpha USD 5 ER Index 1.1% 3.3% -6.7% 2.5% -6.7% MSCI World Index (TR) -10.2% -15.3% -43.4% -18.0% -46.9% iBoxx USD Treasury Index (TR) -0.6% -0.2% 5.8% -4.3% 6.1% Excess Return vs MSCI World Index (TR) 11.3% 18.7% 36.7% 20.5% 40.2% Excess Return vs iBoxx USD Treasury Index (TR) 1.7% 3.6% -12.4% 6.8% -12.7% Deutsche Bank US ValueGrowth Select Index Bloomberg: DBUSUSVG 1 Month 3 Months 6 Months YTD 1 year US ValueGrowth Select Index -11.7% -20.0% -46.0% -19.5% -45.1% S&P 500 Index (TR) -11.0% -18.0% -42.7% -18.6% -44.8% Excess Return vs S&P 500 Index (TR) -0.7% -2.0% -3.3% -0.9% -0.3% Deutsche Bank ValueGrowth Select Total Return Index Bloomberg: DBEEVGS 1 Month 3 Months 6 Months YTD 1 year ValueGrowth Select TR Index -7.1% -17.5% -43.1% -12.1% -48.2% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% Excess Return vs S&P 500 Index (TR) 3.5% -0.2% -1.3% 6.1% -4.8% Deutsche Bank Global Yield US Total Return Index Bloomberg: DBUSGYTR 1 Month 3 Months 6 Months YTD 1 year Global Yield US TR Index -12.9% -25.5% -42.0% -28.3% -44.5% S&P 500 Index (TR) -10.6% -17.3% -41.8% -18.2% -43.4% DJ High Yield Select 10 (TR) -15.6% -31.6% -48.7% -30.7% -54.7% Excess Return vs S&P 500 Index (TR) -2.3% -8.2% -0.2% -10.1% -1.1% Excess Return vs DJ High Yield Select 10 (TR) 2.7% 6.1% 6.8% 2.4% 10.2% Deutsche Bank Global Yield Euro Total Return Index Bloomberg: DBEEGYTR 1 Month 3 Months 6 Months YTD 1 year Global Yield Euro TR Index -19.7% -29.0% -56.4% -31.4% -59.6% EuroSTOXX 50 Index (TR) -11.6% -18.4% -40.7% -19.0% -45.1% Excess Return vs EuroSTOXX 50 Index (TR) -8.1% -10.6% -15.6% -12.4% -14.5% Deutsche Bank Global Yied AP Total Return Index Bloomberg: DBAPGYTR 1 Month 3 Months 6 Months YTD 1 year Global Yield AP TR Index -5.7% -5.1% -33.6% -14.5% -34.5% MSCI Asia Pacific Index (TR) -9.4% -8.7% -39.3% -15.9% -47.9% Excess Return vs MSCI Asia Pacific Index (TR) 3.7% 3.6% 5.7% 1.4% 13.3% Deutsche Bank E-REV Europe Total Return Index Bloomberg: DBEEERET 1 Month 3 Months 6 Months YTD 1 year E-REV Europe TR Index -9.4% -13.8% -36.2% -13.0% -43.1% EuroSTOXX 50 Index (TR) -11.6% -18.4% -40.7% -19.0% -45.1% Excess Return vs EuroSTOXX 50 Index (TR) 2.2% 4.7% 4.5% 6.0% 1.9% Deutsche Bank E-REV Japan Total Return Index Bloomberg: DBAPERJT 1 Month 3 Months 6 Months YTD 1 year E-REV Japan TR Index -8.7% -16.6% -50.7% -17.5% -53.8% TOPIX 100 Index (TR) -4.3% -9.1% -42.3% -11.5% -44.7% Excess Return vs TOPIX 100 Index (TR) -4.4% -7.5% -8.4% -6.0% -9.1% DBIQ ImpAct Dollar Equity Volatility (Bid) Index Bloomberg: DBVEUSDB Annualised 3 years 5 years ImpAct Dollar Equity Volatility Index -7.9% -0.2% S&P 500 Index (TR) -15.1% -6.6% iBoxx USD Treasury Index (TR) 7.3% 5.2% Excess Return vs S&P 500 Index (TR) 7.2% 6.5% Excess Return vs iBoxx USD Treasury Index (TR) -15.3% -5.3% DEUTSCHE BANK MULTI-ASSET INDICES Deutsche Bank Liquid Alpha USD 5 Total Return S1 Index Bloomberg: DBLAUT5J Annualised 3 years 5 years Liquid Alpha USD 5 TR Index 4.1% 7.9% MSCI World Index (TR) -14.7% -4.5% iBoxx USD Treasury Index (TR) 7.3% 5.2% Excess Return vs MSCI World Index (TR) 18.8% 12.5% Excess Return vs iBoxx USD Treasury Index (TR) -3.3% 2.7% Deutsche Bank Liquid Alpha USD 5 Excess Return S1 Index Bloomberg: DBLAUE5J Annualised 3 years 5 years Liquid Alpha USD 5 ER Index 0.2% 4.5% MSCI World Index (TR) -14.7% -4.5% iBoxx USD Treasury Index (TR) 7.3% 5.2% Excess Return vs MSCI World Index (TR) 15.0% 9.0% Excess Return vs iBoxx USD Treasury Index (TR) -7.1% -0.7% Deutsche Bank US ValueGrowth Select Index Bloomberg: DBUSUSVG Annualised 3 years 5 years 10 years US ValueGrowth Select Index -15.7% -10.5% -1.6% S&P 500 Index (TR) -16.9% -8.5% -5.1% Excess Return vs S&P 500 Index (TR) 1.2% -2.0% 3.5% Deutsche Bank ValueGrowth Select Total Return Index Bloomberg: DBEEVGS Annualised 3 years 5 years 10 years ValueGrowth Select TR Index -17.7% -5.7% 1.3% S&P 500 Index (TR) -15.1% -6.6% -3.4% Excess Return vs S&P 500 Index (TR) -2.6% 0.9% 4.7% Deutsche Bank Global Yield US Total Return Index Bloomberg: DBUSGYTR Annualised 3 years 5 years 10 years Global Yield US TR Index -18.3% -8.5% -0.7% S&P 500 Index (TR) -15.1% -6.6% -3.4% DJ High Yield Select 10 (TR) -18.7% -10.9% N/A Excess Return vs S&P 500 Index (TR) -3.2% -1.8% 2.8% Excess Return vs DJ High Yield Select 10 (TR) 0.4% 2.4% N/A Deutsche Bank Global Yield Euro Total Return Index Bloomberg: DBEEGYTR Annualised 3 years 5 years 10 years Global Yield Euro TR Index -25.5% -7.8% 0.0% EuroSTOXX 50 Index (TR) -17.0% -4.8% -3.5% Excess Return vs EuroSTOXX 50 Index (TR) -8.5% -3.0% 3.4% Deutsche Bank Global Yied AP Total Return Index Bloomberg: DBAPGYTR Annualised 3 years 5 years 10 years Global Yield AP TR Index -5.4% 3.0% 6.9% MSCI Asia Pacific Index (TR) -14.7% -1.8% N/A Excess Return vs MSCI Asia Pacific Index (TR) 9.4% 4.7% N/A Deutsche Bank E-REV Europe Total Return Index Bloomberg: DBEEERET Annualised 3 years 5 years 10 years E-REV Europe TR Index -16.7% -4.0% 0.3% EuroSTOXX 50 Index (TR) -17.0% -4.8% -3.5% Excess Return vs EuroSTOXX 50 Index (TR) 0.3% 0.8% 3.7% Deutsche Bank E-REV Japan Total Return Index Bloomberg: DBAPERJT Annualised 3 years 5 years 10 years E-REV Japan TR Index -23.7% -7.9% -5.3% TOPIX 100 Index (TR) -22.2% -6.8% -4.4% Excess Return vs TOPIX 100 Index (TR) -1.4% -1.0% -0.9% Return data shown above may be based on simulated and/or actual returns, refer to Index description pages for details. Past performance is no guarantee of future results. Source: Bloomberg or Deutsche Bank AG/London 4 |
![]() ![]() | GME Indices Performance Summary (as of 27th February 2009 Deutsche Bank SectorLeader Total Return Index Bloomberg: DBUSIU 1 Month 3 Months 6 Months YTD Islamic US EquityBuilder Index -8.9% -6.9% -38.4% -11.6% DJ Islamic Market US Index (TR) -8.9% -12.5% -37.5% -13.6% DJ Islamic Mkt US LCAP Index (TR) -9.1% -13.0% -35.4% -13.8% Excess Return vs DJ Islamic Market US Index (TR) 0.0% 5.5% -0.9% 2.0% Excess Return vs DJ Islamic Mkt US LCAP Index (TR) 0.2% 6.1% -3.0% 2.2% Deutsche Bank Islamic Europe EquityBuilder Total Return Index Bloomberg: DBEEIE 1 Month 3 Months 6 Months YTD Islamic Europe EquityBuilder Index -9.0% -11.0% -41.5% -7.6% DJ Islamic Europe Index (TR) -9.0% -12.1% -44.5% -17.1% DJ Islamic Mkt EUR LCAP Index (TR) -8.7% -13.4% -35.0% -10.3% Excess Return vs DJ Islamic Europe Index (TR) -0.1% 1.1% 3.0% 9.4% Excess Return vs DJ Islamic Mkt EUR LCAP Index (TR) -0.4% 2.4% -6.6% 2.7% Deutsche Bank Islamic Asia Pacific EquityBuilder Total Return Index Bloomberg: DBAPIAEP 1 Month 3 Months 6 Months YTD Islamic Asia Pacific EquityBuilder Index -13.1% -12.8% -48.6% -20.2% DJ Islamic Mkt ASIA/PAC Index (TR) -7.2% -6.6% -39.9% -12.7% DJ Islamic Mkt ASIA/PAC LCAP Index (TR) -7.2% -6.7% -39.2% -12.5% Excess Return vs DJ Islamic Mkt ASIA/PAC Index (TR) -5.9% -6.2% -8.7% -7.5% Excess Return vs DJ Islamic Mkt ASIA/PAC LCAP Index (TR) -5.9% -6.1% -9.4% -7.7% Deutsche Bank Islamic Global EquityBuilder Total Return Index Bloomberg: DBGLIGEP 1 Month 3 Months 6 Months YTD Islamic Global EquityBuilder Index -9.9% -9.2% -43.7% -14.4% DJ Islamic Mkt World LCAP Index (TR) -8.7% -11.7% -39.0% -14.3% DJ Islamic Market Index (TR) -8.4% -11.1% -40.6% -13.9% Excess Return vs DJ Islamic Mkt World LCAP Index (TR) -1.2% 2.5% -4.7% -0.2% Excess Return vs DJ Islamic Market Index (TR) -1.5% 1.9% -3.1% -0.5% Deutsche Bank SectorLeader Total Return Index Bloomberg: DBUSIU Annualised 1year 3 years 5 years 10 years Islamic US EquityBuilder Index -40.7% -13.0% -4.4% 3.0% DJ Islamic Market US Index (TR) -37.3% -10.9% -4.3% -3.5% DJ Islamic Mkt US LCAP Index (TR) -35.9% -10.0% -4.4% N/A Excess Return vs DJ Islamic Market US Index (TR) -3.4% -2.1% -0.1% 6.5% Excess Return vs DJ Islamic Mkt US LCAP Index (TR) -4.8% -3.0% 0.0% N/A Deutsche Bank Islamic Europe EquityBuilder Total Return Index Bloomberg: DBEEIE Annualised 1year 3 years 5 years 10 years Islamic Europe EquityBuilder Index -45.9% -15.6% -2.1% 3.7% DJ Islamic Europe Index (TR) -49.2% -12.5% -3.6% N/A DJ Islamic Mkt EUR LCAP Index (TR) -38.2% -13.9% -4.0% N/A Excess Return vs DJ Islamic Europe Index (TR) 3.3% -3.1% 1.5% N/A Excess Return vs DJ Islamic Mkt EUR LCAP Index (TR) -7.6% -1.7% 1.9% N/A Deutsche Bank Islamic Asia Pacific EquityBuilder Total Return Index Bloomberg: DBAPIAEP Annualised 1year 3 years 5 years 10 years Islamic Asia Pacific EquityBuilder Index -55.9% -15.6% -1.0% 8.5% DJ Islamic Mkt ASIA/PAC Index (TR) -49.3% -15.6% -5.0% 0.8% DJ Islamic Mkt ASIA/PAC LCAP Index (TR) -48.5% -14.6% -4.7% N/A Excess Return vs DJ Islamic Mkt ASIA/PAC Index (TR) -6.6% 0.0% 4.1% 7.7% Excess Return vs DJ Islamic Mkt ASIA/PAC LCAP Index (TR) -7.5% -1.0% 3.7% N/A Deutsche Bank Islamic Global EquityBuilder Total Return Index Bloomberg: DBGLIGEP Annualised 1year 3 years 5 years 10 years Islamic Global EquityBuilder Index -48.0% -13.3% -2.6% 5.0% DJ Islamic Mkt World LCAP Index (TR) -42.4% -11.2% -3.9% N/A DJ Islamic Market Index (TR) -43.7% -12.1% -4.0% -2.6% Excess Return vs DJ Islamic Mkt World LCAP Index (TR) -5.6% -2.2% 1.3% N/A Excess Return vs DJ Islamic Market Index (TR) -4.3% -1.2% 1.4% 7.6% Return data shown above may be based on simulated and/or actual returns, refer to Index description pages for details. Past performance is no guarantee of future results. Source: Bloomberg or Deutsche Bank AG/London 5 |
![]() ![]() | REUTERS: .CROCI BLOOMBERG: CROCI Deutsche Bank CROCI US+ Index Index Description The CROCI US+ Index is a basket of 40 equally weighted US stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. 12 Months Volatlity 50% CROCI US+ Index 45% S&P 500 (TR) Index S&P 500/Citigroup Value Index (TR) 40% 35% 30% 25% 20% 15% 10% 5% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 1.0% -4.8% 2.3% -1.3% -2.0% 0.8% -2.1% 3.3% 2.5% -5.8% -4.8% Feb -2.6% -7.8% 0.5% 0.6% -1.4% 3.8% 6.5% -0.3% -0.8% 0.3% -10.2% Mar 3.1% 11.2% -2.0% 5.5% 0.4% 0.4% -1.2% 1.7% 1.4% -2.7% Apr 16.1% 6.6% 6.8% -0.9% 6.0% -0.2% -2.2% 0.7% 5.5% 3.9% May 2.9% 4.4% 1.7% -0.3% 9.0% -0.6% 3.4% -3.1% 5.4% 4.0% Jun 2.2% -5.4% -2.5% -6.9% 3.2% 3.3% 2.6% 1.0% -1.8% -7.1% Jul -2.9% -0.2% 0.0% -6.3% 0.4% -2.0% 5.7% 1.1% -3.0% -3.6% Aug -2.6% 7.6% -0.9% -1.2% 3.4% -0.4% -1.2% 0.4% -0.1% 1.9% Sep -5.1% 0.3% -9.0% -10.2% -1.6% 4.3% -0.5% 2.1% 2.1% -10.6% Oct 0.8% 7.4% 3.1% 7.4% 5.4% 2.5% -3.0% 4.5% 3.6% -18.5% Nov -0.8% -0.9% 7.4% 6.5% 3.0% 5.6% 3.0% 3.7% -3.4% -7.8% Dec 0.3% 7.3% 3.6% -4.1% 6.9% 3.3% 0.8% -1.2% -0.6% 3.7% Year 11.6% 26.5% 10.6% -12.0% 37.2% 22.5% 12.0% 14.5% 10.8% -36.8% -14.5% Absolute Return 5000CROCI US+ Index 4500S&P 500 (TR) Index rebased to 1000 on (1/1/1999) S&P 500/Citigroup Value Index (TR) rebased to 1000 on (1/1/1999) 4000 3500 3000 2500 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs S&P 500 (TR) Index 3000 2500 2000 1500 1000 Relative to S&P 500 (TR) Index rebased to 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 60% CROCI US+ Index S&P 500 (TR) Index 40% 20% 0% -20% -40% -60% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI US+ Index -10.2% -11.3% -40.4% -14.5% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% S&P 500/Citigroup Value Index (TR) -13.1% -22.9% -46.2% -23.6% Excess Return vs S&P 500 (TR) Index 0.5% 6.0% 1.4% 3.7% Excess Return vs S&P 500/Citigroup Value Index (TR) 2.9% 11.6% 5.8% 9.1% Annualised 1year 3 years 5 years 10 years CROCI US+ Index -42.9% -12.6% -2.1% 6.1% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% S&P 500/Citigroup Value Index (TR) -49.4% -18.1% -7.6% -2.5% Excess Return vs S&P 500 (TR) Index 0.5% 2.5% 4.5% 9.5% Excess Return vs S&P 500/Citigroup Value Index (TR) 6.5% 5.5% 5.5% 8.6% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 77.3% -28.8% -22.9% Compounded annual growth 5.8% -3.3% -2.5% Volatility 21.1% 21.2% 21.8% Sharpe ratio (3.45%) 0.11 - 0.32 - 0.27 Maximum drawdown -48.1% -50.9% -56.8% Start of max drawdown period Nov-2007 Nov-2007 Aug-2007 End of max drawdown period Feb-2009 Feb-2009 Dec-1899 Average monthly growth 0.6% -0.2% -0.1% Best monthly return 16.1% 9.8% 10.4% Worst monthly return -18.5% -16.8% -17.1% % of months with gains 56.6% 55.7% 56.6% 12 Month Correlation versus: S&P 500 (TR) Index 0.97 1.00 0.99 S&P 500/Citigroup Value Index (TR) 0.93 0.99 1.00 Index Facts Bloomberg ticker CROCI Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPTR Index Benchmark 2 S&P 500/Citigroup Value Index (TR) Bloomberg ticker of Benchmark 2 SPTRSVX Index Index sponsor Deutsche Bank Number of stocks 40 Stocks weighting Equal Rebalancing frequency Monthly Index Currency USD The Deutsche Bank CROCI US+ Index was launched on February 02, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 6 |
![]() ![]() | BLOOMBERG: DBUSCPII Deutsche Bank CROCI US Plus II Index Index Description The CROCI US Plus II Index is a basket of 40 equally weighted US stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. The CROCI US Plus II Index rebalances on a different day than the CROCI US+ Index. 12 Months Volatlity 50% CROCI US Plus II Index 45% S&P 500 (TR) Index S&P 500/Citigroup Value Index (TR) 40% 35% 30% 25% 20% 15% 10% 5% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 1.0% -4.8% 2.3% -1.3% -2.0% 0.8% -2.1% 3.3% 2.5% -6.4% -4.1% Feb -2.6% -7.8% 0.5% 0.6% -1.4% 3.8% 6.5% -0.3% -0.8% 0.3% -9.1% Mar 3.1% 11.2% -2.0% 5.5% 0.4% 0.4% -1.2% 1.7% 1.6% -2.1% Apr 16.1% 6.6% 6.8% -0.9% 6.0% -0.2% -2.2% 0.7% 5.5% 4.5% May 2.9% 4.4% 1.7% -0.3% 9.0% -0.6% 3.4% -3.1% 5.2% 3.4% Jun 2.2% -5.4% -2.5% -6.9% 3.2% 3.3% 2.6% 1.0% -1.7% -7.1% Jul -2.9% -0.2% 0.0% -6.3% 0.4% -2.0% 5.7% 1.1% -2.9% -3.5% Aug -2.6% 7.6% -0.9% -1.2% 3.4% -0.4% -1.2% 0.4% 0.5% 4.3% Sep -5.1% 0.3% -9.0% -10.2% -1.6% 4.3% -0.5% 2.1% 2.4% -10.0% Oct 0.8% 7.4% 3.1% 7.4% 5.4% 2.5% -3.0% 4.5% 3.3% -16.7% Nov -0.8% -0.9% 7.4% 6.5% 3.0% 5.6% 3.0% 3.7% -3.1% -5.2% Dec 0.3% 7.3% 3.6% -4.1% 6.9% 3.3% 0.8% -1.2% -0.3% 4.0% Year 11.6% 26.5% 10.6% -12.0% 37.2% 22.5% 12.0% 14.5% 12.6% -31.4% -12.8% Absolute Return 5000CROCI US Plus II Index S&P 500 (TR) Index rebased to 1000 on (1/1/1999) 4500S&P 500/Citigroup Value Index (TR) rebased to 1000 on (1/1/1999) 4000 3500 3000 2500 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs S&P 500 (TR) Index 3500 Relative to S&P 500 (TR) Index rebased to 1000 3000 2500 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 60% CROCI US Plus II Index S&P 500 (TR) Index 40% 20% 0% -20% -40% -60% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI US Plus II Index -9.1% -9.4% -35.6% -12.8% S&P 500 (TR) Index 10.6% -17.3% -41.8% -18.2% S&P 500/Citigroup Value Index (TR) 13.1% -22.9% -46.2% -23.6% Excess Return vs S&P 500 (TR) Index 1.6% 8.0% 6.3% 5.4% Excess Return vs S&P 500/Citigroup Value Index (TR) 4.0% 13.6% 10.6% 10.8% Annualised 1year 3 years 5 years 10 years CROCI US Plus II Index -36.3% -9.1% 0.2% 7.3% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% S&P 500/Citigroup Value Index (TR) -49.4% -18.1% -7.6% -2.5% Excess Return vs S&P 500 (TR) Index 7.1% 6.0% 6.9% 10.7% Excess Return vs S&P 500/Citigroup Value Index (TR) 13.1% 9.0% 7.9% 9.9% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 99.4% -28.8% -22.9% Compounded annual growth 7.0% -3.3% -2.5% Volatility 21.0% 21.2% 21.8% Sharpe ratio (3.45%) 0.17 - 0.32 - 0.27 Maximum drawdown -42.2% -50.9% -56.8% Start of max drawdown period Nov-2007 Nov-2007 Nov-2005 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.7% -0.2% -0.1% Best monthly return 16.1% 9.8% 10.4% Worst monthly return -16.7% -16.8% -17.1% % of months with gains 57.4% 55.7% 56.6% 12 Month Correlation versus: S&P 500 (TR) Index 0.97 1.00 0.99 S&P 500/Citigroup Value Index (TR) 0.93 0.99 1.00 Index Facts Bloomberg ticker DBUSCPII Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPTR Index Benchmark 2 S&P 500/Citigroup Value Index (TR) Bloomberg ticker of Benchmark 2 SPTRSVX Index Index sponsor Deutsche Bank Number of stocks 40 Stocks weighting Equal Rebalancing frequency Monthly Index Currency USD The Deutsche Bank CROCI US Plus II Index was launched on February 20, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 7 |
![]() ![]() | REUTERS: .CRCEU BLOOMBERG: CRCEU Deutsche Bank CROCI Euro+ Index Index Description The CROCI Euro+ Index is a basket of 30 equally weighted Euroland stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. Months atlity 45% CROCI Euro+ Index EuroSTOXX 50 (TR) Index 40% MSCI Daily TR Net EMU Index (EUR) 35% 30% 25% 20% 15% 10% 5% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 5.9% -10.8% 1.6% 0.4% -4.8% 3.8% 4.1% 5.4% 1.7% -12.8% -6.1% Feb 0.9% 1.9% 0.1% 2.4% -7.9% 1.8% 4.0% 1.9% -1.0% -0.7% -9.5% Mar -0.2% 6.7% -3.0% 5.1% -5.8% -1.9% -0.4% 4.2% 4.4% -2.5% Apr 9.5% 1.1% 7.1% -1.7% 15.6% 3.5% -4.1% 1.6% 5.1% 7.0% May -2.5% 0.4% 1.7% -0.3% 5.0% 0.5% 6.0% -4.7% 5.9% 3.6% Jun 3.9% -0.5% -1.5% -6.8% 3.9% 2.4% 3.0% -0.6% 0.7% -12.6% Jul -1.2% 5.2% -1.5% -10.3% 3.9% -0.8% 4.4% 3.0% -3.6% -2.4% Aug 4.2% 1.9% -4.9% 2.2% 4.7% -0.1% -1.6% -0.4% 0.3% 2.4% Sep -4.3% -2.2% -12.6% -16.7% -5.8% 2.0% 2.6% 1.4% 2.0% -13.7% Oct 1.9% 7.7% 5.7% 10.3% 5.5% 0.6% -3.7% 1.9% 2.6% -14.4% Nov 4.6% -0.7% 7.7% 7.8% 3.5% 2.8% 4.3% 1.3% -2.6% -6.6% Dec 11.4% 1.7% 2.7% -10.1% 3.5% 1.8% 4.5% 4.4% -0.1% 5.3% Year 38.2% 11.5% 1.2% -19.3% 20.7% 17.5% 24.8% 20.7% 16.0% -40.7% -15.0% Absolute Return 3500 CROCI Euro+ Index EuroSTOXX 50 (TR) Index rebased to 1000 on (1/1/1999) MSCI Daily TR Net EMU Index (EUR) rebased to 1616 on (7/17/2001) 3000 2500 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs EuroSTOXX 50 (TR) Index 2500 Relative to EuroSTOXX 50 (TR) Index rebased to 1000 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 60% CROCI Euro+ Index 40% EuroSTOXX 50 (TR) Index 20% 0% - -20% - -40% - -60% 1999 2000 2001 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI Euro+ Index -9.5% -10.5% -38.2% -15.0% EuroSTOXX 50 (TR) Index -11.6% -18.4% -40.7% -19.0% MSCI Daily TR Net EMU Index (EUR) -10.9% -16.8% -42.4% -16.7% Excess Return vs EuroSTOXX 50 (TR) Index 2.1% 8.0% 2.5% 4.0% Excess Return vs MSCI Daily TR Net EMU Index (EUR) 1.4% 6.3% 4.1% 1.7% Annualised 1year 3 years 5 years 10 years CROCI Euro+ Index -41.8% -13.0% -0.4% 3.9% EuroSTOXX 50 (TR) Index -45.1% -17.0% -4.8% -3.5% MSCI Daily TR Net EMU Index (EUR) -47.0% -17.5% -4.1% N/A Excess Return vs EuroSTOXX 50 (TR) Index 3.2% 4.0% 4.4% 7.4% Excess Return vs MSCI Daily TR Net EMU Index (EUR) 5.1% 4.5% 3.7% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 57.4% -26.7% -51.3% Compounded annual growth 4.6% -3.0% -8.0% Volatility 21.0% 24.6% 23.2% Sharpe ratio (3.18%) 0.07 - 0.25 - 0.48 Maximum drawdown -51.0% -59.9% -56.3% Start of max drawdown period Nov-2007 May-2000 Dec-2004 End of max drawdown period Feb-2009 Feb-2009 Mar-2008 Average monthly growth 0.5% -0.1% -0.5% Best monthly return 15.6% 14.7% 13.5% Worst monthly return -16.7% -18.6% -17.5% % of months with gains 61.5% 54.9% 53.4% 12 Month Correlation versus: EuroSTOXX 50 (TR) Index 0.95 1.00 0.98 MSCI Daily TR Net EMU Index (EUR) 0.94 0.98 1.00 Index Facts Bloomberg ticker CRCEU Benchmark 1 EuroSTOXX 50 (TR) Index Bloomberg ticker of Benchmark 1 SX5T Index Benchmark 2 MSCI Daily TR Net EMU Index (EUR) Bloomberg ticker of Benchmark 2 NDDUEMU Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Monthly Index Currency EUR The Deutsche Bank CROCI Euro+ Index was launched on February 02, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 8 |
![]() ![]() | BLOOMBERG: DBEECRII Deutsche Bank CROCI Euro II Index Index Description The CROCI Euro II Index is a basket of 30 equally weighted Euroland stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. The CROCI Euro II Index rebalances on a different day than the CROCI Euro+ Index. 12 Months Volatlity 45% CROCI Euro+ Index 40% EuroSTOXX 50 (TR) Index 35% MSCI Daily TR Net EMU Index (EUR) 30% 25% 20% 15% 10% 5% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 5.9% -10.8% 1.6% 0.4% -4.8% 3.8% 4.1% 5.4% 1.7% -12.5% -5.0% Feb 0.9% 1.9% 0.1% 2.4% -7.9% 1.8% 4.0% 1.9% -1.0% -0.3% -7.7% Mar -0.2% 6.7% -3.0% 5.1% -5.8% -1.9% -0.4% 4.2% 4.2% -2.6% Apr 9.5% 1.1% 7.1% -1.7% 15.6% 3.5% -4.1% 1.6% 5.6% 8.2% May -2.5% 0.4% 1.7% -0.3% 5.0% 0.5% 6.0% -4.6% 6.1% 3.8% Jun 3.9% -0.5% -1.5% -6.8% 3.9% 2.4% 3.0% -0.7% 0.7% -12.1% Jul -1.2% 5.2% -1.5% -10.3% 3.9% -0.8% 4.4% 0.4% -3.2% -1.3% Aug 4.2% 1.9% -4.9% 2.2% 4.7% -0.1% -1.6% 2.1% 0.0% 2.5% Sep -4.3% -2.2% -12.6% -16.7% -5.8% 2.0% 2.6% 1.4% 2.0% -14.3% Oct 1.9% 7.7% 5.7% 10.3% 5.5% 0.6% -3.7% 1.9% 2.5% -15.2% Nov 4.6% -0.7% 7.7% 7.8% 3.5% 2.8% 4.3% 1.3% -2.3% -6.0% Dec 11.4% 1.7% 2.7% -10.1% 3.5% 1.8% 4.5% 4.4% 0.4% 5.2% Year 38.2% 11.5% 1.2% -19.3% 20.7% 17.5% 24.8% 20.7% 17.6% -38.9% -12.3% Absolute Return 6000 CROCI Euro+ Index 5000 EuroSTOXX 50 (TR) Index rebased to 1000 on (1/1/1999) 4000 MSCI Daily TR Net EMU Index (EUR) rebased to 16 16 on (7/17/2001) 3000 2000 1000 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs EuroSTOXX 50 (TR) Index 2500 2000 Relative to EuroSTOXX 50 (TR) Index rebased to 1000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 60% CROCI Euro II Index 40% EuroSTOXX 50 (TR) Index 20% 0% - -20% - -40% - -60% 1999 2000 2001 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI Euro II Index -7.7% -7.7% -36.9% -12.3% EuroSTOXX 50 (TR) Index -11.6% -18.4% -40.7% -19.0% MSCI Daily TR Net EMU Index (EUR) -10.9% -16.8% -42.4% -16.7% Excess Return vs EuroSTOXX 50 (TR) Index 3.9% 10.7% 3.8% 6.7% Excess Return vs MSCI Daily TR Net EMU Index (EUR) 3.2% 9.0% 5.4% 4.4% Annualised 1year 3 years 5 years 10 years CROCI Euro II Index -38.7% -10.9% 1.1% 4.7% EuroSTOXX 50 (TR) Index -45.1% -17.0% -4.8% -3.5% MSCI Daily TR Net EMU Index (EUR) -47.0% -17.5% -4.1% N/A Excess Return vs EuroSTOXX 50 (TR) Index 6.4% 6.1% 5.9% 8.2% Excess Return vs MSCI Daily TR Net EMU Index (EUR) 8.3% 6.6% 5.2% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 69.3% -26.7% -51.3% Compounded annual growth 5.3% -3.0% -8.0% Volatility 20.9% 24.6% 23.2% Sharpe ratio (3.18%) 0.10 - 0.25 - 0.48 Maximum drawdown -47.5% -59.9% -56.3% Start of max drawdown period Nov-2007 May-2000 Dec-2004 End of max drawdown period Feb-2009 Feb-2009 Mar-2008 Average monthly growth 0.6% -0.1% -0.5% Best monthly return 15.6% 14.7% 13.5% Worst monthly return -16.7% -18.6% -17.5% % of months with gains 63.1% 54.9% 53.4% 12 Month Correlation versus: EuroSTOXX 50 (TR) Index 0.95 1.00 0.98 MSCI Daily TR Net EMU Index (EUR) 0.94 0.98 1.00 Index Facts Bloomberg ticker DBEECRII Benchmark 1 EuroSTOXX 50 (TR) Index Bloomberg ticker of Benchmark 1 SX5T Index Benchmark 2 MSCI Daily TR Net EMU Index (EUR) Bloomberg ticker of Benchmark 2 NDDUEMU Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Monthly Index Currency EUR The Deutsche Bank CROCI Euro II Index was launched on February 20, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 9 |
![]() ![]() | REUTERS: .CRCJP BLOOMBERG: CRCJP Deutsche Bank CROCI Japan+ Index Index Description The CROCI Japan+ Index is a basket of 30 equally weighted Japanese stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. 12 Months Volatlity 60% 50% CROCI Japan+ Index 40% TOPIX W/Dividend TOPIX 100 (TR) Index 30% MSCI Daily TR Net Japan USD Index 20% 10% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 2.8% 4.2% 2.8% -5.8% -3.7% 2.3% -1.8% 4.7% 1.5% -11.8% -4.2% Feb -0.6% -1.2% -6.7% 5.2% -1.9% 3.9% 3.3% -1.2% 1.1% -0.7% 0.5% Mar 10.1% 7.1% 5.9% 2.2% -2.3% 3.0% -0.9% 4.3% -0.8% -11.5% Apr 4.1% 5.0% 5.1% 4.6% -2.2% 1.4% -2.8% 2.4% -0.5% 12.0% May 1.9% 0.7% -1.5% 1.9% 5.8% -2.8% 2.4% -6.0% 3.1% 5.4% Jun 8.8% 5.8% -0.6% -8.1% 5.6% 4.1% 1.6% -0.5% 3.0% -7.1% Jul 3.4% -6.0% -5.5% -7.1% 3.7% -2.1% 1.8% 0.3% -4.2% -3.6% Aug -1.9% -2.0% -11.6% -0.4% 4.3% -2.4% 3.6% 5.9% -2.4% 0.1% Sep 0.0% -1.8% -5.4% -2.8% -0.1% -1.5% 12.0% -0.2% 1.7% -15.5% Oct -1.4% -2.5% 7.8% -2.9% 0.6% -1.2% -1.5% 2.2% -1.7% -21.7% Nov 0.1% 0.9% 5.2% 6.0% -0.7% -0.3% 7.9% -0.3% -5.0% -10.0% Dec 5.3% -2.8% 3.4% -4.6% 4.0% 5.2% 3.3% 7.0% -1.0% 1.4% Year 37.0% 6.8% -3.2% -12.3% 13.2% 9.6% 31.9% 19.5% -5.6% -50.5% -3.6% Absolute Return 3500 3000 CROCI Japan+ Index 2500 TOPIX W/Dividend TOPIX 100 (TR) Index rebased to 1000 on (1/1/1999) 2000 MSCI Daily TR Net Japan USD Index rebased to 1000 on (1/1/1999) 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs TOPIX W/Dividend TOPIX 100 (TR) Index 2000 1800 Relative to TOPIX W/Dividend TOPIX 100 (TR) Index rebased to 1000 1600 1400 1200 1000 800 600 400 200 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 100% 80% CROCI Japan+ Index 60% 40% TOPIX W/Dividend TOPIX 100 (TR) 20% 0% -20% -40% -60% -80% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI Japan+ Index 0.5% -2.3% -41.9% -3.6% TOPIX W/Dividend TOPIX 100 (TR) Index -4.3% -9.1% -42.3% -11.5% MSCI Daily TR Net Japan USD Index -4.6% -9.5% -40.6% -11.9% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) Index 4.9% 6.8% 0.5% 7.8% Excess Return vs MSCI Daily TR Net Japan USD Index 5.1% 7.2% -1.3% 8.2% Annualised 1year 3 years 5 years 10 years CROCI Japan+ Index -45.6% -19.6% -6.0% 0.7% TOPIX W/Dividend TOPIX 100 (TR) Index -44.7% -22.2% -6.8% -4.4% MSCI Daily TR Net Japan USD Index -43.5% -21.8% -5.4% -3.3% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) Index -0.9% 2.7% 0.8% 5.1% Excess Return vs MSCI Daily TR Net Japan USD Index -2.1% 2.3% -0.6% 4.0% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 9.5% -33.4% -26.3% Compounded annual growth 0.9% -3.9% -3.0% Volatility 23.8% 24.5% 23.3% Sharpe ratio (0.2%) 0.03 - 0.17 - 0.14 Maximum drawdown -58.4% -62.7% -57.2% Start of max drawdown period Jul-2007 Jan-2000 Sep-2007 End of max drawdown period Feb-2009 Feb-2009 Dec-1899 Average monthly growth 0.2% -0.2% -0.1% Best monthly return 12.0% 14.9% 13.6% Worst monthly return -21.7% -21.4% -21.2% % of months with gains 51.6% 51.6% 51.6% 12 Month Correlation versus: TOPIX W/Dividend TOPIX 100 (TR) Index 0.96 1.00 0.98 MSCI Daily TR Net Japan USD Index 0.94 0.98 1.00 Index Facts Bloomberg ticker CRCJP Benchmark 1 TOPIX W/Dividend TOPIX 100 (TR) Index Bloomberg ticker of Benchmark 1 TPXD100 Index Benchmark 2 MSCI Daily TR Net Japan USD Index Bloomberg ticker of Benchmark 2 NDDUJN Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Monthly Index Currency JPY The Deutsche Bank CROCI Japan+ Index was launched on February 02, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 10 |
![]() ![]() | BLOOMBERG: DBAPCRII Deutsche Bank CROCI Japan II Index Index Description The CROCI Japan II Index is a basket of 30 equally weighted Japanese stocks selected monthly for their attractive valuation, defined as the cheapest trailing Economic P/E. Economic P/E is calculated from the DB proprietary CROCI methodology. The CROCI Japan II Index rebalances on a different day than the CROCI Japan+ Index. 12 Months Volatlity 60% 50% CROCI Japan II Index 40% TOPIX W/Dividend TOPIX 100 (TR) Index 30% MSCI Daily TR Net Japan USD Index 20% 10% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 2.8% 4.2% 2.8% -5.8% -3.7% 2.3% -1.8% 4.7% 1.5% -11.9% -3.1% Feb -0.6% -1.2% -6.7% 5.2% -1.9% 3.9% 3.3% -1.2% 0.7% -0.2% 0.6% Mar 10.1% 7.1% 5.9% 2.2% -2.3% 3.0% -0.9% 4.3% -0.7% -10.6% Apr 4.1% 5.0% 5.1% 4.6% -2.2% 1.4% -2.8% 2.4% -0.5% 12.5% May 1.9% 0.7% -1.5% 1.9% 5.8% -2.8% 2.4% -6.0% 3.4% 6.2% Jun 8.8% 5.8% -0.6% -8.1% 5.6% 4.1% 1.6% -0.5% 3.1% -7.1% Jul 3.4% -6.0% -5.5% -7.1% 3.7% -2.1% 1.8% 0.3% -4.3% -3.4% Aug -1.9% -2.0% -11.6% -0.4% 4.3% -2.4% 3.6% 5.9% -3.0% -0.8% Sep 0.0% -1.8% -5.4% -2.8% -0.1% -1.5% 12.0% -0.2% 2.1% -15.2% Oct -1.4% -2.5% 7.8% -2.9% 0.6% -1.2% -1.5% 2.2% -1.7% -22.5% Nov 0.1% 0.9% 5.2% 6.0% -0.7% -0.3% 7.9% -0.3% -4.3% -8.7% Dec 5.3% -2.8% 3.4% -4.6% 4.0% 5.2% 3.3% 7.0% -0.7% 1.6% Year 37.0% 6.8% -3.2% -12.3% 13.2% 9.6% 31.9% 19.5% -4.8% -49.1% -2.5% Absolute Return 3500 3000 CROCI Japan II Index 2500 TOPIX W/Dividend TOPIX 100 (TR) Index rebased to 1000 on (1/1/1999) 2000 MSCI Daily TR Net Japan USD Index rebased to 1000 on (1/1/1999) 1500 1000 500 0 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 Cumulative Excess Index vs TOPIX W/Dividend TOPIX 100 (TR) Index 2000 1800 Relative to TOPIX W/Dividend TOPIX 100 (TR) Index rebased to 1000 1600 1400 1200 1000 800 600 400 200 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 100% 80% CROCI Japan II Index 60% TOPIX W/Dividend TOPIX 100 (TR) Index 40% 20% 0% -20% -40% -60% -80% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD CROCI Japan II Index 0.6% -0.9% -40.6% -2.5% TOPIX W/Dividend TOPIX 100 (TR) Index -4.3% -9.1% -42.3% -11.5% MSCI Daily TR Net Japan USD Index -4.6% -9.5% -40.6% -11.9% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) Index 4.9% 8.1% 1.7% 9.0% Excess Return vs MSCI Daily TR Net Japan USD Index 5.2% 8.6% 0.0% 9.4% Annualised 1year 3 years 5 years 10 years CROCI Japan II Index -43.6% -18.3% -5.1% 1.2% TOPIX W/Dividend TOPIX 100 (TR) Index -44.7% -22.2% -6.8% -4.4% MSCI Daily TR Net Japan USD Index -43.5% -21.8% -5.4% -3.3% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) Index 1.1% 4.0% 1.7% 5.6% Excess Return vs MSCI Daily TR Net Japan USD Index -0.1% 3.5% 0.3% 4.5% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 14.8% -33.4% -26.3% Compounded annual growth 1.4% -3.9% -3.0% Volatility 23.7% 24.5% 23.3% Sharpe ratio (0.2%) 0.05 - 0.17 - 0.14 Maximum drawdown -56.4% -62.7% -57.2% Start of max drawdown period Jul-2007 Jan-2000 Dec-1899 End of max drawdown period Feb-2009 Feb-2009 Dec-1899 Average monthly growth 0.2% -0.2% -0.1% Best monthly return 12.5% 14.9% 13.6% Worst monthly return -22.5% -21.4% -21.2% % of months with gains 50.8% 51.6% 51.6% 12 Month Correlation versus: TOPIX W/Dividend TOPIX 100 (TR) Index 0.96 1.00 0.98 MSCI Daily TR Net Japan USD Index 0.95 0.98 1.00 Index Facts Bloomberg ticker DBAPCRII Benchmark 1 TOPIX W/Dividend TOPIX 100 (TR) Index Bloomberg ticker of Benchmark 1 TPXD100 Index Benchmark 2 MSCI Daily TR Net Japan USD Index Bloomberg ticker of Benchmark 2 NDDUJN Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Monthly Index Currency JPY The Deutsche Bank CROCI Japan II Index was launched on February 20, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 11 |
![]() ![]() | REUTERS: .DBEIUSG BLOOMBERG: DBUSUSG Deutsche Bank US Growth Total Return Index Index Description The US Growth Total Return Index intends to reflect the equal-weighted total return performance of thirty US growth stocks based on trailing 12 month earnings momentum and selected from the largest 251 stocks in the S&P 500 Index on a quarterly basis. 12 Months Volatlity 60% 50% US Growth Total Return Index 40% S&P 500/Citigroup Growth TR Index 30% S&P 500 (TR) Index 20% 10% 0% Jan-2000 Jan-2002 Jan-2004 Jan-2006 Jan-2008 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 7.8% -7.1% 2.5% -1.7% -1.7% 0.1% -2.2% 9.4% 1.2% -10.7% -3.7% Feb -4.3% 10.8% -6.6% -2.9% -1.5% 3.4% 5.7% -4.9% -0.9% -1.6% -8.0% Mar 3.9% 11.5% -3.7% 7.0% -0.4% 0.4% -0.6% 2.5% 2.8% -1.2% Apr 5.6% -1.3% 9.9% -1.3% 9.3% -2.3% -3.2% 1.4% 6.0% 7.8% May -3.3% -1.7% -2.5% -1.1% 8.1% 1.2% 3.3% -3.4% 3.5% 4.5% Jun 3.2% -1.3% -4.0% -5.4% 0.1% 4.5% 3.2% 2.2% -1.5% -5.7% Jul -3.5% -7.3% -1.5% -9.2% 4.4% -5.6% 5.0% -0.4% -2.9% -7.8% Aug -4.1% 10.6% -5.5% -0.6% 3.4% -1.1% 2.1% 0.1% 0.6% -1.9% Sep -1.4% -10.7% -8.1% -9.2% -1.9% 4.4% 2.8% 1.4% 3.4% -11.9% Oct 9.2% -0.3% 3.6% 0.4% 7.7% 2.0% -2.6% 2.9% 2.8% -20.3% Nov 4.0% -9.0% 5.6% 3.7% 3.4% 6.1% 3.2% 1.7% -2.7% -9.0% Dec 9.8% 7.6% 2.6% -3.7% 5.8% 3.5% 1.8% -1.8% -1.3% -0.5% Year 28.7% -1.8% -8.8% -22.5% 42.4% 17.3% 19.5% 11.1% 11.0% -46.9% -11.4% [Graphic Appears Here] [Graphic Appears Here] [Graphic Appears Here] Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD US Growth Total Return Index -8.0% -11.9% -43.7% -11.4% S&P 500/Citigroup Growth TR Index -8.5% -12.0% -37.7% -13.0% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% Excess Return vs S&P 500/Citigroup Growth TR Index 0.5% 0.1% -6.0% 1.6% Excess Return vs S&P 500 (TR) Index 2.6% 5.4% -1.8% 6.8% Annualised 1year 3 years 5 years 10 years US Growth Total Return Index -46.6% -17.7% -4.7% 0.0% S&P 500/Citigroup Growth TR Index -37.5% -12.3% -5.9% -4.6% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% Excess Return vs S&P 500/Citigroup Growth TR Index -9.1% -5.4% 1.1% 4.7% Excess Return vs S&P 500 (TR) Index -3.2% -2.6% 1.9% 3.4% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 3.4% -36.6% -28.8% Compounded annual growth 0.3% -4.4% -3.3% Volatility 24.4% 22.1% 21.2% Sharpe ratio (3.45%) - 0.13- 0.35 - 0.32 Maximum drawdown -54.8% -53.4% -50.9% Start of max drawdown period Nov-2007 Apr-2000 Nov-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.2% -0.3% -0.2% Best monthly return 11.5% 9.2% 9.8% Worst monthly return -20.3% -16.5% -16.8% % of months with gains 50.0% 51.6% 55.7% 12 Month Correlation versus: S&P 500/Citigroup Growth TR Index 0.97 1.00 0.99 S&P 500 (TR) Index 0.95 0.99 1.00 Index Facts Bloomberg ticker DBUSUSG Reuters code .DBEIUSG Benchmark 1 S&P 500/Citigroup Growth TR Index Bloomberg ticker of Benchmark 1 SPTRSGX Index Benchmark 2 S&P 500 (TR) Index Bloomberg ticker of Benchmark 2 SPTR Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank US Growth Total Return Index was launched on July 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 12 |
![]() ![]() | REUTERS: DBEIUSV BLOOMBERG: DBEIUSV Deutsche Bank US Value Total Return Index Index Description The US Value Total Return Index intends to reflect the equal-weighted total return performance of thirty stocks with the lowest 12 month trailing price-earnings ratio selected from the 251 largest market capitalisation stocks in the S&P 500 Index on a quarterly basis. 12 Months Volatlity 60% 50% US Value Total Return Index 40% S&P 500/Citigroup Value TR Index 30% S&P 500 (TR) Index 20% 10% 0% Jan-2000 Jan-2002 Jan-2004 Jan-2006 Jan-2008 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 0.4% -4.9% 6.3% -1.7% -2.7% 1.9% -0.9% 6.6% 0.2% -1.5% -5.3% Feb -1.1% -8.5% -2.5% 0.7% -3.8% 2.9% 7.4% -2.0% -0.8% -7.2% -9.8% Mar 5.2% 16.7% -1.7% 6.3% -1.5% -0.1% -1.5% 2.4% 2.9% -3.2% Apr 6.8% 0.2% 3.9% 0.2% 8.1% -1.7% -1.5% 3.5% 4.9% 6.6% May 2.1% 7.8% 4.0% -2.4% 8.9% -1.1% 4.7% -2.9% 4.9% -0.4% Jun 0.3% -10.9% -2.1% -3.5% 1.0% 3.5% 4.3% 3.4% -0.9% -12.9% Jul -4.6% 5.8% -0.4% -7.5% -0.2% 0.0% 4.1% 1.8% -6.8% 0.4% Aug 0.0% 10.7% -4.5% 1.5% 2.8% 0.6% 0.3% -2.2% -1.7% -0.2% Sep -4.0% 5.8% -7.4% -15.0% 0.5% 3.6% 2.3% 0.6% 4.3% -9.0% Oct 10.4% 4.6% 0.4% 0.0% 5.8% 0.8% -2.9% 4.7% 1.5% -19.4% Nov -5.2% -2.1% 3.2% 4.4% 1.7% 5.1% 3.4% 3.5% -7.0% -6.2% Dec 1.6% 9.7% 3.6% -2.5% 5.6% 3.2% -1.0% 0.1% -1.0% 6.2% Year 11.2% 36.2% 2.0% -19.3% 28.3% 20.0% 19.8% 21.0% -0.5% -40.1% -14.6% [Graphic Appears Here] [Graphic Appears Here] [Graphic Appears Here] Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD US Value Total Return Index -9.8% -9.3% -37.6% -14.6% S&P 500/Citigroup Value TR Index -13.1% -22.9% -46.2% -23.6% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% Excess Return vs S&P 500/Citigroup Value TR Index 3.2% 13.6% 8.6% 9.0% Excess Return vs S&P 500 (TR) Index 0.8% 8.0% 4.3% 3.6% Annualised 1year 3 years 5 years 10 years US Value Total Return Index -44.1% -16.2% -3.3% 3.6% S&P 500/Citigroup Value TR Index -49.4% -18.1% -7.6% -2.5% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% Excess Return vs S&P 500/Citigroup Value TR Index 5.2% 1.9% 4.3% 6.2% Excess Return vs S&P 500 (TR) Index -0.7% -1.1% 3.3% 7.0% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 41.5% -22.9% -28.8% Compounded annual growth 3.5% -2.5% -3.3% Volatility 24.5% 21.8% 21.2% Sharpe ratio (3.45%) 0.00 - 0.27 - 0.32 Maximum drawdown -54.8% -56.8% -50.9% Start of max drawdown period Jun-2007 Jun-2007 Nov-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.4% -0.1% -0.2% Best monthly return 16.7% 10.4% 9.8% Worst monthly return -19.4% -17.1% -16.8% % of months with gains 56.6% 56.6% 55.7% 12 Month Correlation versus: S&P 500/Citigroup Value TR Index 0.94 1.00 0.99 S&P 500 (TR) Index 0.96 0.99 1.00 Index Facts Bloomberg ticker DBUSUSV Reuters code .DBEIUSV Benchmark 1 S&P 500/Citigroup Value TR Index Bloomberg ticker of Benchmark 1 SPTRSVX Index Benchmark 2 S&P 500 (TR) Index Bloomberg ticker of Benchmark 2 SPTR Index Index sponsor Deutsche Bank Number of stocks 30 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank US Value Total Return Index was launched on July 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 13 |
![]() ![]() | REUTERS: DBEIEUGR BLOOMBERG: DBEEEUGR Deutsche Bank Euro Growth Total Return Index Index Description The Euro Growth Total Return Index intends to reflect the equal-weighted total return performance of twenty growth stocks from the Eurozone based on high trailing 12 month earnings momentum and selected from the Dow Jones EURO STOXX Large Index on a quarterly basis. There is a country constraint so that no more than five shares from the same country will constitute the index. [Graphic Appears Here] Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 3.1% -4.8% 8.2% -1.3% -7.1% 3.6% 2.0% 3.9% 2.6% -10.0% -7.3% Feb -1.1% 10.1% -10.5% -2.8% -2.5% 1.5% 2.6% 2.0% -1.3% -2.0% -7.3% Mar 2.0% 3.9% -2.6% 7.2% -5.7% -2.8% -0.1% 5.1% 4.4% -2.7% Apr 3.8% 3.4% 10.3% 1.1% 16.1% 1.4% -4.5% 0.1% 4.5% 3.6% May -5.7% 1.1% -5.0% -1.4% 0.3% 0.3% 4.4% -5.2% 5.5% 0.5% Jun 4.9% 1.8% -6.0% -6.2% 3.3% 3.7% 3.1% 0.5% -1.5% -13.6% Jul -3.1% 1.2% -3.8% -10.0% 2.6% -3.2% 4.3% 1.3% -2.6% 2.4% Aug 2.9% 2.9% -9.4% 2.6% 4.4% -0.4% -1.5% 2.2% 1.0% -0.4% Sep -2.4% -5.5% -18.0% -12.9% -6.5% 2.1% 4.5% 3.2% 3.2% -8.6% Oct 2.2% 2.4% 8.7% 6.5% 9.3% 4.1% -2.8% 4.4% 2.2% -6.8% Nov 10.7% -7.7% 9.2% 2.4% 0.8% 3.0% 4.6% 0.1% -5.2% -10.5% Dec 17.8% -2.4% 3.4% -6.8% 1.0% 3.1% 4.1% 4.6% -3.9% 0.9% Year 38.4% 5.0% -18.7% -21.5% 14.5% 17.5% 22.1% 24.1% 8.5% -39.4% -14.1% Absolute Return 2500 2000 Euro Growth Total Return Index 1500 DJES LC Growth Euro TR Index rebased to 1000 on (1/1/1999) 1000 DJES Large Euro TR Index rebased to 1558 on (10/9/2000) 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs DJES LC Growth Euro TR Index 2000 1800 Relative to DJES LC Growth Euro TR Index rebased to 1000 1600 1400 1200 1000 800 600 400 200 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 60% 40% Euro Growth Total Return Index 20% DJES LC Growth Euro TR Index 0% -20% -40% -60% -80% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Performance Analysis January 1998 - August 2008 1 Month 3 Months 6 Months YTD Euro Growth Total Return Index -7.3% -13.3% -33.8% -14.1% DJES LC Growth Euro TR Index -10.8% -16.1% -39.0% -16.9% DJES Large Euro TR Index -11.2% -17.8% -41.9% -18.2% Excess Return vs DJES LC Growth Euro TR Index 3.4% 2.8% 5.1% 2.8% Excess Return vs DJES Large Euro TR Index 3.8% 4.5% 8.0% 4.1% Annualised 1year 3 years 5 years 10 years Euro Growth Total Return Index -41.1% -12.9% -0.9% 0.5% DJES LC Growth Euro TR Index -44.8% -15.7% -6.3% -4.9% DJES Large Euro TR Index -46.8% -17.5% -4.7% N/A Excess Return vs DJES LC Growth Euro TR Index 3.7% 2.9% 5.4% 5.4% Excess Return vs DJES Large Euro TR Index 5.8% 4.6% 3.8% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 6.9% -36.6% -37.5% Compounded annual growth 0.7% -4.4% -4.9% Volatility 21.7% 24.0% 23.8% Sharpe ratio (3.18%) - 0.12- 0.32 - 0.34 Maximum drawdown -52.5% -64.5% -57.4% Start of max drawdown period Nov-2007 Mar-2000 Apr-1999 End of max drawdown period Feb-2009 Feb-2009 Apr-2007 Average monthly growth 0.2% -0.2% -0.3% Best monthly return 17.8% 17.3% 14.6% Worst monthly return -18.0% -16.7% -18.4% % of months with gains 59.8% 50.0% 51.8% 12 Month Correlation versus: DJES LC Growth Euro TR Index 0.96 1.00 0.94 DJES Large Euro TR Index 0.86 0.94 1.00 Index Facts Bloomberg ticker DBEEEUGR Reuters code .DBEIEUGR Benchmark 1 DJES LC Growth Euro TR Index Bloomberg ticker of Benchmark 1 SLGT Index Benchmark 2 DJES Large Euro TR Index Bloomberg ticker of Benchmark 2 LCXT Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank Euro Growth Total Return Index was launched on July 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 14 |
![]() ![]() | REUTERS: DBEIEUVA BLOOMBERG: DBEEEUVA Deutsche Bank Euro Value Total Return Index Index Description The Euro Value Total Return Index intends to reflect the equal-weighted total return performance of twenty shares from the Eurozone based on high trailing 12 month dividend yield and selected from the Dow Jones EURO STOXX Large Index on a quarterly basis. There is a country constraint so that no more than five shares from the same country will constitute the Index. [Graphic Appears Here] Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 3.7% -12.0% 5.1% 0.7% -5.7% 1.8% 2.3% 2.7% 2.1% -9.2% -11.4% Feb 2.4% 4.5% -4.5% 0.0% -10.8% 2.3% 2.6% 4.4% -1.8% -3.9% -13.7% Mar 0.1% 7.1% -3.3% 6.9% -6.2% -2.5% -0.5% 3.7% 2.5% -3.0% Apr 7.2% 1.6% 5.3% -1.1% 21.1% 3.6% -3.9% -0.6% 5.9% 7.6% May -2.4% 1.1% -2.3% -2.9% 5.3% -0.6% 3.6% -4.5% 2.9% -2.5% Jun 3.2% 3.4% -3.4% -6.7% 7.5% 3.0% 3.9% 0.5% -2.3% -15.6% Jul -3.6% 3.5% -2.7% -15.0% 5.8% -1.7% 3.9% 1.4% -3.2% -0.6% Aug 4.2% 2.7% -4.6% 3.5% 3.0% -0.5% -0.1% 4.1% 0.1% 3.7% Sep -4.2% -1.2% -11.9% -21.2% -4.5% 1.9% 4.6% 1.7% 1.0% -10.6% Oct 4.1% 6.7% 5.3% 11.4% 4.2% 3.0% -2.6% 4.7% 2.2% -20.8% Nov 4.6% -2.8% 6.0% 12.1% 2.0% 3.6% 3.8% -0.1% -2.4% -6.4% Dec 13.2% -0.3% 2.5% -10.0% 4.7% 3.7% 3.1% 4.0% -1.4% 2.5% Year 36.4% 13.5% -9.6% -24.9% 25.2% 18.9% 22.3% 23.8% 5.4% -47.6% -23.6% Absolute Return 3000 2500 Euro Value Total Return Index 2000 DJES LC Value Euro TR Index rebased to 1000 on (1/1/1999) 1500 DJES Large Euro TR Index rebased to 1516 on (10/9/2000) 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs DJES LC Value Euro TR Index 2500 2000 1500 1000 500 Relative to DJES LC Value Euro TR Index rebased to 1000 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 50% Euro Value Total Return Index 30% 10% -10% -30% DJES LC Value Euro TR Index -50% -70% 1999 2001 2002 2003 2004 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Euro Value Total Return Index -13.7% -21.7% -48.1% -23.6% DJES LC Value Euro TR Index -11.0% -17.9% -45.9% -18.1% DJES Large Euro TR Index -11.2% -17.8% -41.9% -18.2% Excess Return vs DJES LC Value Euro TR Index -2.8% -3.8% -2.2% -5.5% Excess Return vs DJES Large Euro TR Index -2.6% -3.9% -6.2% -5.4% Annualised 1year 3 years 5 years 10 years Euro Value Total Return Index -54.2% -21.3% -6.1% -0.6% DJES LC Value Euro TR Index -51.3% -20.5% -5.5% -4.9% DJES Large Euro TR Index -46.8% -17.5% -4.7% N/A Excess Return vs DJES LC Value Euro TR Index -2.9% -0.8% -0.6% 4.3% Excess Return vs DJES Large Euro TR Index -7.4% -3.9% -1.4% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 0.0% -41.2% -37.5% Compounded annual growth 0.0% -5.1% -4.9% Volatility 23.1% 23.8% 23.8% Sharpe ratio (3.18%) - 0.14- 0.35 - 0.34 Maximum drawdown -62.3% -60.3% -57.4% Start of max drawdown period Jun-2007 Jun-2007 Apr-1999 End of max drawdown period Feb-2009 Feb-2009 Apr-2007 Average monthly growth 0.2% -0.3% -0.3% Best monthly return 21.1% 13.6% 14.6% Worst monthly return -21.2% -20.7% -18.4% % of months with gains 57.4% 54.1% 51.8% 12 Month Correlation versus: DJES LC Value Euro TR Index 0.95 1.00 0.98 DJES Large Euro TR Index 0.94 0.98 1.00 Index Facts Bloomberg ticker DBEEEUVA Reuters code .DBEIEUVA Benchmark 1 DJES LC Value Euro TR Index Bloomberg ticker of Benchmark 1 SLVE Index Benchmark 2 DJES Large Euro TR Index Bloomberg ticker of Benchmark 2 LCXT Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank Euro Value Total Return Index was launched on July 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 15 |
![]() ![]() | REUTERS: DBUKGT BLOOMBERG: DBEEUKGT Deutsche Bank UK Growth Total Return Index Index Description The UK Growth Total Return Index intends to reflect the equal-weighted total return performance of twenty UK growth stocks based on trailing 12 month earnings momentum and selected from the FTSE 100 Index on a quarterly basis. [Graphic Appears Here] Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 5.5% -4.5% 3.7% -0.9% -9.7% 1.0% 1.7% 5.1% -3.1% -4.6% 3.2% Feb 4.2% 3.8% -1.9% 4.0% 2.3% 4.8% 4.4% 3.5% 0.4% -4.9% 1.2% Mar 1.7% 5.6% -6.5% 5.0% -2.4% 0.5% -2.7% 5.1% 6.2% -3.5% Apr 4.6% -3.5% 7.7% -3.1% 10.8% 0.0% -5.0% -0.3% 0.5% 3.1% May -4.8% 3.4% -0.7% -0.8% 6.2% -0.1% 5.5% -3.5% 4.1% 0.5% Jun 2.3% 3.1% -1.2% -6.9% -1.7% 3.3% 4.3% 1.8% -2.8% -6.1% Jul -1.9% 2.2% -2.6% -7.6% 3.7% -2.8% 5.3% 1.9% -4.4% -4.2% Aug -0.2% 5.3% -0.6% 0.0% 0.9% 0.2% 3.2% 1.6% 0.0% 7.3% Sep -3.3% -6.5% -10.3% -8.1% -1.9% 5.6% 4.3% 1.1% 0.1% -16.2% Oct 0.5% 2.8% 5.3% 6.0% 8.0% 0.7% -4.4% 2.8% 3.2% -15.3% Nov 10.5% -3.6% 6.1% -2.3% -1.9% 5.5% 6.6% 0.4% -10.7% 3.6% Dec 8.9% 3.3% 0.8% -4.1% 2.2% 3.4% 4.8% 6.6% -1.1% 8.0% Year 30.3% 10.9% -1.8% -18.1% 15.8% 24.0% 30.6% 29.1% -8.4% -30.5% 4.4% Absolute Return 3500 3000 UK Growth Total Return Index 2500 FTSE 100 TR Index rebased to 1000 on (1/1/1999) 2000 MSCI UK Value Index (TR) rebased to 1303 on (12/30/1999) 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs FTSE 100 TR Index 2500 2000 Relative to FTSE 100 TR Index rebased to 1000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 40% 30% 20% 10% UK Growth Total Return Index 0% -10% MSCI UK Value Index (TR) -20% -30% -40% -50% -60% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD UK Growth Total Return Index 1.2% 12.8% -17.1% 4.4% FTSE 100 TR Index -7.0% -9.8% -30.7% -12.9% MSCI UK Value Index (TR) -5.9% -3.2% -30.3% -8.2% Excess Return vs FTSE 100 TR Index 8.2% 22.6% 13.6% 17.3% Excess Return vs MSCI UK Value Index (TR) 7.1% 16.0% 13.3% 12.6% Annualised 1year 3 years 5 years 10 years UK Growth Total Return Index -20.0% -7.6% 5.6% 5.5% FTSE 100 TR Index -31.9% -9.5% 0.5% -1.6% MSCI UK Value Index (TR) -31.1% -6.8% 1.2% -2.4% Excess Return vs FTSE 100 TR Index 11.8% 1.9% 5.1% 7.0% Excess Return vs MSCI UK Value Index (TR) 11.1% -0.7% 4.5% 7.8% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 87.1% -10.1% -16.5% Compounded annual growth 6.4% -1.0% -1.8% Volatility 21.2% 20.6% 21.2% Sharpe ratio (4.86%) 0.07 - 0.29 - 0.31 Maximum drawdown -47.3% -44.4% -44.2% Start of max drawdown period Jun-2007 Jan-2000 Sep-2000 End of max drawdown period Feb-2009 Feb-2006 Mar-2007 Average monthly growth 0.6% 0.0% -0.1% Best monthly return 10.8% 9.0% 9.8% Worst monthly return -16.2% -12.9% -14.4% % of months with gains 60.7% 57.4% 57.4% 12 Month Correlation versus: FTSE 100 TR Index 0.94 1.00 0.97 MSCI UK Value Index (TR) 0.95 0.97 1.00 Index Facts Bloomberg ticker DBEEUKGT Reuters code .DBUKGT Benchmark 1 FTSE 100 TR Index Bloomberg ticker of Benchmark 1 TUKXG Index Benchmark 2 MSCI UK Value Index (TR) Bloomberg ticker of Benchmark 2 NLDGUK Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency GBP The Deutsche Bank UK Growth Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 16 |
![]() ![]() | REUTERS: DBUKVT BLOOMBERG: DBEEUKVT Deutsche Bank UK Value Total Return Index Index Description The UK Value Total Return Index intends to reflect the equal-weighted total return performance of twenty stocks with a low 12 month trailing price earnings ratio selected from the FTSE 100 Index on a quarterly basis. 12 Months Volatlity 60% 50% UK Value Total Return Index 40% FTSE 100 TR Index 30% MSCI UK Growth Index (TR) 20% 10% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -2.1% -6.2% -0.3% 3.5% -7.0% -1.2% 2.5% 5.0% -3.8% -1.4% -4.8% Feb 5.2% 0.6% -0.4% 1.4% 4.9% 2.9% 0.9% 3.3% 0.0% -9.3% 1.1% Mar 0.3% 9.1% -3.6% 7.5% -3.0% -0.2% -0.4% 4.0% 5.0% -0.3% Apr 9.8% 0.7% 4.0% 3.0% 12.4% 2.1% -5.1% -0.7% 0.3% -1.3% May -3.1% 7.8% 2.8% 3.6% 5.4% 1.2% 5.5% -3.3% 2.8% -3.8% Jun 1.6% 2.1% 0.4% -7.5% 0.3% 2.9% 4.1% 2.9% -1.0% -13.2% Jul -4.4% 1.1% -4.2% -6.1% 3.4% -2.3% 4.2% 1.4% -3.3% -1.0% Aug 0.5% 6.7% 0.0% 1.3% 3.7% 1.9% 1.6% 1.0% -0.6% 5.5% Sep -1.8% -2.5% -9.8% -8.8% -1.6% 0.4% 2.6% 1.2% -5.6% -21.8% Oct -2.6% 1.5% 2.7% 6.2% 4.0% 2.2% -2.4% 3.1% 1.6% -18.0% Nov 2.0% 6.1% 5.3% -0.1% 1.0% 1.0% 4.5% 0.5% -5.1% 10.6% Dec 1.9% 3.0% 2.4% -4.6% 3.1% 6.2% 6.4% 4.8% -4.4% -1.9% Year 6.8% 33.1% -1.6% -2.2% 28.4% 18.1% 26.5% 25.6% -13.8% -46.6% -3.7% Absolute Return 4000 3500 UK Value Total Return Index 3000 FTSE 100 TR Index rebased to 1000 on (1/1/1999) 2500 MSCI UK Growth Index (TR) rebased to 1068 on (12/30/1999) 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs FTSE 100 TR Index 3000 2500 Relative to FTSE 100 TR Index rebased to 1000 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 50% 30% 10% -10% UK Value Total Return Index -30% -50% MSCI UK Growth Index (TR) -70% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD UK Value Total Return Index 1.1% -5.6% -33.0% -3.7% FTSE 100 TR Index -7.0% -9.8% -30.7% -12.9% MSCI UK Growth Index (TR) -8.9% -18.4% -33.4% -19.5% Excess Return vs FTSE 100 TR Index 8.1% 4.2% -2.3% 9.1% Excess Return vs MSCI UK Growth Index (TR) 10.0% 12.8% 0.4% 15.8% Annualised 1year 3 years 5 years 10 years UK Value Total Return Index -42.6% -19.9% -3.9% 3.5% FTSE 100 TR Index -31.9% -9.5% 0.5% -1.6% MSCI UK Growth Index (TR) -35.2% -13.5% -1.4% -1.1% Excess Return vs FTSE 100 TR Index -10.8% -10.5% -4.4% 5.1% Excess Return vs MSCI UK Growth Index (TR) -7.5% -6.4% -2.5% 4.7% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 45.9% -10.1% -7.4% Compounded annual growth 3.8% -1.0% -0.8% Volatility 23.6% 20.6% 21.5% Sharpe ratio (4.86%) - 0.05- 0.29 - 0.26 Maximum drawdown -59.2% -44.4% -45.8% Start of max drawdown period Jun-2007 Jan-2000 Nov-2007 End of max drawdown period Feb-2009 Feb-2006 Feb-2009 Average monthly growth 0.4% 0.0% 0.1% Best monthly return 12.4% 9.0% 9.9% Worst monthly return -21.8% -12.9% -15.6% % of months with gains 61.5% 57.4% 58.2% 12 Month Correlation versus: FTSE 100 TR Index 0.89 1.00 0.97 MSCI UK Growth Index (TR) 0.91 0.97 1.00 Index Facts Bloomberg ticker DBEEUKVT Reuters code .DBUKVT Benchmark 1 FTSE 100 TR Index Bloomberg ticker of Benchmark 1 TUKXG Index Benchmark 2 MSCI UK Growth Index (TR) Bloomberg ticker of Benchmark 2 NDLVUK Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency GBP The Deutsche Bank UK Value Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 17 |
![]() ![]() | REUTERS: DBJGT BLOOMBERG: DBAPJGT Deutsche Bank Japan Growth Total Return Index Index Description The Japan Growth Total Return Index intends to reflect the equal-weighted total return performance of twenty JPY growth stocks based on trailing 12 month earnings momentum and selected from the Topix 100 Index on a quarterly basis. 12 Months Volatlity 50% 45% Japan Growth Total Return Index 40% TOPIX W/Dividend TOPIX 100 (TR) 35% MSCI Japan Growth (TR) 30% 25% 20% 15% 10% 5% 0% Jan-2000 Jan-2002 Jan-2004 Jan-2006 Jan-2008 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -1.7% 1.3% 2.4% -9.1% -3.5% 3.6% -1.6% 5.3% 2.8% -10.1% -4.6% Feb 0.5% 4.6% -8.4% 2.5% -0.6% 4.3% 4.6% 0.8% 0.0% 2.1% -4.1% Mar 13.7% 4.0% 1.2% 2.5% -4.5% 5.0% -1.5% 4.5% -0.2% -10.3% Apr 5.2% 2.5% 8.8% 2.3% -0.9% 1.5% -4.8% -1.8% -0.3% 14.9% May 0.6% -2.1% -4.3% 2.1% 4.3% -2.2% 2.0% -7.1% 4.1% 3.8% Jun 10.4% 2.7% -5.1% -7.7% 5.1% 1.5% 1.7% -0.7% 2.7% -6.2% Jul 2.2% -6.9% -8.1% -6.2% 4.9% -4.0% 3.1% 0.4% -3.5% -2.5% Aug -1.9% 0.8% -8.6% 0.9% 5.0% -0.4% 5.1% 3.9% -5.3% -4.7% Sep 4.3% -1.0% -8.7% 0.0% 2.6% -1.3% 14.9% -2.9% 2.4% -18.8% Oct 3.8% -1.8% 4.2% -3.5% 3.4% -1.4% 2.5% 1.6% -0.6% -23.7% Nov 0.3% -0.6% 1.1% 4.9% -5.1% 4.3% 4.8% -1.5% -8.5% -3.0% Dec -0.1% -3.8% -1.6% -2.8% 2.8% 3.6% 7.3% 5.1% -3.0% 2.2% Year 42.8% -1.0% -25.4% -14.3% 13.5% 15.1% 43.7% 7.0% -9.8% -47.5% -8.5% Absolute Return 2500 2000 Japan Growth Total Return Index 1500 TOPIX W/Dividend TOPIX 100 (TR) rebased to 1000 on (1/1/1999) 1000 MSCI Japan Growth (TR) rebased to 1428 on (12/30/1999) 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs TOPIX W/Dividend TOPIX 100 (TR) 1400 1200 1000 800 600 Relative to TOPIX W/Dividend TOPIX 100 (TR) rebased to 1000 400 200 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 100% Japan Growth Total Return Index 80% MSCI Japan Growth (TR) 60% 40% 20% 0% -20% -40% -60% -80% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Japan Growth Total Return Index -4.1% -6.5% -43.8% -8.5% TOPIX W/Dividend TOPIX 100 (TR) -4.3% -9.1% -42.3% -11.5% MSCI Japan Growth (TR) -6.2% -12.3% -45.8% -15.4% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) 0.2% 2.6% -1.5% 3.0% Excess Return vs MSCI Japan Growth (TR) 2.1% 5.8% 2.0% 6.9% Annualised 1year 3 years 5 years 10 years Japan Growth Total Return Index -47.7% -24.1% -6.6% -2.3% TOPIX W/Dividend TOPIX 100 (TR) -44.7% -22.2% -6.8% -4.4% MSCI Japan Growth (TR) -49.0% -26.2% -9.1% -7.2% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) -3.0% -1.9% 0.2% 2.1% Excess Return vs MSCI Japan Growth (TR) 1.3% 2.1% 2.5% 4.9% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period -21.4% -33.4% -50.6% Compounded annual growth -2.3% -3.9% -6.7% Volatility 23.9% 24.5% 25.0% Sharpe ratio (0.2%) - 0.11- 0.17 - 0.28 Maximum drawdown -60.4% -62.7% -69.8% Start of max drawdown period Jul-2007 Jan-2000 Mar-2000 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.0% -0.2% -0.4% Best monthly return 14.9% 14.9% 13.4% Worst monthly return -23.7% -21.4% -23.4% % of months with gains 54.1% 51.6% 50.0% 12 Month Correlation versus: TOPIX W/Dividend TOPIX 100 (TR) 0.98 1.00 0.99 MSCI Japan Growth (TR) 0.98 0.99 1.00 - ----------------------------------------------------------------------------------------------- Index Facts Bloomberg ticker DBAPJGT Reuters code .DBJGT Benchmark 1 TOPIX W/Dividend TOPIX 100 (TR) Bloomberg ticker of Benchmark 1 TPXD100 Index Benchmark 2 MSCI Japan Growth (TR) Bloomberg ticker of Benchmark 2 NAGLJN Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency JPY The Deutsche Bank Japan Growth Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 18 |
![]() ![]() | REUTERS: DBJVT BLOOMBERG: DBAPJVT Deutsche Bank Japan Value Total Return Index Index Description The Japan Value Total Return Index intends to reflect the equal-weighted total return performance of twenty stocks with the lowest 12 month trailing price-earnings ratio selected from the TOPIX 100 Index on a quarterly basis. 12 Months Volatlity 60% 55% 50% Japan Value Total Return Index 45% TOPIX W/Dividend TOPIX 100 (TR) 40% MSCI Japan Value (TR) 35% 30% 25% 20% 15% 10% Jan -2000 Jan-2002 Jan-2004 Jan-2006 Jan-2008 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 2.3% 7.2% 0.1% -6.1% -2.4% 5.4% -2.1% -0.3% 5.3% -9.3% -6.3% Feb -0.4% 1.3% -3.3% 0.5% -0.6% 5.4% 4.0% -0.2% 5.2% 1.1% -3.1% Mar 14.2% 7.0% 4.7% 4.3% -4.4% 4.6% 0.2% 2.7% 0.9% -11.1% Apr 2.9% 4.4% 4.9% 3.7% 4.6% 1.2% -4.5% 0.5% -2.6% 16.8% May 2.2% -2.1% -1.6% 2.1% 6.0% -1.1% 2.2% -5.0% 9.6% 7.0% Jun 11.8% 1.1% 3.1% -7.4% 6.9% 4.1% 2.5% -0.6% 4.3% -9.0% Jul 3.7% -3.4% -4.1% -2.8% 6.2% 0.3% 2.0% -0.2% 1.2% 0.4% Aug 0.1% 0.6% -5.6% 2.3% 6.6% 0.3% 7.5% 5.0% -10.7% -6.9% Sep 1.5% 0.3% -9.1% -3.4% 3.2% -2.4% 15.8% -3.7% 3.6% -19.5% Oct -5.3% -0.3% 5.7% -4.3% -0.8% -1.6% -0.3% -0.1% -1.7% -24.7% Nov -0.9% -0.7% 3.1% 4.5% 0.0% 2.7% 4.0% 1.4% -6.7% -5.8% Dec -2.1% -1.0% -2.2% -2.6% 2.9% 4.2% 5.4% 6.8% -4.4% 2.5% Year 32.6% 14.7% -5.4% -9.7% 31.3% 25.3% 41.6% 5.7% 2.1% -49.2% -9.2% Absolute Return 5000Japan Value Total Return Index 4500TOPIX W/Dividend TOPIX 100 (TR) rebased to 1000 on (1/1/1999) MSCI Japan Value (TR) rebased to 1331 on (12/30/1999) 4000 3500 3000 2500 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs TOPIX W/Dividend TOPIX 100 (TR) 3000 2500 Relative to TOPIX W/Dividend TOPIX 100 (TR) rebased to 1000 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 100% Japan Value Total Return Index 80% MSCI Japan Value (TR) 60% 40% 20% -20% -40% -60% -80% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Japan Value Total Return Index -3.1% -7.0% -46.9% -9.2% TOPIX W/Dividend TOPIX 100 (TR) -4.3% -9.1% -42.3% -11.5% MSCI Japan Value (TR) -2.9% -6.2% -35.0% -8.2% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) 1.2% 2.1% -4.6% 2.2% Excess Return vs MSCI Japan Value (TR) -0.2% -0.8% -11.8% -1.0% Annualised 1year 3 years 5 years 10 years Japan Value Total Return Index -49.9% -20.6% -4.5% 4.0% TOPIX W/Dividend TOPIX 100 (TR) -44.7% -22.2% -6.8% -4.4% MSCI Japan Value (TR) -37.7% -17.5% -1.9% 0.4% Excess Return vs TOPIX W/Dividend TOPIX 100 (TR) -5.1% 1.6% 2.4% 8.4% Excess Return vs MSCI Japan Value (TR) -12.1% -3.1% -2.6% 3.6% Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 50.6% -33.4% 6.8% Compounded annual growth 4.1% -3.9% 0.6% Volatility 25.9% 24.5% 22.4% Sharpe ratio (0.2%) 0.15 - 0.17 0.02 Maximum drawdown -62.6% -62.7% -53.0% Start of max drawdown period Aug-2007 Jan-2000 Jul-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.5% -0.2% 0.2% Best monthly return 16.8% 14.9% 15.4% Worst monthly return -24.7% -21.4% -18.8% % of months with gains 56.6% 51.6% 50.0% 12 Month Correlation versus: TOPIX W/Dividend TOPIX 100 (TR) 0.96 1.00 0.99 MSCI Japan Value (TR) 0.95 0.99 1.00 Index Facts Bloomberg ticker DBAPJVT Reuters code .DBJVT Benchmark 1 TOPIX W/Dividend TOPIX 100 (TR) Bloomberg ticker of Benchmark 1 TPXD100 Index Benchmark 2 MSCI Japan Value (TR) Bloomberg ticker of Benchmark 2 NAVLJN Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency JPY The Deutsche Bank Japan Value Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 19 |
![]() ![]() | REUTERS: SPXADT BLOOMBERG: SPXADT S&P X-Alpha USD Total Return Index Index Description S&P X-Alpha USD Total Return Index is a weighted combination of 8 Deutsche Bank Index Pairs, two each from the US, Eurozone, UK and Japan which represent the differential return between a DB Regional Style index (growth or value) and the relevant regional equity benchmark index. Each Index Pair is volatillity targeted at 8% and the S&P X-Alpha Index also has a target volatility of 8%. The volatility is controlled by means of adjusting the exposure to the strategy on a quarterly basis, with minimum exposure being 50% and maximum exposure being 150%. The index is denominated in USD, rebalanced quarterly and includes a 60 basis points per annum rebalancing cost. The Index has an additional return component derived from the Fed Funds Rate less 6.25 basis points annual funding cost. 12 Months Volatlity 40% 35% S&P X-Alpha USD Total Return Index 30% MSCI World Index 25% HFRX USD Equity Market Neutral Index 20% 15% 10% 5% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -0.7% -1.2% 3.4% 1.3% 0.2% -0.1% 1.7% 5.6% 0.0% 2.4% 2.0% Feb 1.4% 0.8% 3.0% 0.6% -0.8% 1.6% 4.9% -1.4% 1.8% -1.4% 1.8% Mar 0.0% 3.7% 1.7% 2.7% -1.8% 1.9% 0.3% 3.0% 3.2% -1.3% Apr 2.0% 2.4% 0.4% 5.8% 1.5% 0.2% -1.6% 0.9% 0.6% 1.2% May 1.5% 3.7% 0.2% 0.5% 4.0% 0.3% 0.1% 0.6% 1.3% 0.5% Jun -1.7% -1.5% 0.1% 3.1% -0.9% 2.4% 3.7% 2.0% -0.3% -1.5% Jul -0.5% 1.4% 0.5% 0.5% 0.6% 0.5% 1.2% 0.6% 0.1% -2.1% Aug -0.9% 2.3% 2.1% 0.9% 2.0% 0.2% 3.2% -1.9% -1.2% -0.9% Sep 0.1% 1.8% -1.5% 0.3% 0.8% 3.0% 2.2% -1.1% -0.3% -2.0% Oct -0.8% 2.1% 1.0% -5.0% 1.4% 0.2% -0.6% 1.8% 0.2% -1.1% Nov -2.6% 1.8% -0.4% -0.8% 0.7% 2.9% 0.1% 1.3% -2.7% 0.0% Dec 0.7% 3.6% 1.1% 2.2% -0.8% 1.0% 0.7% 0.2% -2.1% 0.7% Year -1.6% 22.7% 12.1% 12.4% 7.0% 15.0% 16.8% 11.9% 0.3% -5.4% 3.9% Absolute Return 3000 2500 2000 S&P X-Alpha USD Total Return Index 1500 MSCI World Index rebased to 1000 on (1/1/1999) 1000 HFRX USD Equity Market Neutral Index rebased to 1679 on (3/30/2004) 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs HFRX USD Equity Market Neutral Index 1800 1700 1600 1500 1400 1300 1200 1100 1000 900 Relative to HFRX USD Equity Market Neutral Index rebased to 1000 800 Apr-2004 Apr-2005 Apr-2006 Apr-2007 Apr-2008 [Graphic Appears Here] Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD S&P X-Alpha USD Total Return Index 1.8% 4.6% 1.5% 3.9% MSCI World Index -10.2% -15.5% -43.6% -18.1% HFRX USD Equity Market Neutral Index -1.0% -3.1% -2.4% -0.9% Excess Return vs MSCI World Index 12.1% 20.1% 45.0% 22.0% Excess Return vs HFRX USD Equity Market Neutral Index 2.8% 7.7% 3.9% 4.8% Annualised 1year 3 years 5 years 10 years S&P X-Alpha USD Total Return Index -2.7% 2.0% 7.8% 9.1% MSCI World Index -47.2% -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index -0.1% 1.8% 1.2% N/A Excess Return vs MSCI World Index 44.5% 17.2% 12.9% 11.7% Excess Return vs HFRX USD Equity Market Neutral Index -2.6% 0.2% 6.7% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 141.1% -23.2% 3.3% Compounded annual growth 9.0% -2.6% 0.6% Volatility 6.3% 16.9% 4.4% Sharpe ratio (3.45%) 0.89 - 0.36 - 0.65 Maximum drawdown -12.0% -54.0% -6.0% Start of max drawdown period Jun-2007 Nov-2007 Jul-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.7% -0.1% 0.1% Best monthly return 5.8% 8.9% 2.5% Worst monthly return -5.0% -19.0% -2.8% % of months with gains 71.3% 54.1% 60.6% 12 Month Correlation versus: MSCI World Index 0.46 1.00 -0.25 HFRX USD Equity Market Neutral Index -0.06 -0.25 1.00 Index Facts Bloomberg ticker SPXADT Reuters code .SPXADT Benchmark 1 MSCI World Index Bloomberg ticker of Benchmark 1 NDDUWI Index Benchmark 2 HFRX USD Equity Market Neutral Index Bloomberg ticker of Benchmark 2 HFRXEMN Index Index sponsor Deutsche Bank Rebalancing frequency Quarterly Index Currency USD The S&P X-Alpha USD Total Return Index was launched on November 12, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 20 |
![]() ![]() | REUTERS: SPXADE BLOOMBERG: SPXADE S&P X-Alpha USD Excess Return Index Index Description S&P X-Alpha USD Excess Return Index is a weighted combination of 8 Deutsche Bank Index Pairs, two each from the US, Eurozone, UK and Japan which represent the differential return between a DB Regional Style index (growth or value) and the relevant regional equity benchmark index. Each Index Pair is volatillity targeted at 8% and the S&P X-Alpha Index also has a target volatility of 8%. The volatility is controlled by means of adjusting the exposure to the strategy on a quarterly basis, with minimum exposure being 50% and maximum exposure being 150%. The index is denominated in USD, rebalanced quarterly and includes a 60 basis points per annum rebalancing cost. 12 Months Volatlity 40% 35% S&P X-Alpha USD Excess Return Index 30% MSCI World Index 25% HFRX USD Equity Market Neutral Index 20% 15% 10% 5% 0% Jan-2000 Jan-2002 Jan-2004 Jan-2006 Jan-2008 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -1.1% -1.7% 2.9% 1.1% 0.1% -0.2% 1.6% 5.3% -0.5% 2.1% 2.0% Feb 1.0% 0.3% 2.6% 0.4% -0.9% 1.6% 4.7% -1.8% 1.4% -1.6% 1.8% Mar -0.5% 3.2% 1.2% 2.5% -1.9% 1.8% 0.1% 2.6% 2.8% -1.6% Apr 1.7% 2.0% 0.0% 5.7% 1.4% 0.1% -1.9% 0.6% 0.2% 1.0% May 1.1% 3.2% -0.1% 0.4% 3.9% 0.2% -0.1% 0.1% 0.9% 0.3% Jun -2.1% -2.0% -0.2% 3.0% -1.0% 2.3% 3.4% 1.5% -0.7% -1.7% Jul -0.9% 0.8% 0.2% 0.4% 0.5% 0.4% 0.9% 0.2% -0.4% -2.3% Aug -1.3% 1.8% 1.8% 0.8% 1.9% 0.1% 2.9% -2.4% -1.7% -1.1% Sep -0.3% 1.3% -1.7% 0.2% 0.7% 2.9% 1.9% -1.5% -0.7% -2.2% Oct -1.2% 1.5% 0.7% -5.1% 1.3% 0.1% -1.0% 1.3% -0.2% -1.1% Nov -3.1% 1.2% -0.5% -0.9% 0.6% 2.7% -0.3% 0.8% -3.1% 0.0% Dec 0.2% 3.1% 0.9% 2.1% -0.9% 0.8% 0.4% -0.3% -2.5% 0.7% Year -6.4% 15.5% 8.0% 10.6% 5.8% 13.5% 13.2% 6.5% -4.7% -7.2% 3.9% Absolute Return 2500 2000 S&P X-Alpha USD Excess Return Index 1500 MSCI World Index rebased to 1000 on (1/1/1999) 1000 HFRX USD Equity Market Neutral Index rebased to 1405 on (3/30/2004) 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs HFRX USD Equity Market Neutral Index 1600 1500 1400 1300 1200 1100 1000 900 Relative to HFRX USD Equity Market Neutral Index rebased to 1000 800 Apr-2004 Apr-2005 Apr-2006 Apr-2007 Apr-2008 Annual Returns 20% 15.5% 15% 13.5% 13.2% 6.5% 10% 8.0% 5% 3.9% 0% -5% -6.4% -4.7% -7.2% -10% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months S&P X-Alpha USD Excess Return Index 1.8% 4.6% 1.2% MSCI World Index -10.2% -15.5% -43.6% HFRX USD Equity Market Neutral Index -1.0% -3.1% -2.4% Excess Return vs MSCI World Index 12.0% 20.1% 44.7% Excess Return vs HFRX USD Equity Market Neutral Index 2.8% 7.7% 3.6% Annualised 1year 3 years 5 years 10 years S&P X-Alpha USD Excess Return Index -4.1% -1.8% 4.4% 5.6% MSCI World Index -47.2% -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index -0.1% 1.8% 1.2% N/A Excess Return vs MSCI World Index 43.2% 13.4% 9.4% 8.1% Excess Return vs HFRX USD Equity Market Neutral Index -4.0% -3.6% 3.2% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 71.8% -23.2% 3.3% Compounded annual growth 5.5% -2.6% 0.6% Volatility 6.3% 16.9% 4.4% Sharpe ratio (3.45%) 0.86 - 0.36 - 0.65 Maximum drawdown -16.2% -54.0% -6.0% Start of max drawdown period Jun-2007 Nov-2007 Jul-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.5% -0.1% 0.1% Best monthly return 5.7% 8.9% 2.5% Worst monthly return -5.1% -19.0% -2.8% % of months with gains 63.1% 54.1% 60.6% 12 Month Correlation versus: MSCI World Index 0.45 1.00 -0.25 HFRX USD Equity Market Neutral Index -0.06 -0.25 1.00 Index Facts Bloomberg ticker SPXADE Reuters code .SPXADE Benchmark 1 MSCI World Index Bloomberg ticker of Benchmark 1 NDDUWI Index Benchmark 2 HFRX USD Equity Market Neutral Index Bloomberg ticker of Benchmark 2 HFRXEMN Index Index sponsor Deutsche Bank Rebalancing frequency Quarterly Index Currency USD The S&P X-Alpha USD Excess Return Index was launched on November 12, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 21 |
![]() ![]() | BLOOMBERG: DBGLXAT Deutsche Bank X-Alpha USD Total Return Index Index Description Deutsche Bank X-Alpha USD Total Return Index is a weighted combination of 8 Deutsche Bank Index Pairs, two each from the US, Eurozone, UK and Japan which represent the differential return between a DB Regional Style index (growth or value) and the relevant regional equity benchmark index. Each Index Pair is volatillity targeted at 8% and the S&P X-Alpha Index also has a target volatility of 8%. The volatility is controlled by means of adjusting the exposure to the strategy on a quarterly basis, with minimum exposure being 50% and maximum exposure being 150%. The index is denominated in USD, rebalanced quarterly and includes a 60 basis points per annum rebalancing cost. The Index has an additional return component derived from the Fed Funds Rate less 6.25 basis points annual funding cost. [Graphic Appears Here] Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 0.7% 1.5% 3.5% 1.1% 0.3% -0.7% 1.9% 5.2% -0.3% 2.7% 2.0% Feb 0.9% 1.7% 3.1% 0.5% -0.9% 1.9% 4.7% -1.3% 1.7% -1.5% 1.2% Mar 0.0% 3.4% 1.6% 2.4% -1.6% 2.0% 0.3% 3.1% 3.1% -1.6% Apr 2.0% 0.7% 0.6% 8.2% 1.0% 1.0% -1.7% 0.5% 1.7% 1.7% May 1.4% 3.4% 0.2% 0.4% 4.4% 0.1% 0.1% 0.3% 1.3% 0.3% Jun -1.9% -1.4% 0.1% 2.9% -0.7% 2.5% 3.8% 2.3% -0.3% -1.6% Jul -0.7% 1.5% 0.5% -1.3% 1.1% 0.7% 1.1% 0.1% -0.3% -1.9% Aug -0.8% 2.3% 1.7% 0.7% 2.1% 0.2% 3.3% -2.0% -1.5% -0.9% Sep 0.1% 1.7% -1.5% 0.4% 0.9% 3.0% 2.2% -1.1% -0.4% -2.2% Oct 0.2% 2.8% 1.5% -4.5% 1.0% 0.2% -1.1% 2.2% 0.2% -1.2% Nov -3.3% 1.7% -0.3% -0.8% 0.8% 3.1% 0.1% 1.3% -2.2% -0.3% Dec 0.5% 3.6% 1.1% 2.2% -0.7% 1.0% 0.8% 0.2% -2.2% 0.7% Year -1.2% 25.3% 12.8% 12.4% 7.8% 16.1% 16.5% 11.1% 0.6% -5.8% 3.2% Absolute Return 3000 2500 Deutsche Bank X-Alpha USD Total Return Index 2000 MSCI World Index rebased to 1000 on (1/1/1999) 1500 HFRX USD Equity Market Neutral Index rebased to 1741 on (3/30/2004) 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs HFRX USD Equity Market Neutral Index 1800 1700 1600 1500 1400 1300 1200 1100 1000 Relative to HFRX USD Equity Market Neutral Index rebased to 1000 900 800 Apr-2004 Apr-2005 Apr-2006 Apr-2007 Apr-2008 Annual Returns 30% 25.3% 25% 20% 16.1% 16.5% 15% 12.8% 12.4% 11.1% 10% 7.8% 5% 3.2% 0.6% 0% -1.2% -5% -5.8% -10% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Deutsche Bank X-Alpha USD Total Return Index 1.2% 4.0% 0.1% 3.2% MSCI World Index -10.2% -15.5% -43.6% -18.1% HFRX USD Equity Market Neutral Index -1.0% -3.1% -2.4% -0.9% Excess Return vs MSCI World Index 11.5% 19.4% 43.7% 21.3% Excess Return vs HFRX USD Equity Market Neutral Index 2.2% 7.0% 2.5% 4.2% Annualised 1year 3 years 5 years 10 years Deutsche Bank X-Alpha USD Total Return Index -3.9% 1.5% 7.7% 9.4% MSCI World Index -47.2% -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index -0.1% 1.8% 1.2% N/A Excess Return vs MSCI World Index 43.4% 16.8% 12.8% 11.9% Excess Return vs HFRX USD Equity Market Neutral Index -3.8% -0.2% 6.6% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 148.6% -23.2% 3.3% Compounded annual growth 9.4% -2.6% 0.6% Volatility 6.5% 16.9% 4.4% Sharpe ratio (3.45%) 0.91 - 0.36 - 0.65 Maximum drawdown -12.6% -54.0% -6.0% Start of max drawdown period Jun-2007 Nov-2007 Jul-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.8% -0.1% 0.1% Best monthly return 8.2% 8.9% 2.5% Worst monthly return -4.5% -19.0% -2.8% % of months with gains 71.3% 54.1% 60.6% 12 Month Correlation versus: MSCI World Index 0.47 1.00 -0.25 HFRX USD Equity Market Neutral Index -0.05 -0.25 1.00 Index Facts Bloomberg ticker DBGLXAT Reuters code .DBGLXAT Benchmark 1 MSCI World Index Bloomberg ticker of Benchmark 1 NDDUWI Index Benchmark 2 HFRX USD Equity Market Neutral Index Bloomberg ticker of Benchmark 2 HFRXEMN Index Index sponsor Deutsche Bank Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank X-Alpha USD Total Return Index was launched on October 31, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 22 |
![]() ![]() | Deutsche Bank X-Alpha USD Excess Return Index BLOOMBERG: DBGLXAE Index Description Deutsche Bank X-Alpha USD Excess Return Index is a weighted combination of 8 Deutsche Bank Index Pairs, two each from the US, Eurozone, UK and Japan which represent the differential return between a DB Regional Style index (growth or value) and the relevant regional equity benchmark index. Each Index Pair is volatillity targeted at 8% and the S&P X-Alpha Index also has a target volatility of 8%. The volatility is controlled by means of adjusting the exposure to the strategy on a quarterly basis, with minimum exposure being 50% and maximum exposure being 150%. The index is denominated in USD, rebalanced quarterly and includes a 60 basis points per annum rebalancing cost. 12 Months Volatlity 40% 35% Deutsche Bank X-Alpha USD Excess Return Index 30% MSCI World Index 25% HFRX USD Equity Market Neutral Index 20% 15% 10% 5% 0% Jan-2000 Jan-2001 Jan-2002 Jan-2003 Jan-2004 Jan-2005 Jan-2006 Jan-2007 Jan-2008 Jan-2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 0.3% 1.1% 3.0% 1.0% 0.2% -0.8% 1.8% 4.8% -0.8% 2.4% 2.0% Feb 0.6% 1.2% 2.7% 0.4% -1.0% 1.8% 4.5% -1.7% 1.3% -1.7% 1.2% Mar -0.4% 2.9% 1.2% 2.3% -1.7% 1.9% 0.1% 2.7% 2.7% -1.8% Apr 1.6% 0.3% 0.2% 8.1% 0.9% 0.9% -1.9% 0.1% 1.3% 1.5% May 1.0% 2.8% -0.1% 0.2% 4.3% 0.0% -0.1% -0.1% 0.9% 0.1% Jun -2.3% -1.9% -0.3% 2.8% -0.8% 2.4% 3.6% 1.8% -0.7% -1.8% Jul -1.2% 0.9% 0.2% -1.4% 1.0% 0.6% 0.9% -0.4% -0.8% -2.0% Aug -1.3% 1.7% 1.4% 0.6% 2.0% 0.0% 3.0% -2.4% -1.9% -1.1% Sep -0.4% 1.2% -1.7% 0.3% 0.8% 2.8% 1.9% -1.5% -0.8% -2.4% Oct -0.3% 2.2% 1.3% -4.7% 0.9% 0.1% -1.4% 1.7% -0.3% -1.3% Nov -3.8% 1.2% -0.5% -0.9% 0.8% 2.9% -0.3% 0.9% -2.6% -0.3% Dec 0.0% 3.1% 0.9% 2.1% -0.8% 0.9% 0.5% -0.2% -2.6% 0.7% Year -6.1% 17.9% 8.6% 10.7% 6.6% 14.6% 13.0% 5.7% -4.4% -7.6% 3.2% Absolute Return 2500 2300 Deutsche Bank X-Alpha USD Excess Return Index 2100 MSCI World Index rebased to 1000 on (1/1/1999) 1900 HFRX USD Equity Market Neutral Index rebased to 1457 on (3/30/2004) 1700 1500 1300 1100 900 700 500 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 19992000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs HFRX USD Equity Market Neutral Index 1600 1500 1400 1300 1200 1100 1000 Relative to HFRX USD Equity Market Neutral Index rebased to 1000 900 800 Apr-2004 Apr-2005 Apr-2006 Apr-2007 Apr -2008 Annual Returns 20% 17.9% 14.6% 15% 13.0% 10.7% 10% 8.6% 6.6% 5.7% 5% 3.2% 0% -5% -4.4% -6.1% -7.6% -10% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 Month 3 Months 6 Months YTD Deutsche Bank X-Alpha USD Excess Return Index 1.2% 3.9% -0.2% 3.2% MSCI World Index -10.2% -15.5% -43.6% -18.1% HFRX USD Equity Market Neutral Index -1.0% -3.1% -2.4% -0.9% Excess Return vs MSCI World Index 11.4% 19.4% 43.4% 21.3% Excess Return vs HFRX USD Equity Market Neutral Index 2.2% 7.0% 2.2% 4.2% Annualised 1year 3 years 5 years 10 years Deutsche Bank X-Alpha USD Excess Return Index -5.2% -2.2% 4.3% 5.8% MSCI World Index -47.2% -15.2% -5.0% -2.5% HFRX USD Equity Market Neutral Index -0.1% 1.8% 1.2% N/A Excess Return vs MSCI World Index 42.0% 13.0% 9.3% 8.3% Excess Return vs HFRX USD Equity Market Neutral Index -5.1% -4.0% 3.1% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period 77.1% -23.2% 3.3% Compounded annual growth 5.8% -2.6% 0.6% Volatility 6.5% 16.9% 4.4% Sharpe ratio (3.45%) 0.89 - 0.36 - 0.65 Maximum drawdown -16.8% -54.0% -6.0% Start of max drawdown period Jun-2007 Nov-2007 Jul-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.5% -0.1% 0.1% Best monthly return 8.1% 8.9% 2.5% Worst monthly return -4.7% -19.0% -2.8% % of months with gains 61.5% 54.1% 60.6% 12 Month Correlation versus: MSCI World Index 0.47 1.00 -0.25 HFRX USD Equity Market Neutral Index -0.05 -0.25 1.00 Index Facts Bloomberg ticker DBGLXAE Reuters code .DBGLXAE Benchmark 1 MSCI World Index Bloomberg ticker of Benchmark 1 NDDUWI Index Benchmark 2 HFRX USD Equity Market Neutral Index Bloomberg ticker of Benchmark 2 HFRXEMN Index Index sponsor Deutsche Bank Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank X-Alpha USD Excess Return Index was launched on October 31, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 23 |
![]() ![]() | REUTERS: .DBVEUSDB DBIQ ImpAct Dollar Equity Volatility (Bid) Index BLOOMBERG: DBVEUSDB Index Description The DBIQ ImpAct Dollar Equity Volatility Index aims to measure the return streams associated with volatility in US equity market. The index seeks to take advantage of the differential between implied and realised volatility in this market. The ImpAct Dollar Equity Volatility Index Historical Levels since inception date have been restated as of Aug-22, 2007 due to a slight calculation methodology change. Both index guide and index quick reference have been updated to reflect the change. The DBIQ ImpAct Dollar Equity Volatility Index is calculated with the closing MID option prices. [Graphic Appears Here] Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -2.7% 0.7% 1.8% -0.7% 1.7% 1.7% 0.4% 1.5% -1.6% 0.1% Feb 2.1% -1.2% 0.7% 2.3% 2.5% -0.8% 0.9% -8.7% 1.1% 0.9% Mar -2.3% -0.5% 1.2% 0.3% -0.4% 1.1% 2.1% 2.3% -0.6% Apr -3.1% -0.7% -0.8% 2.0% 0.6% 0.2% 0.8% 0.3% 1.5% May 0.3% 1.2% -1.7% 0.4% 2.5% 1.7% -0.5% 2.5% 1.3% Jun 1.6% 2.6% -0.8% 1.0% 1.9% 1.6% 0.8% -1.8% -1.5% Jul -0.2% 0.5% -2.8% 1.0% 1.6% 0.6% 0.7% -2.6% 0.3% Aug 3.1% 1.4% -0.9% 2.3% 0.9% 1.5% 2.3% -2.0% 0.0% Sep 1.0% -0.9% 0.5% -0.9% 1.8% 1.1% 1.5% 1.6% -16.1% Oct -2.2% 1.7% 0.7% 3.5% 0.0% -1.5% 1.5% 2.3% -13.6% Nov 0.1% 2.5% 0.4% 1.8% 2.1% 1.6% 0.4% -1.6% 0.0% Dec 0.2% 0.1% 1.3% 1.9% 1.4% 1.1% 2.1% 1.8% 0.1% 1.3% Year 0.2% -2.5% 8.9% 0.1% 15.4% 17.5% 11.3% 13.4% -6.3% -26.2% 0.9% Absolute Return 2000 1800 1600 1400 1200 1000 800 600 DBIQ ImpAct Dollar Equity Volatility (Bid) Index S&P 500 (TR) 400 Index rebased to 1000 on (12/17/1999) 200 iBoxx USD Treasury TR Index rebased to 1000 on (12/17/1999) 0 Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Cumulative Excess Index vs iBoxx USD Treasury TR Index 1300 Relative to iBoxx USD Treasury TR Index rebased to 1000 1200 1100 1000 900 800 700 600 Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- Dec- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD DBIQ ImpAct Dollar Equity Volatility (Bid) Index 0.9% 2.2% -25.9% 0.9% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% iBoxx USD Treasury TR Index -0.6% -0.2% 5.8% -4.3% Excess Return vs S&P 500 (TR) Index 11.5% 19.5% 16.0% 19.1% Excess Return vs iBoxx USD Treasury TR Index 1.5% 2.5% -31.6% 5.2% Annualised 1year 3 years 5 years DBIQ ImpAct Dollar Equity Volatility (Bid) Index -25.2% -7.9% -0.2% S&P 500 (TR) Index -43.4% -15.1% -6.6% iBoxx USD Treasury TR Index 6.1% 7.3% 5.2% Excess Return vs S&P 500 (TR) Index 18.3% 7.2% 6.5% Excess Return vs iBoxx USD Treasury TR Index -31.2% -15.3% -5.3% Performance Analysis December 1999 - February 2009 Index Bench 1 Bench 2 Growth over period 27.2% -39.2% 81.0% Compounded annual growth 2.6% -5.3% 6.7% Volatility 8.6% 21.5% 4.8% Sharpe ratio (3.28%) 0.31- 0.40 0.70 Maximum drawdown -32.8% -50.9% -4.8% Start of max drawdown period Feb-2007 Nov-2007 Jun-2003 End of max drawdown period Feb-2009 Feb-2009 Feb-2004 Average monthly growth 0.3% -0.3% 0.5% Best monthly return 3.5% 9.8% 5.5% Worst monthly return -16.1% -16.8% -4.2% % of months with gains 72.1% 55.9% 69.4% 12 Month Correlation versus: S&P 500 (TR) Index 0.42 1.00 -0.45 iBoxx USD Treasury TR Index -0.20 -0.45 1.00 Index Facts Bloomberg ticker DBVEUSDB Reuters code .DBVEUSDB Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPTR Index Benchmark 2 iBoxx USD Treasury TR Index Bloomberg ticker of Benchmark 2 ITRROV Index Index sponsor Deutsche Bank Index Currency USD The DBIQ ImpAct Dollar Equity Volatility (Bid) Index was launched on September 26, 2007 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 24 |
![]() ![]() | Deutsche Bank Liquid Alpha USD 5 Total Return S1 Index REUTERS: DBLAUT5J BLOOMBERG: DBLAUT5J Index Description Liquid Alpha is a multi asset investment strategy which gives access to a diversified pool of alpha generating assets thanks to a dynamic allocation tool. The Deutsche Bank Liquid Alpha USD Total Return Index 5% Volatility Target is intended to reflect the combined total return performance of a number of indices referred to as Index Constituents, selected among S&P X-Alpha USD Total Return Index (SPXADT), DB Commodity Harvest TR Index (DBCMHLTU), Deutsche Bank USD Currency Harvest Balanced Funded Index (DBHVBUSF), DB Smart USD Index leveraged 5 times (DBSMARDI) and FED FUND Total Return Index (DBMMFED1). The Index targets an annual volatility of 5% and aims to maximise the expected return for that target. The Index is rebalanced quarterly and upon the occurrence of periods of sharply negative returns. Annual Returns 20% 17.8% 16.5% 16.4% 15% 12.3% 12.1% 12.6% 11.5% 10.5% 10% 8.8% 5.4% 5% 2.5% 0% -5% -4.9% -10% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Monthly Performance 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 1.7% 2.9% 1.2% 1.4% 0.9% 1.2% 1.6% 1.2% 0.2% 1.4% Feb 1.3% -0.2% 0.5% 0.7% 2.3% 2.7% 0.9% 0.9% 0.2% 1.1% Mar 0.5% 2.0% 1.8% -0.3% 0.5% 0.5% 0.7% 1.6% 0.1% Apr 1.1% 0.4% 2.6% 5.1% -1.0% 0.7% 0.0% 1.8% 0.1% May 2.3% 0.6% 0.6% 0.5% 0.2% 2.3% -0.1% 1.8% 0.9% Jun -0.6% 0.8% 0.1% 2.8% 2.1% 2.6% 1.6% 0.7% -0.2% Jul 1.9% 0.0% 0.3% 0.3% 0.6% 0.6% 0.8% -0.5% 1.0% Aug 0.8% 0.5% 0.4% 1.3% 1.3% -0.5% 1.8% -2.1% -0.7% Sep 1.1% 1.3% 0.0% 1.1% 0.8% 2.8% 1.1% 2.2% -3.8% Oct 2.2% 1.1% -1.0% 1.2% 0.4% 1.6% 0.5% 1.7% -5.8% Nov 1.2% 1.0% 2.9% 1.4% 2.3% 1.7% -0.2% -0.9% 0.0% Dec 1.9% 1.3% 2.0% 1.1% 1.4% -0.8% 2.5% 0.4% 0.8% Year 16.5% 12.3% 12.1% 17.8% 12.6% 16.4% 11.5% 8.8% -4.9% 2.5% Absolute Return 3500 Liquid Alpha USD 5 TR Index 3000 MSCI World TR Index rebased to 1000 on (10/18/2002) 2500 iBoxx USD Treasury TR Index rebased to 1000 on (10/18/2002) 2000 1500 1000 500 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 12 Months Volatlity 40% Liquid Alpha USD 5 TR Index 35% MSCI World TR Index 30% iBoxx USD Treasury TR Index 25% 20% 15% 10% 5% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Percentage Allocation FED FUND TR dbSMART 5x TR Index, 2.4% Index, 9.4% S&P X-Alpha USD Currency USD TR Index, Harvest Balanced 30.0% Index, 8.3% DB Commodity Harvest TR Index, 50.0% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Liquid Alpha USD 5 TR Index 1.1% 3.4% -6.3% 2.5% MSCI World TR Index -10.2% -15.3% -43.4% -18.0% iBoxx USD Treasury TR Index -0.6% -0.2% 5.8% -4.3% Excess Return vs iBoxx USD Treasury TR Index 1.7% 3.6% -12.1% 6.8% S&P X-Alpha USD TR Index 1.8% 4.6% 1.5% 3.9% DB Commodity Harvest TR Index -2.5% -7.2% -39.5% -5.4% USD Currency Harvest Balanced Index 3.2% -1.6% -22.9% 2.4% dbSMART 5x TR Index 0.3% 0.6% 0.0% 0.6% FED FUND TR Index 0.0% 0.0% 0.3% 0.0% Annualised 1year 3 years 5 years Liquid Alpha USD 5 TR Index -5.3% 4.1% 7.9% MSCI World TR Index -46.9% -14.7% -4.5% iBoxx USD Treasury TR Index 6.1% 7.3% 5.2% Excess Return vs iBoxx USD Treasury TR Index -11.4% -3.3% 2.7% S&P X-Alpha USD TR Index -2.7% 2.0% 7.8% DB Commodity Harvest TR Index -42.8% 0.0% 11.5% USD Currency Harvest Balanced Index -17.8% -0.2% 6.2% dbSMART 5x TR Index -0.6% -0.1% 0.2% FED FUND TR Index 1.4% 3.9% 3.4% Performance Analysis October 2002 - February 2009 Index Bench1 Bench2 Growth over period 175.4% -19.6% 84.9% Compounded annual growth 10.5% -2.1% 6.3% Volatility 4.3% 17.4% 4.8% Sharpe ratio (3.48%) 2.43 - 0.32 0.58 Maximum drawdown -10.0% -53.7% -4.8% Start of max drawdown period Aug-2008 Nov-2007 Jun-2003 End of max drawdown period Feb-2009 Feb-2009 Feb-2004 Average monthly growth 0.8% 0.1% 0.5% Best monthly return 5.1% 8.9% 5.5% Worst monthly return -5.8% -18.9% -4.2% % of months with gains 84.0% 54.6% 68.1% Correlation versus: MSCI World TR Index 0.16 1.00 -0.26 iBoxx USD Treasury TR Index -0.05 -0.26 1.00 Index Facts Bloomberg ticker DBLAUT5J Reuters ticker .DBLAUT5J Benchmark 1 MSCI World TR Index Bloomberg ticker of Benchmark 1 GDDUWI Index Benchmark 2 iBoxx USD Treasury TR Index Bloomberg ticker of Benchmark 2 ITRROV Index Index sponsor Deutsche Bank Stocks weighting Discreet Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank Liquid Alpha USD 5 Total Return S1 Index was launched on April 23, 2008 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 25 |
![]() ![]() | REUTERS: DBLAUE5J Deutsche Bank Liquid Alpha USD 5 Excess Return S1 Index BLOOMBERG: DBLAUE5J Index Description Liquid Alpha is a multi asset investment strategy which gives access to a diversified pool of alpha generating assets thanks to a dynamic allocation tool. The Deutsche Bank Liquid Alpha USD Total Return Index 5% Volatility Target is intended to reflect the combined total return performance of a number of indices referred to as Index Constituents, selected among S&P X-Alpha USD Total Return Index (SPXADT), DB Commodity Harvest TR Index (DBCMHLTU), Deutsche Bank USD Currency Harvest Balanced Funded Index (DBHVBUSF), DB Smart USD Index leveraged 5 times (DBSMARDI) and FED FUND Total Return Index (DBMMFED1).The Deutsche Bank Liquid Alpha USD Excess Return Index 5% Volatility Target reflects the performance of the Deutsche Bank Liquid USD Alpha Total Return Index 5% Volatility Target minus the FED FUND performance. The Index targets an annual volatility of 5% and aims to maximise the expected return for that target. The Index is rebalanced quarterly and upon the occurrence of periods of sharply negative returns. Annual Returns 20% 16.5% 15% 12.8% 10.3% 11.1% 9.5% 10% 8.0% 7.4% 6.2% 5% 3.5% 2.5% 0.5% 0% -5% -6.8% -10% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Monthly Performance 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 1.3% 2.4% 1.0% 1.3% 0.8% 1.0% 1.2% 0.7% -0.1% 1.4% Feb 0.8% -0.7% 0.4% 0.6% 2.2% 2.5% 0.5% 0.5% 0.0% 1.1% Mar 0.0% 1.6% 1.7% -0.4% 0.4% 0.2% 0.3% 1.1% -0.2% Apr 0.7% 0.0% 2.4% 5.0% -1.1% 0.5% -0.4% 1.3% -0.1% May 1.7% 0.2% 0.5% 0.4% 0.2% 2.1% -0.5% 1.3% 0.7% Jun -1.2% 0.5% 0.0% 2.8% 2.1% 2.3% 1.2% 0.3% -0.4% Jul 1.4% -0.3% 0.1% 0.2% 0.5% 0.4% 0.3% -1.0% 0.8% Aug 0.2% 0.2% 0.3% 1.2% 1.2% -0.9% 1.4% -2.6% -0.9% Sep 0.6% 1.0% -0.1% 1.1% 0.7% 2.5% 0.6% 1.8% -4.0% Oct 1.6% 0.9% -1.1% 1.1% 0.3% 1.3% 0.0% 1.2% -6.0% Nov 0.7% 0.8% 2.8% 1.3% 2.1% 1.3% -0.6% -1.3% 0.0% Dec 1.4% 1.1% 1.9% 1.0% 1.2% -1.2% 2.0% 0.1% 0.8% Year 9.5% 8.0% 10.3% 16.5% 11.1% 12.8% 6.2% 3.5% -6.8% 2.5% Absolute Return 2500 Liquid Alpha USD 5 ER Index 2000 MSCI World TR Index rebased to 1000 on (10/18/2002) 1500 iBoxx USD Treasury TR Index rebased to 1000 on (10/18/2002) 1000 500 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 12 Months Volatlity 40% 35% Liquid Alpha USD 5 ER Index 30% MSCI World TR Index 25% iBoxx USD Treasury TR Index 20% 15% 10% 5% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Percentage Allocation Unallocated, dbSMART 5x TR 2.4% Index, 9.4% S&P X-Alpha USD Currency USD TR Index, Harvest Balanced 30.0% Index, 8.3% DB Commodity Harvest TR Index, 50.0% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Liquid Alpha USD 5 ER Index 1.1% 3.3% -6.7% 2.5% MSCI World TR Index -10.2% -15.3% -43.4% -18.0% iBoxx USD Treasury TR Index -0.6% -0.2% 5.8% -4.3% S&P X-Alpha USD TR Index 1.8% 4.6% 1.5% 3.9% DB Commodity Harvest TR Index -2.5% -7.2% -39.5% -5.4% USD Currency Harvest Balanced Index 3.2% -1.6% -22.9% 2.4% dbSMART 5x TR Index 0.3% 0.6% 0.0% 0.6% Unallocated 0.0% 0.0% 0.3% 0.0% Annualised 1year 3 years 5 years Liquid Alpha USD 5 ER Index -6.7% 0.2% 4.5% MSCI World TR Index -46.9% -14.7% -4.5% iBoxx USD Treasury TR Index 6.1% 7.3% 5.2% S&P X-Alpha USD TR Index -2.7% 2.0% 7.8% DB Commodity Harvest TR Index -42.8% 0.0% 11.5% USD Currency Harvest Balanced Index -17.8% -0.2% 6.2% dbSMART 5x TR Index -0.6% -0.1% 0.2% Unallocated 1.4% 3.9% 3.4% Performance Analysis October 2002 - February 2009 Index Bench1 Bench2 Growth over period 95.8% -19.6% 84.9% Compounded annual growth 6.9% -2.1% 6.3% Volatility 4.3% 17.4% 4.8% Sharpe ratio (3.48%) 1.58 - 0.32 0.58 Maximum drawdown -11.4% -53.7% -4.8% Start of max drawdown period Jul-2007 Nov-2007 Jun-2003 End of max drawdown period Feb-2009 Feb-2009 Feb-2004 Average monthly growth 0.6% 0.1% 0.5% Best monthly return 5.0% 8.9% 5.5% Worst monthly return -6.0% -18.9% -4.2% % of months with gains 75.6% 54.6% 68.1% Correlation versus: MSCI World TR Index 0.16 1.00 -0.30 iBoxx USD Treasury TR Index -0.05 -0.30 1.00 Index Facts Bloomberg ticker DBLAUE5J Reuters ticker .DBLAUE5J Benchmark 1 MSCI World TR Index Bloomberg ticker of Benchmark 1 GDDUWI Index Benchmark 2 iBoxx USD Treasury TR Index Bloomberg ticker of Benchmark 2 ITRROV Index Index sponsor Deutsche Bank Stocks weighting Discreet Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank Liquid Alpha USD 5 Excess Return S1 Index was launched on April 23, 2008 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 26 |
![]() ![]() | Deutsche Bank US ValueGrowth Select Index REUTERS: .DBUSVG BLOOMBERG: DBUSUSVG Index Description The ValueGrowth Select Index comprises either the Eurozone Value Index or the Eurozone Growth Index as the Index Constituent and is reconstituted on a quarterly basis based on which of the Selection Pool Indices has the higher trailing 12 month Sharpe Ratio on the relevant Index Selection Date. The Eurozone Value Index is intended to reflect the total return performance of fifteen shares with a high Dividend Yield. The shares constituting the Eurozone Value Index will be reconstituted on a quarterly basis. The Eurozone Growth Index is intended to reflect the total return performance of fifteen shares with a high Price Momentum and Long Term Growth Rate. 12 Months Volatlity 60% 50% US ValueGrowth Select Index 40% S&P 500 (TR) Index 30% 20% 10% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 15.9% -3.7% 0.9% -1.0% -3.5% 1.7% -6.3% 4.0% 1.3% -11.7% -8.8% Feb -9.5% 19.5% -3.6% -10.3% 3.4% -1.5% -0.6% -2.3% -1.8% -5.2% -11.7% Mar 9.4% 3.1% -5.9% 6.9% 0.9% -2.2% -1.9% 2.0% 0.6% 2.1% Apr 1.4% -14.2% 8.7% -12.1% 8.6% -2.6% -4.2% -0.2% 5.4% 7.6% May -2.2% -11.9% 1.6% -5.6% 8.3% 0.2% 2.5% -7.1% 3.2% 0.0% Jun 9.9% 13.2% -3.8% -6.9% 0.3% 2.4% -1.8% -0.3% 0.3% -10.2% Jul -1.1% -4.1% 0.2% -5.5% 6.3% -2.8% 3.6% 5.1% -0.1% 0.2% Aug 5.5% 13.0% -5.4% -0.8% 5.0% 0.3% -2.4% 1.7% 2.9% 2.9% Sep 0.5% -12.4% -11.1% -12.4% -2.8% -0.9% 1.3% 2.6% 5.1% -15.4% Oct 9.5% -8.1% 2.6% 10.6% 8.6% -0.5% -1.4% 3.4% 7.1% -15.8% Nov 12.5% -6.1% 8.6% 5.9% 0.6% 5.2% 5.9% 1.2% -6.7% -5.3% Dec 25.0% 3.6% 1.7% -6.2% 3.1% 3.2% -1.6% 2.0% -0.2% -0.6% Year 102.0% -13.9% -7.1% -33.8% 45.1% 2.2% -7.2% 12.1% 17.7% -42.8% -19.5% Absolute Return 3000 US ValueGrowth Select Index 2500 S&P 500 (TR) Index rebased to 1000 on (1/1/1999) 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs S&P 500 (TR) Index 2400 2200 Relative to S&P 500 (TR) Index rebased to 1000 2000 1800 1600 1400 1200 1000 800 Jan - Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan - Jan - Jan - 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 130% 110% US ValueGrowth Select Index 90% 70% S&P 500 (TR) Index 50% 30% 10% -10% -30% -50% -70% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 -2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD US ValueGrowth Select Index -11.7% -20.0% -46.0% -19.5% S&P 500 (TR) Index -11.0% -18.0% -42.7% -18.6% Excess Return vs S&P 500 (TR) Index -0.7% -2.0% -3.3% -0.9% Annualised 1year 3 years 5 years 10 years US ValueGrowth Select Index -45.1% -15.7% -10.5% -1.6% S&P 500 (TR) Index -44.8% -16.9% -8.5% -5.1% Excess Return vs S&P 500 (TR) Index -0.3% 1.2% -2.0% 3.5% Performance Analysis January 1999 - February 2009 Index Bench1 Growth over period -10.6% -40.2% Compounded annual growth -1.1% -4.9% Volatility 29.3% 21.2% Sharpe ratio (3.45%) - 0.16- 0.39 Maximum drawdown -62.7% -52.6% Start of max drawdown period Apr-2000 Nov-2007 End of max drawdown period Feb-2009 Feb-2009 Average monthly growth 0.1% -0.3% Best monthly return 25.0% 9.7% Worst monthly return -15.8% -16.9% % of months with gains 53.3% 54.1% 12 Month Correlation versus: S&P 500 (TR) Index 0.96 1.00 Index Facts Bloomberg ticker DBUSUSVG Reuters code .DBUSVG Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPX Index Index sponsor Deutsche Bank Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank US ValueGrowth Select Index was launched on May 31, 2001 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 27 |
![]() ![]() | Deutsche Bank ValueGrowth Select Total Return Index REUTERS: .DBVGS BLOOMBERG: DBEEVGS Index Description The ValueGrowth Select Index comprises either the Eurozone Value Index or the Eurozone Growth Index as the Index Constituent and is reconstituted on a quarterly basis based on which of the Selection Pool Indices has the higher trailing 12 month Sharpe Ratio on the relevant Index Selection Date. The Eurozone Value Index is intended to reflect the total return performance of fifteen shares with a high Dividend Yield. The shares constituting the Eurozone Value Index will be reconstituted on a quarterly basis. The Eurozone Growth Index is intended to reflect the total return performance of fifteen shares with a high Price Momentum and Long Term Growth Rate. 12 Months Volatlity 45% 40% 35% 30% 25% 20% 15% 10% 5% ValueGrowth Select Total Return Index 0% S&P 500 (TR) Index Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 3.4% -1.3% 6.3% -2.3% -4.9% 2.8% 1.5% 5.0% 4.4% -12.7% -5.3% Feb 0.8% 18.6% -2.9% -0.8% -0.5% 2.3% 2.3% 5.3% -1.0% -1.4% -7.1% Mar -0.3% -6.3% -3.9% 1.9% -5.6% -4.8% -0.5% 3.1% 4.6% -1.8% Apr -0.5% -0.8% 5.6% -1.2% 12.7% -2.9% -5.1% -1.3% 4.0% 3.4% May -0.1% -1.8% -1.4% -2.7% 3.9% 0.6% 4.0% -5.3% 5.3% 0.9% Jun 4.4% 4.2% -2.9% -13.0% 1.3% 0.6% 2.6% -1.2% -1.2% -13.6% Jul -1.6% 4.6% -1.3% -10.1% 5.7% -1.4% 3.1% 0.0% -3.9% -1.2% Aug 4.4% 3.5% -2.2% 2.9% 2.2% -0.7% -1.3% 4.2% -1.5% 4.3% Sep -3.2% 1.1% -11.6% -22.1% -9.2% 1.3% 4.8% 1.5% 1.0% -13.9% Oct 6.8% 5.2% 2.2% 15.8% 10.3% 3.0% -2.9% 4.0% 5.1% -15.1% Nov 12.9% -1.6% 5.4% 12.5% 1.5% 3.3% 4.9% -1.3% 0.7% -5.7% Dec 21.2% 2.0% 0.5% -12.2% 1.8% 4.0% 3.5% 3.1% -1.3% -6.2% Year 56.7% 28.6% -7.4% -31.9% 18.5% 8.2% 17.6% 18.1% 16.8% -49.2% -12.1% Absolute Return 3000 ValueGrowth Select Total Return Index 2500 S&P 500 (TR) Index rebased to 1000 on (1/1/1999) 2000 1500 1000 500 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs S&P 500 (TR) Index 2400 2200 2000 1800 1600 1400 1200 1000 Relative to S&P 500 (TR) Index rebased to 1000 800 Jan - Jan- Jan - Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan - 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 70% ValueGrowth Select Total Return Index 50% S&P 500 (TR) Index 30% 10% - -10% - -30% - -50% - -70% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD ValueGrowth Select Total Return Index -7.1% -17.5% -43.1% -12.1% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% Excess Return vs S&P 500 (TR) Index 3.5% -0.2% -1.3% 6.1% Annualised 1year 3 years 5 years 10 years ValueGrowth Select Total Return Index -48.2% -17.7% -5.7% 1.3% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% Excess Return vs S&P 500 (TR) Index -4.8% -2.6% 0.9% 4.7% Performance Analysis January 1999 - February 2009 Index Bench1 Growth over period 18.1% -28.8% Compounded annual growth 1.6% -3.3% Volatility 23.6% 21.2% Sharpe ratio (3.18%) - 0.07- 0.30 Maximum drawdown -55.9% -50.9% Start of max drawdown period Jun-2007 Nov-2007 End of max drawdown period Feb-2009 Feb-2009 Average monthly growth 0.3% -0.2% Best monthly return 21.2% 9.8% Worst monthly return -22.1% -16.8% % of months with gains 53.3% 55.7% 12 Month Correlation versus: S&P 500 (TR) Index 0.55 1.00 Index Facts Bloomberg ticker DBEEVGS Reuters code .DBVGS Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPTR Index Index sponsor Deutsche Bank Stocks weighting Equal Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank ValueGrowth Select Total Return Index was launched on January 03, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 28 |
![]() ![]() | Deutsche Bank Global Yield US Total Return Index REUTERS: .DBGYUSTR BLOOMBERG: DBUSGYTR Index Description The US Dividend Strategy Index is intended to reflect the total return performance of the fifteen shares in the S&P 500 Index having a high Dividend Yield relative to other shares in the S&P 500 Index. The dividend yield is calculated by dividing the Last Dividend by the Closing Price on the applicable Selection Date. The Last Dividend is defined as the last annual Dividend or the sum of the last four quarterly or two semi-annual Dividends during the last 12 months. 12 Months Volatlity 60% Global Yield US Total Return Index 50% S&P 500 (TR) Index DJ High Yield Select 10 (TR) Index 40% 30% 20% 10% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -1.7% -1.3% 4.5% -0.2% -2.6% 1.0% -3.9% 1.8% 1.2% 2.3% -17.7% Feb -1.1% -9.8% 1.0% 0.1% -4.1% 2.2% 1.8% 2.9% -1.6% -8.2% -12.9% Mar 2.1% 15.7% 0.8% 7.0% -3.2% -2.3% -2.5% 1.4% 0.5% -1.3% Apr 13.1% -1.2% 4.4% 0.4% 8.6% -0.2% 1.2% 2.7% 1.7% 4.0% May -1.6% 6.0% 2.4% 1.3% 9.7% -0.1% 1.2% -2.5% 3.2% -2.3% Jun 2.8% -12.6% -2.1% -5.3% 2.9% 0.3% -0.1% 2.2% -2.9% -12.6% Jul -4.3% 1.2% -0.1% -11.2% -3.8% 0.7% 1.7% 3.6% -4.8% 6.3% Aug -1.7% 11.1% -1.0% 4.8% -0.4% 3.2% -1.6% 1.0% 2.5% 2.9% Sep -5.8% 2.9% -5.2% -14.1% 0.6% 0.5% -0.1% 2.6% 1.6% -0.6% Oct 7.3% 2.6% -1.6% 3.1% 6.6% 0.2% -0.6% 1.8% -1.2% -12.0% Nov -5.6% -5.4% 3.2% 7.7% 1.4% 3.1% 3.5% -0.1% -5.4% -10.9% Dec -5.3% 10.0% 2.8% -2.3% 8.7% 5.1% 1.2% 4.3% -6.6% 3.8% Year -3.5% 16.3% 8.9% -10.7% 25.5% 14.4% 1.5% 23.7% -11.6% -27.2% -28.3% Absolute Return 2500 2000 1500 1000 500 Global Yield US Total Return Index S&P 500 (TR) Index rebased to 1000 on (1/1/1999) DJ High Yield Select 10 (TR) Index rebased to 1067 on (12/31/2001) 0 Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Cumulative Excess Index vs S&P 500 (TR) Index 1800 1600 1400 1200 1000 800 600 400 Relative to S&P 500 (TR) Index rebased to 1000 200 0 Jan - Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan - 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Annual Returns 40% 30% 20% 10% 0% -10% -30% -40% Global Yield US Total Return Index S&P 500 (TR) Index -50% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Global Yield US Total Return Index -12.9% -25.5% -42.0% -28.3% S&P 500 (TR) Index -10.6% -17.3% -41.8% -18.2% DJ High Yield Select 10 (TR) Index -15.6% -31.6% -48.7% -30.7% Excess Return vs S&P 500 (TR) Index -2.3% -8.2% -0.2% -10.1% Excess Return vs DJ High Yield Select 10 (TR) Index 2.7% 6.1% 6.8% 2.4% Annualised 1year 3 years 5 years 10 years Global Yield US Total Return Index -44.5% -18.3% -8.5% -0.7% S&P 500 (TR) Index -43.4% -15.1% -6.6% -3.4% DJ High Yield Select 10 (TR) Index -54.7% -18.7% -10.9% N/A Excess Return vs S&P 500 (TR) Index -1.1% -3.2% -1.8% 2.8% Excess Return vs DJ High Yield Select 10 (TR) Index 10.2% 0.4% 2.4% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Bench2 Growth over period -9.1% -28.8% -35.0% Compounded annual growth -0.9% -3.3% -5.1% Volatility 22.1% 21.2% 24.2% Sharpe ratio (3.45%) - 0.20- 0.32 - 0.36 Maximum drawdown -56.1% -50.9% -61.9% Start of max drawdown period Jun-2007 Nov-2007 Nov-2007 End of max drawdown period Feb-2009 Feb-2009 Feb-2009 Average monthly growth 0.1% -0.2% -0.3% Best monthly return 15.7% 9.8% 11.4% Worst monthly return -17.7% -16.8% -17.9% % of months with gains 55.7% 55.7% 54.1% 12 Month Correlation versus: S&P 500 (TR) Index 0.93 1.00 0.94 DJ High Yield Select 10 (TR) Index 0.95 0.94 1.00 Index Facts Bloomberg ticker DBUSGYTR Reuters code .DBGYUSTR Benchmark 1 S&P 500 (TR) Index Bloomberg ticker of Benchmark 1 SPTR Index Benchmark 2 DJ High Yield Select 10 (TR) Index Bloomberg ticker of Benchmark 2 MUTR Index Index sponsor Deutsche Bank Number of stocks 15 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank Global Yield US Total Return Index was launched on January 31, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 29 |
![]() ![]() | Deutsche Bank Global Yield Euro Total Return Index REUTERS: .DBGYEUTR BLOOMBERG: DBEEGYTR Index Description The Euro Dividend Strategy Index is intended to reflect the total return performance of twenty-five shares in the Dow Jones EURO STOXX Large Index having a high Dividend Yield relative to other shares in the Dow Jones EURO STOXX Large Index. The dividend yield is calculated by dividing the Last Dividend by the Closing Price on the applicable Selection Date. The Last Dividend is defined as the last annual Dividend or the sum of the last four quarterly or two semi-annual Dividends during the last 12 months. 12 Months Volatlity 60% Global Yield Euro Total Return Index 50% EuroSTOXX 50 (TR) Index 40% 30% 20% 10% 0% Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 1.2% -9.3% 2.5% 1.0% -3.8% 1.5% 2.7% 4.8% 2.5% -11.9% -14.6% Feb -0.2% 1.8% -4.5% 0.3% -1.5% 2.1% 3.4% 5.1% -1.7% -4.0% -19.7% Mar 6.8% 6.0% -2.4% 6.5% -5.2% -1.8% 0.4% 2.6% 2.6% -1.6% Apr 9.5% 2.2% 5.6% -0.4% 13.3% 2.8% -3.7% -0.3% 5.1% 8.4% May -2.9% 3.0% 1.3% -0.5% 1.7% 0.3% 4.3% -3.8% 3.4% -0.3% Jun 4.0% 1.2% -1.6% -6.6% 3.1% 3.4% 3.9% 0.9% -2.1% -14.1% Jul -2.4% 3.8% -1.7% -14.9% 4.4% -0.3% 3.3% 1.7% -3.4% -1.5% Aug 5.8% 2.9% -1.5% 4.3% 3.0% -0.4% 0.2% 4.4% -0.1% 3.3% Sep -1.7% -2.0% -12.1% -15.0% -5.6% 2.7% 5.7% 2.7% 0.8% -11.4% Oct 2.3% 5.9% 2.9% 7.9% 5.0% 3.3% -2.7% 4.1% 1.8% -23.1% Nov 5.1% -1.4% 3.9% 5.6% 1.8% 1.8% 3.8% -0.8% -2.5% -9.8% Dec 8.2% 0.8% 2.9% -6.6% 3.8% 2.4% 3.3% 3.5% -1.9% 3.5% Year 40.6% 14.9% -6.0% -19.9% 20.0% 19.4% 26.9% 27.4% 4.3% -50.1% -31.4% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Global Yield Euro Total Return Index -19.7% -29.0% -56.4% -31.4% EuroSTOXX 50 (TR) Index -11.6% -18.4% -40.7% -19.0% Excess Return vs EuroSTOXX 50 (TR) Index -8.1% -10.6% -15.6% -12.4% Annualised 1year 3 years 5 years 10 years Global Yield Euro Total Return Index -59.6% -25.5% -7.8% 0.0% EuroSTOXX 50 (TR) Index -45.1% -17.0% -4.8% -3.5% Excess Return vs EuroSTOXX 50 (TR) Index -14.5% -8.5% -3.0% 3.4% Performance Analysis January 1999 - February 2009 Index Bench1 Growth over period 0.6% -26.7% Compounded annual growth 0.1% -3.0% Volatility 22.5% 24.6% Sharpe ratio (3.18%) - 0.14- 0.25 Maximum drawdown -68.2% -59.9% Start of max drawdown period Jun-2007 May-2000 End of max drawdown period Feb-2009 Feb-2009 Average monthly growth 0.2% -0.1% Best monthly return 13.3% 14.7% Worst monthly return -23.1% -18.6% % of months with gains 60.7% 54.9% 12 Month Correlation versus: EuroSTOXX 50 (TR) Index 0.93 1.00 Index Facts Bloomberg ticker DBEEGYTR Reuters code .DBGYEUTR Benchmark 1 EuroSTOXX 50 (TR) Index Bloomberg ticker of Benchmark 1 SX5T Index Index sponsor Deutsche Bank Number of stocks 25 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank Global Yield Euro Total Return Index was launched on January 31, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 30 |
![]() ![]() | Deutsche Bank Global Yield AP Total Return Index REUTERS: .DBGYAPTR BLOOMBERG: DBAPGYTR Index Description The Asia Pacific Dividend Strategy Index is intended to reflect the total return performance of the ten shares in the MSCI Japan Index, MSCI Hong Kong Index, MSCI Singapore Index or MSCI Australia Index having a high Dividend Yield relative to other shares in those Indices. The dividend yield is calculated by dividing the Last Dividend by the Closing Price on the applicable Selection Date. The Last Dividend is defined as the last annual Dividend or the sum of the last four quarterly or two semi-annual Dividends during the last 12 months. Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -1.9% -8.7% -2.6% -1.2% 0.5% 3.1% -1.5% 3.8% 1.4% -6.6% -9.3% Feb -2.6% -5.2% 0.3% 3.6% 0.8% 1.7% 2.3% 3.4% 2.2% -1.1% -5.7% Mar 9.7% -1.8% -9.6% 1.1% 0.4% 2.1% -0.8% -1.2% 1.5% 0.1% Apr 14.2% 5.5% 3.4% 2.8% 2.9% -2.2% 0.3% 5.3% 0.4% 6.9% May -7.5% -1.5% 2.4% 4.7% 2.8% 0.7% 0.6% -3.9% 1.6% 1.6% Jun 4.1% 7.7% 0.1% -1.0% 0.0% 0.5% 1.2% -2.6% -2.1% -5.4% Jul 2.0% -2.4% -1.0% -2.7% -0.3% -0.2% 3.4% 1.5% 0.9% -0.8% Aug -1.0% 0.3% -2.0% 2.7% 2.1% 3.3% -1.2% 6.9% -1.4% -3.3% Sep 0.7% -0.8% -9.5% -1.5% 4.4% 1.4% 3.8% -0.5% 6.6% -6.2% Oct 1.3% 1.6% 4.3% 2.1% 2.1% 4.5% -3.3% 4.2% 5.6% -16.6% Nov 4.9% 2.2% 6.7% 1.2% 1.8% 5.0% 1.5% 4.2% -2.1% -10.6% Dec -0.9% 2.5% 1.6% -2.6% 4.8% 2.3% 1.1% 7.8% -1.2% 10.9% Year 23.3% -1.7% -7.0% 9.2% 24.5% 24.1% 7.4% 32.1% 13.7% -29.2% -14.5% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Global Yield AP Total Return Index -5.7% -5.1% -33.6% -14.5% MSCI Asia Pacific (TR) Index -9.4% -8.7% -39.3% -15.9% Excess Return vs MSCI Asia Pacific (TR) Index 3.7% 3.6% 5.7% 1.4% Annualised 1year 3 years 5 years 10 years Global Yield AP Total Return Index -34.5% -5.4% 3.0% 6.9% MSCI Asia Pacific (TR) Index -47.9% -14.7% -1.8% N/A Excess Return vs MSCI Asia Pacific (TR) Index 13.3% 9.4% 4.7% N/A Performance Analysis January 1999 - February 2009 Index Bench1 Growth over period 86.0% -3.6% Compounded annual growth 6.3% -0.5% Volatility 17.6% 21.1% Sharpe ratio (3.45%) 0.16 - 0.19 Maximum drawdown -41.5% -54.9% Start of max drawdown period Nov -2007 Nov -2007 End of max drawdown period Feb -2009 Feb -2009 Average monthly growth 0.6% 0.1% Best monthly return 14.2% 8.6% Worst monthly return -16.6% -19.7% % of months with gains 61.5% 55.1% 12 Month Correlation versus: MSCI Asia Pacific (TR) Index 0.88 1.00 Index Facts Bloomberg ticker DBAPGYTR Reuters code .DBGYAPTR Benchmark 1 MSCI Asia Pacific (TR) Index Bloomberg ticker of Benchmark 1 NDUEACAP Index Index sponsor Deutsche Bank Number of stocks 10 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency USD The Deutsche Bank Global Yield AP Total Return Index was launched on January 31, 2004 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 31 |
![]() ![]() | Deutsche Bank E-REV Europe Total Return Index REUTERS: .DBEEERET BLOOMBERG: DBEEERET Index Description The E-REV Europe Index is intended to reflect the total return performance of twenty shares with a high Estimate Revision Ratio selected from the Dow Jones Euro STOXX Large Index. The Estimate Revision Ratio for a share is defined as the number of upward revisions on the selection date minus the number of downward revisions on the selection date, divided by the number of estimates for such share. Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 3.2% -5.7% -0.5% -5.1% -4.3% 2.6% 1.9% 4.2% 1.9% -13.0% -4.1% Feb 0.0% 5.4% -4.6% -1.6% -3.8% 1.0% 3.2% 4.5% -1.3% -3.3% -9.4% Mar 2.5% 2.4% -2.0% 3.9% -4.3% -2.9% -1.6% 2.9% 3.9% -4.8% Apr 2.1% 3.7% 7.9% -3.7% 15.6% 0.3% -3.2% 0.1% 6.3% 4.8% May -0.4% -2.3% 0.3% -2.7% 0.5% -1.3% 2.6% -5.3% 3.7% 2.5% Jun 1.9% 2.0% -1.9% -6.2% 2.5% 2.6% 3.4% 0.6% 0.2% -11.0% Jul 0.2% 4.7% -2.7% -12.1% 4.8% -0.6% 4.7% 0.9% -4.4% -1.1% Aug 4.5% 3.9% -6.3% 2.3% 3.5% -0.7% -1.1% 4.9% -2.1% -0.9% Sep 0.1% -4.9% -7.0% -14.1% -7.4% 2.4% 6.4% 3.4% 1.7% -10.4% Oct 3.7% 4.6% 5.8% 7.1% 8.1% 0.3% -3.2% 1.6% 2.7% -8.8% Nov 11.6% -2.9% 3.5% 3.0% 1.2% 3.0% 4.5% 0.0% -5.9% -9.6% Dec 13.9% 1.5% 3.6% -10.0% 3.0% 1.8% 4.5% 4.6% -0.3% -0.8% Year 51.4% 12.2% -4.9% -34.6% 18.9% 8.6% 23.6% 24.3% 5.8% -44.9% -13.0% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD E-REV Europe Total Return Index -9.4% -13.8% -36.2% -13.0% EuroSTOXX 50 (TR) Index -11.6% -18.4% -40.7% -19.0% Excess Return vs EuroSTOXX 50 (TR) Index 2.2% 4.7% 4.5% 6.0% Annualised 1year 3 years 5 years 10 years E-REV Europe Total Return Index -43.1% -16.7% -4.0% 0.3% EuroSTOXX 50 (TR) Index -45.1% -17.0% -4.8% -3.5% Excess Return vs EuroSTOXX 50 (TR) Index 1.9% 0.3% 0.8% 3.7% Performance Analysis January 1999 - February 2009 Index Bench1 Growth over period 6.2% -26.7% Compounded annual growth 0.6% -3.0% Volatility 21.4% 24.6% Sharpe ratio (3.18%) - 0.12- 0.25 Maximum drawdown -56.0% -59.9% Start of max drawdown period Jul -2007 May -2000 End of max drawdown period Feb -2009 Feb -2009 Average monthly growth 0.2% -0.1% Best monthly return 15.6% 14.7% Worst monthly return -14.1% -18.6% % of months with gains 58.2% 54.9% 12 Month Correlation versus: EuroSTOXX 50 (TR) Index 0.85 1.00 Index Facts Bloomberg ticker DBEEERET Reuters code .DBEEERET Benchmark 1 EuroSTOXX 50 (TR) Index Bloomberg ticker of Benchmark 1 SX5T Index Index sponsor Deutsche Bank Number of stocks 20 Stocks weighting Equal Rebalancing frequency Quarterly Index Currency EUR The Deutsche Bank E-REV Europe Total Return Index was launched on April 25, 2003 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 32 |
![]() ![]() | REUTERS: .DBERJT BLOOMBERG: DBAPERJT Deutsche Bank E-REV Japan Total Return Index Index Description Absolute Return The E-REV Japan Index is intended to reflect the total return performance of twenty shares with a high Estimate Revision Ratio selected from the TOPIX 100 Index. The Estimate Revision Ratio for a share is defined as the number of upward revisions on the selection date 1600 minus the number of downward revisions on the selection date, divided 1400 by the number of estimates for such share. 12 Months Volatility Cumulative Excess Index vs TOPIX 100 (TR) Index Monthly Performance Annual Returns 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 0.5% -6.3% 4.9% -9.5% -5.8% -0.6% -1.0% 4.6% 1.8% -11.4% -9.6% Feb -0.1% -1.3% -10.0% 0.4% -2.6% 3.1% 4.6% -3.6% 2.1% -1.2% -8.7% Mar 13.2% 7.6% 3.0% 2.3% -3.2% 6.8% -0.1% 6.9% 1.3% -10.8% Apr 6.5% -2.3% 5.9% 3.2% -0.6% -1.6% -4.9% -0.1% 0.3% 12.0% May -1.5% -6.4% -2.4% 2.8% 4.2% -1.9% 3.2% -9.1% 4.4% 4.3% Jun 8.7% 6.3% 2.5% -5.9% 5.6% 1.5% 2.0% 1.6% 3.5% -3.1% Jul 1.1% -7.8% -8.4% -7.4% 3.1% -5.5% 1.7% 0.0% -1.9% -2.8% Aug -3.5% -0.2% -10.1% -2.5% 1.7% -1.3% 6.2% 4.4% -6.2% -4.3% Sep 4.8% -5.7% -2.9% -1.5% -3.9% -2.4% 14.8% 1.6% 6.7% -18.9% Oct 2.8% -3.0% 2.9% -5.5% 2.3% 0.1% 1.2 % 2.0% -0.9% -22.3% Nov 6.3% -1.3% -1.7% 6.7% -2.1% 1.1% 7.2% -0.6% -10.2% -6.3% Dec 15.9% -6.8% 0.4% -4.4% 4.2% 3.9% 6.4% 7.2% -3.4% 1.1% Year 67.7% -25.1% -16.4% -20.5% 2.0% 2.5% 48.1% 14.8% -3.6% -50.9% -17.5% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD E-REV Japan Total Return Index -8.7% -16.6% -50.7% -17.5% TOPIX 100 (TR) Index -4.3% -9.1% -42.3% -11.5% Excess Return vs TOPIX 100 (TR) Index -4.4% -7.5% -8.4% -6.0% Annualised 1 year 3 years 5 years 10 years E-REV Japan Total Return Index -53.8% 23.7% -7.9% -5.3% TOPIX 100 (TR) Index -44.7% 22.2% -6.8% -4.4% Excess Return vs TOPIX 100 (TR) Index -9.1% -1.4% -1.0% -0.9% Performance Analysis January 1999 - February 2009 Index Facts Growth over period -42.1% -33.4% Bloomberg ticker DBAPERJT Compounded annual growth -5.2% -3.9% Reuters code .DBERJT Volatility 24.3% 24.5% Benchmark 1 TOPIX 100 (tr Index Sharpe ratio (3.18%) 0.22 0.17 Bloomberg ticker of Benchmark 1 TPXD100 Index Maximum drawdown -65.8% -62.7% Index sponsor Deutsche Bank Start of max drawdown period Jul-2007 Jan-2000 Stocks weighting 20 End of max drawdown period Feb-2009 Feb-2009 Rebalancing frequency Equal Average monthly growth -0.3% -0.2% Index Currency JPY Best monthly return 15.9% 14.9% Worst monthly return -22.3% -21.4% % of months with gains 50.0% 51.6% 12 Month Correlation versus: DJ STOXX 600 (TR) Index 0.96 1.00 The Deutsche Bank E-REV Japan Total Return Index was launched on April 25, 2003 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 33 |
![]() ![]() | REUTERS: .DSLE BLOOMBERG: DBEESLE Deutsche Bank SectorLeader Total Return Index Index Description The Sectorleader Index is intended to reflect the total return performance of four market sector indices with a high Moving Average Momentum Ratio contained in the Dow Jones Euro STOXX market sector return indices as included in the sector classifications as published by STOXX Limited. The Moving Average Momentum Ratio is the quotient of the arithmetic average of the Closing Levels of such Selection Pool Index for the twenty week days preceding and including such selection date and the arithmetic average of the closing levels of such Selection Pool Index for the two hundred week days preceding and including such selection date. The four Selection Pool Indices with the highest Moving Average Momentum Ratio are selected to Absolute Return 12 Month Volatility Cumulative Excess Index vs DJ STOXX 600 (TR) Index Monthly Performance Annual Returns 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 3.6% -2.8% -5.6% -2.2% -4.2% 7.3% 1.8% 4.6% 3.7% -10.2 -6.4% Feb -3.4% 15.8% -2.1% 0.6% -4.9% 0.1% 4.8% 4.0% -0.1% -2.4% -7.1% Mar -2.2% -8.9% -7.6% 1.0% -3.8% -2.4% 0.8% 3.2% 5.3% -4.0% Apr 4.0% -2.9% 7.4% -6.0% 10.3% -0.9% -2.0% 0.5% 1.2% 5.4% May 0.6% -6.7% 1.4% -1.8% 4.0% -0.5% 6.7% -5.7% 4.6% 2.4% Jun 7.7% 2.3% -5.5% -9.6% 2.3% 1.9% 1.4% 3.1% 0.5% -6.7% Jul 0.9% 2.0% -0.8% -12.6% 3.5% -0.6% 4.6% 0.7% -3.2% -7.1% Aug 2.9% 2.6% -2.9% -1.3% 1.9% -0.4% 0.4% 3.1% -1.2% -1.0% Sep -2.8% 1.1% -9.1% -14.8% -9.1% 2.6% 6.1% 5.4% 3.2% -17.9% Oct 4.7% 1.0% 1.9% 4.6% 9.8% 1.5% -6.4% 4.6% 1.9% -19.6% Nov 10.4% -1.7% 3.2% 0.2% 0.2% 1.7% 2.4% 0.5% -7.5% -3.2% Dec 18.5% 0.0% -0.5% -9.7% 2.5% 2.6% 4.1% 5.3% -1.2% -2.8% Year 52.3% -0.3% -19.5 -42.3% 11.4% 13.3% 26.9% 32.9% 6.7% -51.7 -13.1% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD SectorLeader Total Return Index -7.1% -15.5% -46.1% -13.1% DJ STOXX 600 (TR) Index -9.3% -15.7% -39.3% -12.4% Excess Return vs DJ STOXX 600 (TR) Index 2.2% 0.2% -6.7% -0.6% Annualised 1 year 3 years 5 years 10 years SectorLeader Total Return Index -52.2% -18.2% -4.4% -3.9% DJ STOXX 600 (TR) Index -43.9% -16.9% -4.0% -2.8% Excess Return vs DJ STOXX 600 (TR) Index -8.2% -1.3% -0.4% -1.1% Performance Analysis January 1999 - February 2009 Index Facts Growth over period -32.7% -21.7% Bloomberg ticker DBEESLE Compounded annual growth -3.8% -2.4% Reuters code .DSLE Volatility 22.3% 20.8% Benchmark 1 DJ STOXX 600 (TR) Index Sharpe ratio (3.18%) 0.31 0.27 Bloomberg ticker of Benchmark 1 SXXR Index Maximum drawdown -63.9% -54.3% Index sponsor Deutsche Bank Start of max drawdown period Mar-2000 June-2007 Stocks weighting Market Cap End of max drawdown period May-2007 Feb-2009 Rebalancing frequency Quarterly Average monthly growth -0.2% -0.1% Index Currency EUR Best monthly return 18.5% 11.0% Worst monthly return -19.6% -14.1% % of months with gains 55.7% 54.9% 12 Month Correlation versus: DJ STOXX 600 (TR) Index 0.91 1.00 The Deutsche Bank SectorLeader Total Return Index was launched on December 01, 2000 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 34 |
![]() ![]() | REUTERS: .DBCOUS BLOOMBERG: DBAPCOU Deutsche Bank ChinaOpportunity Index Total Return Index USD Index Description The China Opportunity USD Index is intended to reflect the total return performance of thirty ordinary shares selected from the Hang Seng China Enterprise Index, the Hang Seng China-Affiliated Corporations Index, the Shanghai B-Share Stock Price Index, the Shenzhen B-Share Stock Price Index and the MSCI China Index in accordance with the following criteria: large market capitalisation, high market turnover, low price to book ratio, low price to earnings ratio and high dividend yield. Monthly Performance Annual Returns 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -18.2% 6.8% 1.6% 3.1% 11.0% 4.8% -2.6% 28.6% 4.3% -14.4% 0.5% Feb 1.3% -9.3% 14.3% 2.7% 1.7% 3.7% 10.9% -0.9% 4.2% 4.8% -0.3% Mar 11.5% 5.9% 32.8% 2.2% -1.5% -5.2% -6.3% 1.8% 4.9% -16.1% Apr 21.3% 3.0% 11.1% 0.8% -0.3% -12.2% -2.1% 1.1% 16.7% 8.7% May 14.1% 6.6% 21.3% 1.2% 11.4% 0.8% -4.8% 7.0% 14.9% -3.4% Jun 54.3% 15.1% -1.0% 2.6% 2.8% -3.0% 2.1% -1.0% 2.6% -15.3% Jul -13.3% 14.0% -17.3% -2.6% 8.2% -1.1% -1.2% -5.9% 8.2% 0.3% Aug -2.3% 3.9% -11.2% -3.0% 6.2% -2.1% 1.2% 3.2% -1.5% -11.8% Sep -6.1% -11.3% -6.8% -4.9% 1.4% 7.1% 3.6% 5.3% 14.5% -15.9% Oct -8.8% -2.9% 16.9% -5.6% 14.3% -8.5% -14.5% 2.8% 7.8% -31.4% Nov -2.8% 0.1% 2.5% 2.5% 2.9% 6.4% 3.0% 9.2% -13.9% 12.6% Dec 0.3% 8.7% -3.9% 0.1% 11.4% -1.8% 1.4% 12.9% -1.1% 12.4% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD ChinaOpportunity Index Total Return Index USD HANG SENG China (TR) Index (USD) -0.3% 12.6% -26.9% 0.2% Excess Return vs HANG SENG China (TR) -3.2% -4.3% -40.4% -12.6% Index (USD) 2.9% 16.9% 13.6% 12.8% 1 year 3 years 5 years 10 years ChinaOpportunity Index Total Return Index USD HANG SENG China (TR) Index (USD) -51.9% 2.4% -0.4% 2.0% 23.1% Excess Return vs HANG SENG China (TR) -50.4% 6.3% 0.4% -6.7% 17.8% Index (USD) -1.5% 5.3% Performance Analysis January 1999 - February 2009 Index Facts Growth over period 563.1% 58.8% Bloomberg ticker DBAPCOU Compounded annual growth 20.5% 11.1% Reuters code .DBCOUS Volatility 29.2% 38.3% Benchmark 1 HANG SENG China (TR) Index (USD) Sharpe ratio (3.45%) 0.58 0.20 Bloomberg ticker of Benchmark 1 HSI 21 Index (USD) Maximum drawdown -70.9% -66.4% Index sponsor Deutsche Bank Start of max drawdown period Nov-2007 Nov-2007 Number of stocks 30 End of max drawdown period Feb-2009 Feb-2009 Stocks weighting Equal Average monthly growth 2.1% 1.6% Rebalancing frequency Quarterly Best monthly return 54.3% 21.0% Index Currency USD Worst monthly return -31.4% -27.0% % of months with gains 61.5% 59.6% 12 Month Correlation versus: HANG SENG China (TR) Index (USD) 0.75 1.00 The Deutsche Bank ChinaOpportunity Index Total Return Index USD was launched on July 31, 2001 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 35 |
![]() ![]() | REUTERS: .DBEIIUEP BLOOMBERG: DBUSIU Deutsche Bank Islamic US EquityBuilder Total Return Index Index Description Absolute Return 6000 Islamic US EquityBuilder Total Return Index The Islamic US EquityBuilder Index Total Return intends to reflect the total return performance of 30 stocks with a high earnings estimate revision ratio selected from the Dow Jones Islamic United States Large Cap Index. The Estimate Revision Ratio is defined as the quotient between (i) the number of Upward Revisions per share on the reference selection date minus the number of Downwards Revisions per share on the reference selection date and (ii) the number of Estimates per share on the reference selection date. There is a country restriction so that no more than five shares from the same country will constitute the Index. 12 Months Volatility Cumulative Excess Index vs DJ Islamic Market US Index (TR) Monthly Performance Annual Returns 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 9.7% 1.2% 3.5% -1.1% -3.2% -1.9% -3.2% 1.6% 2.9% -9.3% -2.9% Feb -7.6% 13.1% -15.6% -1.8% -1.1% 1.3% 0.6% -1.6% -2.0% 4.5% -8.9% Mar 6.6% 11.2% -11.9% 2.3% 0.8% 0.7% -1.5% 0.6% 2.1% -0.6% Apr 1.2% -0.3% 12.8% -5.7% 9.0% 0.1% -3.5% 0.4% 5.1% 2.5% May 1.7% -7.0% 0.9% 0.0% 6.7% 1.7% 3.5% -4.2% 2.9% 2.8% Jun 16.7% 12.9% -3.9% -6.6% 1.8% 1.5% 2.4% -0.4% -0.9% -2.0% Jul 0.9% -0.9% 0.6% -9.0% 1.1% -3.2% 4.9% -1.2% -3.4% -6.6% Aug 4.3% 15.3% -4.0% 2.2% 4.7% 1.0% 0.3% 0.7% 2.0% 0.7% Sep 0.6% -6.8% -7.1% -10.7% -2.6% 3.1% 3.4% 0.8% 6.5% -12.8% Oct 11.5% -4.5% 1.5% 8.0% 6.3% -0.6% -1.2% 5.0% 2.1% -16.1% Nov 8.4% -18.2% 1.2% -0.4% 1.7% 4.2% 3.0% 1.7% -4.3% -9.6% Dec 13.0% 5.1% 0.2% -1.5% 2.6% 2.1% 0.3% -1.1% 1.2% 5.3% Year 87.5% 16.4% -22.2% -22.9% 30.9% 10.3% 9.0% 2.2% 14.5% -36.4% -11.6% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Islamic US EquityBuilder Total Return -8.9% -6.9% -38.4% -11.6% Index DJ Islamic Market US Index (TR) -8.9% -12.5% -37.5% -13.6% DJ Islamic Mkt US Large Cap Index (TR) -9.1% -13.0% -35.4% -13.8% Excess Return vs DJ Islamic Market US 0.0% 5.5% -0.9% 2.0% Index (TR) Excess Return vs DJ Islamic Mkt US Large 0.2% 6.1% -3.0% 2.2% Cap Index (TR) 1 year 3 years 5 years 10 years Annualised Islamic US EquityBuilder Total Return -40.7% -13.0% -4.4% 3.0% Index DJ Islamic Market US Index (TR) -37.3% -10.9% -4.3% -3.5% DJ Islamic Mkt US Large Cap Index (TR) -35.9% -10.0% -4.4% N/A Excess Return vs DJ Islamic Market US -3.4% -2.1% -0.1% 6.5% Index (TR) Excess Return vs DJ Islamic Mkt US Large -4.8% -3.0% 0.0% N/A Cap Index (TR) Performance Analysis January 1999 - February 2009 Index Facts Index Bench1 Bench2 Bloomberg ticker Growth over period 35.7% -29.0% -1.6% Reuters code Compounded annual growth 3.0% -3.3% -0.3% Benchmark 1 Volatility 24.5% 22.3% 19.5% Bloomberg ticker of Benchmark 1 Sharpe ratio (3.45%) - -0.02 0.30 - 0.19 Benchmark 2 Maximum drawdown -56.7% -57.2% -42.7% Bloomberg ticker of Benchmark 2 Start of max drawdown Sep-2000 Apr-2000 Nov-2007 Index sponsor period End of max drawdown Feb-2009 Feb-2009 Feb-2009 Number of stocks period Average monthly growth 0.4% -0.2% 0.0% Stocks weighting Best monthly return 16.7% 10.4% 5.1% Rebalancing frequency Worst monthly return -18.2% -15.7% -14.2% Index Currency % of months with gains 60.7% 50.0% 57.1% 12 Month Correlation versus: DJ Islamic Market US Index (TR) 0.97 1.00 1.00 DJ Islamic Mkt US Large Cap 0.96 1.00 1.00 Index (TR) Performance Analysis January 1999 - February 2009 Index DBUSIU Growth over period .DBEIIUEP Compounded annual growth DJ Islamic Market US Index (TR) Volatility IMUS Index Sharpe ratio (3.45%) DJ Islamic Mkt US Large Cap Index (TR) Maximum drawdown IMUSL Index Start of max drawdown Deutsche Bank period End of max drawdown 30 period Average monthly growth Equal Best monthly return Quarterly Worst monthly return USD % of months with gains 12 Month Correlation versus: DJ Islamic Market US Index (TR) DJ Islamic Mkt US Large Cap Index (TR) The Deutsche Bank Islamic US EquityBuilder Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 36 |
![]() ![]() | REUTERS: .DBEIIEEP BLOOMBERG: DBEEIE Deutsche Bank Islamic Europe EquityBuilder Total Return Index Index Description The Islamic Europe EquityBuilder Total Return Index intends to reflect the equal-weighted total return performance of 20 stocks with a high Estimate Revision Ratio selected from the Dow Jones Islamic Europe Large Cap Index. The Estimate Revision Ratio is defined as the quotient between (i) the number of Upward Revisions per share on the reference selection date minus the number of Downwards Revisions per share on the reference selection date and (ii) the number of Estimates per share on the reference selection date. There is a country restriction so that no more than five shares from the same country will constitute the Index. 12 Months Volatility Cumulative Excess Index vs DJ Islamic Europe Index (TR) Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 14.2% -3.7% -0.3% 1.4% -5.6% 0.5% 1.1% 6.9% 2.3% -9.9% 1.6% Feb 5.9% 10.5% -7.4% 0.3% -2.9% 0.0% 5.0% 0.8% -2.8% 2.0% -9.0% Mar -0.5% 2.9% -0.3% 5.9% -2.6% -1.7% -1.7% 5.7% 3.2% -3.5% Apr 3.2% 0.0% 6.6% -5.2% 6.9% 1.9% -1.4% 2.0% 3.3% 8.0% May -0.8% -4.3% 2.4% -4.6% 0.5% 0.2% 5.5% -7.3% 2.3% 1.9% Jun 6.6% 2.8% -0.4% -6.1% 1.5% 1.7% 5.7% -0.1% 1.0% -5.4% Jul 0.4% 4.2% -2.0% -10.7% 3.0% -1.4% 2.1% -0.3% -1.9% -5.7% Aug 5.1% 7.0% -0.6% 0.1% 1.9% -1.9% 1.5% 1.5% -0.4% -2.1% Sep 1.4% -4.3% -6.3% -9.9% -2.7% 2.9% 7.8% 0.1% 5.9% -19.7% Oct 4.4% 2.5% 1.9% 10.2% 5.3% -0.3% -5.0% 2.3% 1.7% -13.4% Nov 19.0% -4.5% 1.4% 2.7% 1.6% 4.0% 2.3% 0.5% -4.4% -5.5% Dec 15.5% -0.6% 3.8% -5.3% 3.7% 0.7% 4.8% 5.3% 0.1% -3.6% Year 101.8% 11.9% -2.0% -21.0% 10.3% 6.6% 30.5% 18.1% 10.2% -46.1% -7.6% Absolute Return Cumulative Excess Index vs DJ Islamic Europe Index (TR) Annual Returns Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Islamic Europe EquityBuilder Total Return -9.0% -11.0% -41.5% -7.6% Index DJ Islamic Europe Index (TR) -9.0% -12.1% -44.5% -17.1% DJ Islamic Mkt EUR Large Cap Index (TR) -8.7% -13.4% -35.0% -10.3% Excess Return vs DJ Islamic Europe Index -0.1% 1.1% 3.0% 9.4% (TR) Excess Return vs DJ Islamic Mkt EUR Large -0.4% 2.4% -6.6% 2.7% Cap Index (TR) 1 year 3 years 5 years 10 years Annualised Islamic Europe EquityBuilder Total Return -45.9% -15.6% -2.1% 3.7% Index DJ Islamic Europe Index (TR) -49.2% -12.5% -3.6% N/A DJ Islamic Mkt EUR Large Cap Index (TR) -38.2% -13.9% -4.0% N/A Excess Return vs DJ Islamic Europe Index 3.3% -3.1% 1.5% N/A (TR) Excess Return vs DJ Islamic Mkt EUR Large -7.6% -1.7% 1.9% N/A Cap Index (TR) Performance Analysis January 1999 - February 2009 Index Facts Index Bench1 Bench2 Bloomberg ticker Growth over period 74.4% -25.4% -6.5% Reuters code Compounded annual growth 5.6% -3.1% -1.1% Benchmark 1 Volatility 20.8% 22.4% 20.2% Bloomberg ticker of Benchmark 1 Sharpe ratio (3.18%) -0.12 0.28 - 0.21 Benchmark 2 Maximum drawdown -52.3% -54.2% -46.0% Bloomberg ticker of Benchmark 2 Start of max drawdown Nov-2007 Nov-2007 Nov-2007 Index sponsor period End of max drawdown Feb-2009 Feb-2009 Feb-2009 Number of stocks period Average monthly growth 0.6% -0.1% 0.0% Stocks weighting Best monthly return 19.0% 9.6% 7.8% Rebalancing frequency Worst monthly return -19.7% -18.9% -13.1% Index Currency % of months with gains 59.8% 50.9% 58.6% 12 Month Correlation versus: DJ Islamic Europe Index (TR) 0.91 1.00 0.93 DJ Islamic Mkt EUR Large Cap 0.94 0.93 1.00 Index (TR) Index DBEEIE Growth over period .DBEIIEEP Compounded annual growth DJ Islamic Europe Index (TR) Volatility IMEU Index Sharpe ratio (3.18%) DJ Islamic Mkt EUR Large Cap Index (TR) Maximum drawdown DJIEUL Index Start of max drawdown Deutsche Bank period End of max drawdown 20 period Average monthly growth Equal Best monthly return Quarterly Worst monthly return EUR % of months with gains 12 Month Correlation versus: DJ Islamic Europe Index (TR) DJ Islamic Mkt EUR Large Cap Index (TR) The Deutsche Bank Islamic Europe EquityBuilder Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 37 |
![]() ![]() | REUTERS: .DBEIIAEP BLOOMBERG: DBAPIAEP Deutsche Bank Islamic Asia Pacific EquityBuilder Total Return Index Index Description Absolute Return Islamic Asia Pacific EquityBuilder Total Return Index The Islamic Asia Pacific EquityBuilder Index intends to reflect the total return performance of 20 stocks with a high Estimate Revision Ratio selected from the Dow Jones Islamic Asia Pacific Large Cap Index. The Estimate Revision Ratio is defined as the quotient between (i) the number of Upward Revisions per share on the reference selection date minus the number of Downwards Revisions per share on the reference selection date and (ii) the number of Estimates per share on the reference selection date. Absolute Return Cumulative Excess Index vs DJ I slamic Mkt ASIA/PAC Index (TR) 12 Months Volatility 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan -1.4% -0.3% 4.3% -4.8% -1.1% 0.4% 1.4% 6.5% -1.5% -7.8% -8.2% Feb -0.6% 1.6% -11.1% 2.7% 1.4% 1.0% 4.8% -3.7% 4.6% 9.1% -13.1% Mar 14.1% 5.0% -4.5% 4.3% -4.1% 3.2% -4.0% 2.7% 1.9% -7.2% Apr 5.8% -7.1% 9.1% 4.4% 3.1% -2.8 %-2.8% 5.8% 3.3% 4.5% May -2.2% -1.4% 2.6% 1.8% 4.9% -1.3% -0.2% -7.2% 0.2% Jun 16.8% 9.9% -5.2% -4.3% 5.2% 3.8% 5.7% -1.8% 2.6% -5.0% Jul 10.2% -6.4% -6.6% -6.7% 5.5% -1.7% 2.5% -0.2% 5.2% -4.3% Aug 4.4% 12.4% -2.6% -0.9% 11.0% 0.2% 4.6% 1.5% -1.0% -7.3% Sep 10.9% -6.2% -9.8% 4.3% 2.7% 8.0% 0.3% 11.0% -15.8% 7.5% Oct 15.7% -10.2% -8.5% 4.0% -4.0% 4.5% 5.1% -3.6% 1.8% -28.0% Nov 14.2% 0.8% 2.5% 4.2% 1.7% 7.8% 2.6% 0.9% -4.1% -2.9% Dec 15.6% -8.4% -5.0% -2.7% 5.0% 3.5% 5.7% 3.5% -4.6% 9.3% Year 163.5% -14.4% -18.8% -15.8% 49.1% 23.6% 26.6% 9.8% 26.6% -44.3% -20.2% Annual Returns Historical performance Through February 2009 1 Month 3 Months 6 Months YTD Islamic Asia Pacific EquityBuilder -13.1% -12.8% -48.6% -20.2% Total Return Index DJ Islamic Mkt ASIA/PAC Index (TR) -7.2% -6.6% -39.9% -12.7% DJ Islamic Mkt ASIA/PAC Large Cap Index -7.2% -6.7% -39.2% -12.5% (TR) Excess Return vs DJ Islamic Mkt -5.9% -6.2% -8.7% -7.5% ASIA/PAC Index (TR) Excess Return vs DJ Islamic Mkt ASIA/PAC -5.9% -6.1% -9.4% -7.7% Large Cap Index (TR) 1 year 3 years 5 years 10 years Islamic Asia Pacific EquityBuilder -55.9% -15.6% -1.0% 8.5% Total Return Index DJ Islamic Mkt ASIA/PAC Index (TR) -49.3% -15.6% -5.0% 0.8% DJ Islamic Mkt ASIA/PAC Large Cap Index -48.5% -14.6% -4.7% N/A (TR) Excess Return vs DJ Islamic Mkt -6.6% 0.0% 4.1% 7.7% ASIA/PAC Index (TR) Excess Return vs DJ Islamic Mkt ASIA/PAC -7.5% -1.0% 3.7% N/A Large Cap Index (TR) Performance Analysis January 1999 - February 2009 Index Facts Index Bench1 Bench2 Bloomberg ticker Growth over period 122.1% 5.3% 15.5% Reuters code Compounded annual growth 8.2% 0.5% 2.5% Benchmark 1 Volatility 23.7% 21.9% 22.0% Bloomberg ticker of Benchmark 1 Sharpe ratio (3.45%) 0.20 - -0.13 0.04 Benchmark 2 I Maximum drawdown -59.4% -61.5% -53.6% Bloomberg ticker of Benchmark 2 Start of max drawdown Nov-2007 Apr-2000 Nov-2007 Index sponsor period End of max drawdown Feb-2009 Feb-2009 Feb-2009 Number of stocks period Average monthly growth 0.9% 0.2% 0.3% Stocks weighting Best monthly return 16.8% 17.5% 7.8% Rebalancing frequency Worst monthly return -28.0% -19.5% -19.2% Index Currency % of months with gains 58.2% 54.1% 58.6% 12 Month Correlation versus: DJ Islamic Mkt ASIA/PAC Index 0.83 1.00 1.00 (TR) DJ Islamic Mkt ASIA/PAC Large Cap 0.83 1.00 1.00 Index (TR Index DBAPIAEP Growth over period .DBEIIAEP Compounded annual growth DJ Islamic Mkt ASIA/PAC Index (TR) Volatility DJIAP Index Sharpe ratio (3.45%) I Islamic Mkt ASIA/PAC Large Cap Index (TR) Maximum drawdown DJIAPL Index Start of max drawdown Deutsche Bank period End of max drawdown 20 period Average monthly growth Equal Best monthly return Quarterly Worst monthly return USD % of months with gains 12 Month Correlation versus: DJ Islamic Mkt ASIA/PAC Index (TR) DJ Islamic Mkt ASIA/PAC Large Cap Index (TR The Deutsche Bank Islamic Asia Pacific EquityBuilder Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 38 |
![]() ![]() | REUTERS: .DBEIIGEP BLOOMBERG: DBGLIGEP Deutsche Bank Islamic Global EquityBuilder Total Return Index Index Description The Islamic Global EquityBuilder Total Return Index intends to reflect the total return performance of a weighted combination of the Europe, US and Asia Pacific Islamic EquityBuilder Indices. 12 Months Volatility 40% 35% 30% 25% 20% 15% 10% 5% 0% Jan-Jan-Jan2000 2001 2002 Monthly Performance 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Jan 8.2% -1.5% 1.9% -2.0% -3.1% -1.0% -2.3% 5.3% 1.5% -8.9% -5.0% Feb -3.2% 9.6% -12.4% -0.2% -1.0% 0.5% 3.4% -1.8% -0.7% 5.3% -9.9% Mar 4.9% 7.2% -8.0% 4.1% -1.2% 0.0% -2.7% 3.2% 2.7% -1.3% Apr 2.0% -2.8% 10.1% -2.7% 8.7% -0.6% -2.9% 3.3% 5.0% 4.0% May -0.2% -4.7% 0.3% 0.0% 6.2% 0.4% 2.1% -5.0% 1.8% 2.8% Jun 13.0% 10.2% -3.0% -4.3% 1.5% 2.8% 3.3% -0.6% 0.4% -3.2% Jul 3.5% -1.3% -0.3% -9.4% 2.5% -2.7% 3.7% -0.8% -1.0% -6.2% Aug 4.1% 10.6% -1.4% 0.2% 3.3% 0.2% 1.9% 1.2% 0.5% -3.4% Sep 2.9% -6.5% -6.6% -9.3% 0.5% 3.7% 5.0% 0.1% 8.6% -16.7% Oct 9.5% -4.5% 1.6% 6.8% 6.2% 1.3% -3.1% 3.8% 2.7% -19.8% Nov 11.2% -10.0% 1.3% 1.5% 2.3% 6.3% 2.2% 2.5% -3.1% -7.2% Dec 14.1% 3.6% 0.3% -1.2% 5.3% 2.7% 2.7% 1.6% -0.3% 6.1% Year 94.4% 7.3% -16.7% -16.3% 34.9% 14.0% 13.4% 13.1% 19.1% -41.6% -14.4% Historical Performance Through February 2009 1 Month 3 Months 6 Months YTD Islamic Global EquityBuilder Total Return -9.9% -9.2% -43.7% -14.4% Index DJ Islamic Mkt World Large Cap Index (TR) -8.7% -11.7% -39.0% -14.3% DJ Islamic Market Index (TR) -8.4% -11.1% -40.6% -13.9% Excess Return vs DJ Islamic Mkt World -1.2% 2.5% -4.7% -0.2% Large Cap Index (TR) Excess Return vs DJ Islamic Market Index -1.5% 1.9% -3.1% -0.5% (TR) 1 year 3 years 5 years 10 years Islamic Global EquityBuilder Total Return -48.0% -13.3% -2.6% 5.0% Index DJ Islamic Mkt World Large Cap Index (TR) -42.4% -11.2% -3.9% N/A DJ Islamic Market Index (TR) -43.7% -12.1% -4.0% -2.6% Excess Return vs DJ Islamic Mkt World -5.6% -2.2% 1.3% N/A Large Cap Index (TR) Excess Return vs DJ Islamic Market Index -4.3% -1.2% 1.4% 7.6% (TR) Performance Analysis January 1999 - February 2009 Index Facts Index Bench1 Bench2 Bloomberg ticker Growth over period 70.7% 5.3% -23.0% Reuters code Compounded annual growth 5.4% 0.9% -2.5% Benchmark 1 Volatility 18.1% 16.7% 18.0% Bloomberg ticker of Benchmark 1 Sharpe ratio (3.45%) 0.11 - -0.15 0.33 Benchmark 2 Maximum drawdown -51.7% -47.7% -56.9% Bloomberg ticker of Benchmark 2 Start of max drawdown Nov-2007 Nov-2007 Apr-2000 Index sponsor period End of max drawdown Feb-2009 Feb-2009 Feb-2009 Number of stocks period Average monthly growth 0.6% 0.1% -0.1% Stocks weighting Best monthly return 14.1% 6.1% 12.0% Rebalancing frequency Worst monthly return -19.8% -16.0% -18.2% Index Currency % of months with gains 58.2% 67.1% 54.9% 12 Month Correlation versus: DJ Islamic Mkt World Large Cap 0.96 1.00 0.99 Index (TR) DJ Islamic Market Index (TR) 0.97 0.99 1.00 Index DBGLIGEP Growth over period .DBEIIGEP Compounded annual growth DJ Islamic Mkt World Large Cap Index (TR) Volatility DJILRG Index Sharpe ratio (3.45%) DJ Islamic Market Index (TR) Maximum drawdown DJIM Index Start of max drawdown Deutsche Bank period End of max drawdown 70 period Average monthly growth Equal Best monthly return Quarterly Worst monthly return USD % of months with gains 12 Month Correlation versus: DJ Islamic Mkt World Large Cap Index (TR) DJ Islamic Market Index (TR) The Deutsche Bank Islamic Global EquityBuilder Total Return Index was launched on November 01, 2002 and has no prior operating history. All pro-forma performance data shown prior to the inception date is simulated and was calculated by means of retroactive application of the Index model. Past performance is no guarantee of future performance. Source: Bloomberg or Deutsche Bank AG/London 39 |
![]() ![]() | Appendix A -Bloomberg Codes Index Bloomberg: Reuters: Benchmark 1 Bloomberg: CROCI US+ CROCI .CROCI S&P 500 (TR) SPTR CROCI US Plus II DBUSCPII S&P 500 (TR) SPTR CROCI Euro+ CRCEU .CRCEU EuroSTOXX 50 (TR) SX5T CROCI Euro II DBEECRII EuroSTOXX 50 (TR) SX5T CROCI Japan+ CRCJP .CRCJP TOPIX 100 (TR) TPXD100 CROCI Japan II DBAPCRII TOPIX 100 (TR) TPXD100 US Growth DBUSUSG .DBEIUSG S&P 500/Citigroup SPTRSGX Growth (TR) US Value DBUSUSV .DBEIUSV S&P 500/Citigroup SPTRSVX Value (TR) Euro Growth DBEEEUGR .DBEIEUGR DJES LC Growth Euro SLGT (TR) Euro Value DBEEEUVA .DBEIEUVA DJES LC Value Euro SLVE (TR) UK Growth DBEEUKGT .DBUKGT FTSE 100 (TR) TUKXG UK Value DBEEUKVT .DBUKVT FTSE 100 (TR) TUKXG Japan Growth DBAPJGT .DBJGT TOPIX 100 (TR) TPXD100 Japan Value DBAPJVT .DBJVT TOPIX 100 (TR) TPXD100 S&P X-Alpha TR SPXADT .SPXADT MSCI World (TR) NDDUWI S&P X-Alpha ER SPXADE .SPXADE MSCI World (TR) NDDUWI X-Alpha TR DBGLXAT MSCI World (TR) NDDUWI X-Alpha ER DBGLXAE MSCI World (TR) NDDUWI ImpAct Dollar Equity DBVEUSDB .DBVEUSDB S&P 500 (TR) SPTR Volatility Index Liquid Alpha USD 5 TR DBLAUT5J .DBLAUT5J MSCI World (TR) NDDUWI Liquid Alpha USD 5 ER DBLAUE5J .DBLAUE5J MSCI World (TR) NDDUWI US ValueGrowth Select DBUSUSVG .DBUSVG S&P 500 (TR) SPTR ValueGrowth Select DBEEVGS .DBVGS S&P 500 (TR) SPTR Global Yield US TR DBUSGYTR .DBGYUSTR S&P 500 (TR) SPTR Global Yield Euro TR DBEEGYTR .DBGYEUTR EuroSTOXX 50 (TR) SX5T Global Yield AP TR DBAPGYTR .DBGYAPTR MSCI Asia Pacific NDUEACAP (TR) E-REV Europe TR DBEEERET .DBEEERET EuroSTOXX 50 (TR) SX5T E-REV Japan TR DBAPERJT .DBERJT TOPIX 100 (TR) TPXD100 SectorLeader TR DBEESLE .DSLE DJ STOXX 600 (TR) SXXR ChinaOpportunity TR USD DBAPCOU .DBCOUS HANG SENG China Ent (TR) (USD) HSI 21 (USD) Islamic US EquityBuilder DBUSIU .DBEIIUEP DJ Islamic Mkt US LCAP IMUSL (TR) Islamic Europe DBEEIE .DBEIIEEP DJ Islamic Mkt EUR DJIEUL EquityBuilder LCAP (TR) Islamic Asia Pacific DBAPIAEP .DBEIIAEP DJ Islamic Mkt DJIAP EquityBuilder ASIA/PAC (TR) Islamic Global DBGLIGEP .DBEIIGEP DJ Islamic Mkt World DJILRG EquityBuilder LCAP (TR) Index Benchmark 2 Bloomberg: CROCI US+ S&P 500/Citigroup Value SPTRSVX (TR) CROCI US Plus II S&P 500/Citigroup Value SPTRSVX (TR) CROCI Euro+ MSCI EMU (TR) NDDUEMU (EUR) CROCI Euro II MSCI EMU (TR) NDDUEMU (EUR) CROCI Japan+ MSCI Japan (TR) NDDUJN (JPY) CROCI Japan II MSCI Japan (TR) NDDUJN (JPY) US Growth S&P 500 (TR) SPTR US Value S&P 500 (TR) SPTR Euro Growth DJES Large Euro (TR) LCXT Euro Value DJES Large Euro (TR) LCXT UK Growth MSCI UK Growth (TR) NLDGUK UK Value MSCI UK Value (TR) NDLVUK Japan Growth MSCI Japan Growth (TR) NAGLJN Japan Value MSCI Japan Value (TR) NAVLJN S&P X-Alpha TR HFRX US Equity Market HFRXEMN Neutral (TR) S&P X-Alpha ER HFRX US Equity Market HFRXEMN Neutral (TR) X-Alpha TR HFRX US Equity Market HFRXEMN Neutral (TR) X-Alpha ER HFRX US Equity Market HFRXEMN Neutral (TR) ImpAct Dollar Equity iBoxx USD Treasury (TR) ITRROV Volatility Index Liquid Alpha USD 5 TR iBoxx USD Treasury (TR) ITRROV Liquid Alpha USD 5 ER iBoxx USD Treasury (TR) ITRROV US ValueGrowth Select ValueGrowth Select Global Yield US TR DJ High Yield Select 10 MUTR (TR) Global Yield Euro TR Global Yield AP TR E-REV Europe TR E-REV Japan TR SectorLeader TR ChinaOpportunity TR USD Islamic US EquityBuilder DJ Islamic Market US IMUS (TR) Islamic Europe DJ Islamic Europe (TR) IMEU EquityBuilder Islamic Asia Pacific DJ Islamic Market APAC DJIAPL EquityBuilder LCAP (TR) Islamic Global DJ Islamic Market (TR) DJIM EquityBuilder Source: Bloomberg or Deutsche Bank AG/London 40 |
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