![]() | Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-162195 Dated January 12, 2010 Deutsche Bank Liquid Commodity Index Suite of Mean Reversion Indices January 2010 Deutsche Bank 1 |
![]() | Mean Reversion Indices Executive Summary DBLCI - Mean Reversion (MR) Index DBLCI - Mean Reversion Enhanced (MRE) Index DBLCI - Mean Reversion Enhanced 15 (MRE15) Index DBLCI - Mean Reversion "Plus" (MR+) Index Appendix Types of Returns in a Commodity Index Mean Reversion Momentum Optimized Yield Target Volatility Comparative Statistics Market Data Sources Important Considerations Deutsche Bank 2 |
![]() | Mean Reversion Indices Deutsche Bank 3 |
![]() | Executive Summary The Evolution of Commodity Markets o Commodities are an asset class in their own right and exhibit unique characteristics such as historically low correlation with traditional asset classes and a positive correlation with inflation o Deutsche Bank is one of the largest providers of non-benchmark commodity indices with a comprehensive suite of commodity index products aimed at enhancing beta returns and extracting market neutral alpha returns in the commodity space o An investment in a commodity index is a simple way for investors to gain exposure to the asset class while insulating them from the mechanics of rolling future contracts and posting collateral o As the commodity market has evolved, Deutsche Bank has created new indices that may benefit from the special features of the asset class Deutsche Bank 4 |
![]() | Enhanced Beta Introduction o The Deutsche Bank suite of Mean Reversion indices seeks to enhance returns by altering traditional commodity index construction rules related to: Relative value asset allocation (Mean Reversion); Market momentum filter (Momentum); Futures Rolling Methodology (Optimized Yield); Controlled Risk (Target Volatility) Mean Reversion Momentum Optimized Yield Target Volatility DBLCI-MR x DBLCI-MR "Plus" x x DBLCI-MR Enhanced x x DB MR Enhanced TV 15 x x x --------------------------------------------------------------------------------------------------- Deutsche Bank 5 |
![]() | DBLCI - Mean Reversion (MR) Excess Return Relative Value Asset Allocation Key Features o Components: Tracks the performance of 6 commodity futures: Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn and Wheat o Transparency: The DBLCI-MR is a rules-based index with the closing level and weights published daily on Bloomberg (DBLCMMCL) and DBIQ o Dynamic Weights: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among six of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture o Rebalancing: A rebalancing will occur whenever one of the commodities undergoes a "trigger event." A trigger event occurs when the one-year moving average price of the commodity trades +/- 5% than the five-year moving average o Roll Frequency and Method: Fixed monthly roll for Energy components, fixed yearly roll for Metals and Agriculture components Deutsche Bank 6 |
![]() | DBLCI - Mean Reversion (MR) Excess Return Performance Analysis Index Returns* Annual Returns* [graphic omitted] [graphic omitted] Performance Analysis* Historical 12 Month Volatility* [graphic omitted] January 2000 - December 2009 DBLCI-MR DJUBS S&P-GSCI Annualized Returns 10.4% 4.2% 2.2% Volatility 19.9% 18.2% 26.3% Sharpe Ratio 0.52 0.23 0.08 Maximum Drawdown -62.8% -57.1% -71.6% Start Date Jul-08 Jul-08 Jul-08 End Date NA NA NA Max Monthly Consecutive Loss -59.0% -54.5% -67.8% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 84%/-56.3% 39.9%/-52.7% 74.8%/-64.8% Rolling 3 Months 33.3%/-43.1% 24.7%/-39.7% 34.4%/-53.4% Average Monthly Returns 1.0% 0.5% 0.5% % Months with Gains 58.3% 55.8% 54.2% Correlation DJUBS 0.81 1.00 0.92 S&P-GSCI 0.79 0.92 1.00 * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MR has been retrospectively calculated and did not exist prior to February 28, 2003. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MR Index would have been lower than the Index as a result of fees and/or costs. Statistics shown is for excess return indices Deutsche Bank 7 |
![]() | DBLCI - MEAN REVERSION (MR) EXCESS RETURN (CONT'D) Performance Analysis MONTHLY RETURNS ANALYSIS* - ------------------------------------------------------------------------------------------------------------- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 - ------------------------------------------------------------------------------------------------------------- Jan 4.52% -1.92% -0.03% 6.30% 4.32% -0.54% 5.16% 1.82% 2.28% -10.77% Feb 2.40% -1.18% 3.60% 5.33% 7.09% 6.77% 3.15% 4.33% 11.81% -2.58% Mar -1.04% -5.22% 7.20% -7.21% 2.03% 1.03% -1.24% -2.72% 0.07% 4.40% Apr -3.46% 2.71% 0.18% -5.06% 1.52% -4.11% 3.00% 0.27% 4.03% 1.66% May 3.92% -3.48% -1.00% 9.09% 3.20% 1.03% 3.58% 0.18% 6.17% 12.25% Jun -0.80% -2.74% 3.45% -0.89% -3.36% -0.41% -3.88% 5.00% 8.18% 4.54% Jul -7.03% 3.67% 0.62% 3.02% 5.15% 3.77% -0.74% 5.22% -7.93% 3.11% Aug 3.92% 1.46% 6.32% 4.26% -0.30% -5.72% -1.80% -0.71% -8.25% -2.06% Sep -0.68% -5.34% 2.63% -5.14% 7.62% 1.78% 3.48% 10.46% -10.28% -0.31% Oct -1.50% -2.56% -4.33% 4.37% 2.45% -4.23% 15.12% 9.40% -20.22% 6.06% Nov 1.60% -0.45% -0.27% 2.94% -3.37% -1.10% 8.98% -2.19% -11.90% 2.77% Dec 0.92% -2.20% 7.05% 3.84% -2.37% 5.47% 0.14% 5.86% -11.36% 2.94% - ------------------------------------------------------------------------------------------------------------- ANN.RTN. 2.16% -16.35% 27.73% 21.21% 25.85% 2.96% 39.22% 42.49% -35.43% 22.29% - ------------------------------------------------------------------------------------------------------------- HISTORICAL WEIGHTING* 100% 90% 80% 70% 60% [graphic omitted] 50% 40% 30% 20% 10% 0% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Energy Industrial metals Precious metals Agriculture INDEX CONSTITUENTS* UNDERLYING BASE WEIGHT CURRENT WEIGHT Light Crude 35.00% 37.33% Corn 11.25% 4.56% Wheat 11.25% 6.21% Gold 10.00% 0.88% Heating Oil 20.00% 28.73% Aluminium 12.50% 22.30% * Source: Deutsche Bank, 2010, Bloomberg. The DBLCI-MR Index has been retrospectively calculated and did not exist prior to February 28, 2003. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MR Index would have been lower than the Index as a result of fees and/or costs. Weights of Index Constituents are as of 31-Dec-2009 Deutsche Bank 8 |
![]() | DBLCI - Mean Reversion Enhanced (MRE) Excess Return Relative Value Asset Allocation with Optimized Roll Methodology Key Features o Components: Tracks the performance of 12 commodity futures: Aluminum, Nickel, Zinc, Copper, Lead, WTI Crude Oil, Natural Gas, Gold, Silver, Corn, Wheat and Soybeans o Transparency: The DBLCI-MRE is a rules-based index with the closing level and weights published daily on Bloomberg (DBLCMREU) and DBIQ o Dynamic Weights and Diversification: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among twelve of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture. Single commodity allocations are subject to a 35% cap (1) in order to avoid concentration and ensure adequate diversification o Rebalancing: A rebalancing will occur if on the monthly rebalance date, the one-year moving average price of one or more commodities trade +/- 5% than the five-year moving average o Optimizing Roll Returns: Deutsche Bank's proprietary Optimum Yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months Deutsche Bank 9 |
![]() | DBLCI - Mean Reversion Enhanced (MRE) Excess Return Performance Analysis Index Returns* Annual Returns* [graphic omitted] [graphic omitted] Performance Analysis* Historical 12 Month Volatility* [graphic omitted] January 2000 - December DBLCI-MR 2009 Enhanced DBLCI-MR DJUBS Annualized Returns 11.9% 10.4% 4.2% Volatility 17.9% 19.9% 18.2% Sharpe Ratio 0.66 0.52 0.23 Maximum Drawdown -55.9% -62.8% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date NA NA NA Max Monthly Consecutive Loss -53.8% -59.0% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 71.2%/-46.5% 84%/-56.3% 39.9%/-52.7% Rolling 3 Months 36%/-37.4% 33.3%/-43.1% 24.7%/-39.7% Average Monthly Returns 1.1% 1.0% 0.5% % Months with Gains 60.0% 58.3% 55.8% Correlation DBLCI-MR 0.86 1.00 0.81 DJUBS 0.81 0.81 1.00 * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MRE has been retrospectively calculated and did not exist prior to July 25, 2008. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MRE Index would have been lower than the Index as a result of fees and/or costs. Statistics shown is for excess return indices Deutsche Bank 10 |
![]() | DBLCI - MEAN REVERSION ENHANCED (MRE) EXCESS RETURN (CONT'D) Performance Analysis MONTHLY RETURNS ANALYSIS* - ----------------------------------------------------------------------------------------------------------- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 - ----------------------------------------------------------------------------------------------------------- Jan 4.22% -2.56% 0.80% 7.09% 3.57% -0.81% 4.87% 3.03% 4.92% -8.36% Feb 1.47% -0.85% 2.18% 0.36% 8.30% 8.49% 1.43% 4.50% 12.53% -2.81% Mar 0.38% -5.16% 5.56% -5.26% 3.55% -0.45% -0.33% -2.76% -0.90% 6.13% Apr -3.11% 1.73% -1.28% -0.72% -1.78% -2.30% 4.18% -0.81% 4.62% 4.37% May 2.03% -1.96% 1.29% 6.28% 2.93% 2.07% 2.31% 2.88% 4.98% 14.28% Jun -0.93% -1.09% 2.67% 0.15% -3.30% -0.10% -2.58% -0.21% 10.49% 1.91% Jul -4.56% 4.20% -1.49% 2.57% 2.07% 3.49% 0.25% 0.17% -14.39% 7.63% Aug 3.80% -0.37% 4.30% 4.20% 1.39% -5.20% -2.47% -1.82% -6.81% 0.92% Sep -0.08% -3.13% -0.81% 0.38% 3.80% 2.55% 0.68% 8.83% -10.44% 2.02% Oct -2.61% -3.04% -0.15% 6.91% 3.38% -3.15% 10.49% 7.06% -21.75% 2.54% Nov 1.36% 0.70% 0.70% 1.12% -0.46% 0.20% 8.75% -2.76% -5.49% 0.72% Dec 0.01% -1.32% 0.99% 6.72% -1.88% 5.97% -1.28% 6.63% -1.75% 4.60% - ----------------------------------------------------------------------------------------------------------- ANN.RTN. 1.59% -12.41% 15.52% 33.19% 23.16% 10.43% 28.54% 26.67% -26.29% 37.53% - ----------------------------------------------------------------------------------------------------------- HISTORICAL WEIGHTING* 100% 80% 60% [graphic omitted] 40% 20% 0% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 NG Zinc Gold Aluminum WTI Nickel Soy Copper Corn Silver Wheat Lead DBLCI-MR ENHANCED INDEX CONSTITUENTS* UNDERLYING BASE WEIGHT CURRENT WEIGHT DBLCI-OY CL (WTI Sweet Light Crude) 35.00% 33.93% DBLCI NG (Natural Gas) 5.00% 19.21% DBLCI-OY MNI (Primary Nickel) 3.60% 12.73% DBLCI-OY MZN (Zinc) 3.60% 9.30% DBLCI-OY MAL (Aluminium) 3.60% 8.37% DBLCI-OY MCU (Copper - Grade A) 3.60% 3.64% DBLCI-OY W (Wheat) 8.34% 3.20% DBLCI-OY C (Corn) 8.33% 3.25% DBLCI-OY MPB (Standard Lead) 3.60% 1.97% DBLCI-OY S (Soybeans) 8.33% 2.33% DBLCI-OY GC (Gold) 13.60% 1.12% DBLCI-OY SI (Silver) 3.40% 0.94% * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MRE has been retrospectively calculated and did not exist prior to July 25, 2008. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MRE Index would have been lower than the Index as a result of fees and/or costs. Weights of Index Constituents are as of 31-Dec-2009 Deutsche Bank 11 |
![]() | DBLCI - Mean Reversion Enhanced TV15 (MRE15) Excess Return Relative Value Asset Allocation with Optimized Roll Methodology and Target Volatility Key Features o Components: Tracks the performance of 12 commodity futures: Aluminum, Nickel, Zinc, Copper, Lead, WTI Crude Oil, Natural Gas, Gold, Silver, Corn, Wheat and Soybeans o Transparency: The DBLCI-MRE15 is a rules-based index with the closing level and weights published daily on Bloomberg (DBLCMTEU) and DBIQ o Dynamic Weights and Diversification: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among twelve of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture. Single commodity allocations are subject to a 35% cap (1) in order to avoid concentration problem and ensure adequate diversification o Rebalancing: A rebalancing will occur if on the monthly rebalance date, the one-year moving average price of one or more commodities trade +/- 5% than the five-year moving average o Optimizing Roll Returns: Deutsche Bank's proprietary optimum yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months o Target Volatility: Exposure to the DBLCI-MRE is reset monthly in order to target a realized volatility close to 15%. Exposure = Max (300%, 15% target volatility / 90 day realized volatility) Note: 1 No commodity can have a weight higher than 35%. Only one commodity can have a weight higher than 20% Deutsche Bank 12 |
![]() | DBLCI - Mean Reversion Enhanced TV15(MRE TV15) Excess Return Performance Analysis Index Returns* Annual Returns* [graphic omitted] [graphic omitted] Performance Analysis* Historical 12 Month Volatility* [graphic omitted] January 2000 - December DBLCI-MRE DBLCI-MR 2009 TV 15 Enhanced DJUBS Annualized Returns 14.4% 11.9% 4.2% Volatility 15.8% 17.9% 18.2% Sharpe Ratio 0.91 0.66 0.23 Maximum Drawdown -35.0% -55.9% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date NA NA NA Max Monthly Consecutive Loss -33.5% -53.8% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Feb-09 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 79%/-28.4% 71.2%/-46.5% 39.9%/-52.7% Rolling 3 Months 25%/-22.2% 36%/-37.4% 24.7%/-39.7% Average Monthly Returns 1.2% 1.0% 0.5% % Months with Gains 60.0% 60.0% 55.8% Correlation DBLCI-MR Enhanced 0.88 1.00 0.81 DJUBS 0.77 0.81 1.00 * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MRE TV15 has been retrospectively calculated and did not exist prior to September 28, 2009. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MRE TV15 Index would have been lower than the Index as a result of fees and/or costs. Statistics shown is for excess return indices Deutsche Bank 13 |
![]() | DBLCI-MEAN REVERSION ENHANCED TV15(MRE TV15) EXCESS RETURN Performance Analysis (Cont'd) MONTHLY RETURNS ANALYSIS* - ---------------------------------------------------------------------------------------------------------------- 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 - ---------------------------------------------------------------------------------------------------------------- Jan 5.98% -5.05% 1.28% 14.98% 4.39% -0.94% 7.94% 2.82% 4.03% -2.90% Feb 2.69% -1.70% 3.31% 0.60% 8.89% 10.19% 2.17% 3.88% 9.64% -0.97% Mar 0.53% -11.55% 8.97% -8.58% 4.29% -0.49% -0.38% -2.38% -0.71% 2.52% Apr -3.62% 3.20% -2.21% -0.98% -1.83% -2.48% 4.48% -0.70% 2.74% 1.77% May 2.31% -3.49% 2.13% 8.98% 2.65% 2.15% 2.53% 2.95% 3.02% 6.86% Jun -1.18% -1.70% 4.60% 0.20% -2.80% -0.11% -2.68% -0.23% 6.37% 0.89% Jul -6.58% 6.56% -2.48% 3.21% 1.61% 3.33% 0.21% 0.16% -10.28% 3.42% Aug 5.38% -0.48% 6.39% 5.52% 1.20% -4.38% -1.92% -1.69% -4.31% 0.43% Sep -0.12% -4.08% -1.07% 0.55% 3.63% 2.25% 0.55% 8.49% -5.80% 0.94% Oct -4.04% -4.00% -0.20% 11.40% 4.16% -3.21% 8.94% 7.02% -11.95% 1.38% Nov 2.34% 1.16% 1.11% 1.91% -0.56% 0.26% 7.41% -2.84% -2.27% 0.40% Dec 0.01% -2.09% 1.83% 8.33% -2.33% 9.24% -1.13% 5.65% -0.62% 2.73% - ---------------------------------------------------------------------------------------------------------------- ANN.RTN. 2.96% -21.83% 25.61% 53.97% 25.18% 15.77% 30.96% 24.84% -11.82% 18.57% - ---------------------------------------------------------------------------------------------------------------- HISTORICAL EXPOSURE OF MRE TV15 TO MRE AND VOLATILITY OF MRE* 250% 50% 200% 40% 150% [graphic omitted] 30% 100% 15.5% 20% 15% 50% 10% 0% 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Participation(L) 3m Vol(R) Average vol(R) Target vol(R) MRE TV15 CONSTITUENTS* CURRENT MRE WEIGHT 65.50% - ------------------------------------------------------------------- MRE UNDERLYING BASE WEIGHT CURRENT WEIGHT - ------------------------------------------------------------------- DBLCI-OY CL (WTI Sweet Light Crude) 35.00% 33.93% DBLCI NG (Natural Gas) 5.00% 19.21% DBLCI-OY MNI (Primary Nickel) 3.60% 12.73% DBLCI-OY MZN (Zinc) 3.60% 9.30% DBLCI-OY MAL (Aluminium) 3.60% 8.37% DBLCI-OY MCU (Copper - Grade A) 3.60% 3.64% DBLCI-OY W (Wheat) 8.34% 3.20% DBLCI-OY C (Corn) 8.33% 3.25% DBLCI-OY MPB (Standard Lead) 3.60% 1.97% DBLCI-OY S (Soybeans) 8.33% 2.33% DBLCI-OY GC (Gold) 13.60% 1.12% DBLCI-OY SI (Silver) 3.40% 0.94% * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MRE TV15 has been retrospectively calculated and did not exist prior to September 28, 2009. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MRE TV15 Index would have been lower than the Index as a result of fees and/or costs. Weights of Index Constituents are as of 31-Dec-2009 Deutsche Bank 14 |
![]() | DBLCI - Mean Reversion "Plus" (MR+) Excess Return Relative Value Asset Allocation with a Market Momentum Filter Key Features o Components: Tracks the performance of 6 commodity futures: Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn and Wheat o Transparency: The DBLCI-MR+ is a rules-based index with the closing level, weights and exposure published daily on Bloomberg (DBLCMPUE) and DBIQ o Dynamic Weights: Seeks to underweight relatively expensive commodities and overweight relatively cheap commodities among six of the most liquid futures contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture o Dynamic Allocation: The "Plus" strategy aims to preserve excess returns generated by the DBLCI-MR by adjusting its exposure monthly to reflect upward and downward momentum cycles o Rebalancing: A rebalancing will occur whenever one of the commodities undergoes a "trigger event." A trigger event occurs when the one-year moving average price of the commodity trades +/- 5% than the five- year moving average o Roll Frequency and Method: Fixed monthly roll for Energy components, fixed yearly roll for Metals and Agriculture components Deutsche Bank 15 |
![]() | DBLCI - Mean Reversion "Plus" (MR+) Excess Return Performance Analysis Index Returns* Annual Returns* [graphic omitted] [graphic omitted] Performance Analysis* Historical 12 Month Volatility* [graphic omitted] January 2000 - December 2009 DBLCI-MR+ DBLCI-MR DJUBS Annualized Returns 11.0% 10.4% 4.2% Volatility 14.5% 19.9% 18.2% Sharpe Ratio 0.76 0.52 0.23 Maximum Drawdown -33.0% -62.8% -57.1% Start Date Jul-08 Jul-08 Jul-08 End Date NA NA NA Max Monthly Consecutive Loss -27.1% -59.0% -54.5% Start Date Jul-08 Jul-08 Jul-08 End Date Nov-08 Feb-09 Feb-09 Max/Min Returns Rolling 12 Months 81.8%/-31.4% 84%/-56.3% 39.9%/-52.7% Rolling 3 Months 28.4%/-26.7% 33.3%/-43.1% 24.7%/-39.7% Average Monthly Returns 0.9% 1.0% 0.5% % Months with Gains 52.5% 58.3% 55.8% Correlation DBLCI-MR 0.85 1.00 0.81 DJUBS 0.68 0.81 1.00 * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MR+ has been retrospectively calculated and did not exist prior to June 20, 2007. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. The performance of any investment product based on the DBLCI-MR Index would have been lower than the Index as a result of fees and/or costs. Statistics shown is for excess return indices Deutsche Bank 16 |
![]() | DBLCI - MEAN REVERSION "PLUS" (MR +) EXCESS RETURN (CONT'D) Performance Analysis MONTHLY RETURNS ANALYSIS* - ------------------------------------------------------------------------------------------------------------------ 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 - ------------------------------------------------------------------------------------------------------------------ Jan 4.52% -0.82% -0.37% 6.00% 4.32% -0.37% 3.00% 1.18% 2.24% -0.59% Feb 2.40% -0.54% 0.59% 5.33% 6.67% 3.29% 2.93% 4.41% 11.81% -0.09% Mar -1.04% -0.43% 1.82% -7.21% 2.24% 0.00% -1.24% -2.72% 0.07% 0.00% Apr -3.25% 0.19% 0.56% -4.81% 1.52% -3.91% 3.00% 0.32% 4.17% -0.38% May 3.26% 0.00% -1.06% 7.06% 3.16% 0.30% 3.58% -0.39% 5.70% 2.83% Jun -0.72% 0.00% 0.96% -0.72% -3.08% -0.28% -3.88% 4.11% 8.18% 1.72% Jul -5.41% 0.00% 0.46% 2.41% 4.96% 1.94% -0.74% 5.22% -7.93% -1.69% Aug 1.14% 0.00% 6.32% 3.38% -0.30% -4.54% -1.50% -0.99% -8.32% -2.17% Sep 0.12% -0.71% 2.63% -4.70% 7.12% 0.69% 0.30% 9.93% -5.79% -0.17% Oct -0.96% -0.11% -4.22% 3.50% 2.31% -2.10% 8.63% 9.40% -7.37% 4.19% Nov 1.02% 0.00% -0.63% 1.68% -3.34% -0.54% 8.98% -2.19% -1.04% 2.37% Dec 0.22% 0.00% 5.88% 3.84% -3.07% 1.17% -0.11% 5.76% 0.00% 2.71% - ------------------------------------------------------------------------------------------------------------------ ANN.RTN. 0.90% -2.40% 13.21% 15.56% 24.07% -4.53% 24.53% 38.57% -0.67% 8.87% - ------------------------------------------------------------------------------------------------------------------ HISTORICAL EXPOSURE OF MR+ TO MR* 100% 1,400 1,200 80% 1,000 60% [graphic omitted] 800 600 40% 400 20% 200 0% 0 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Participation(L) DBLCI - MR(R) MR+ CONSTITUENTS* CURRENT MR WEIGHT 91.67% MR UNDERLYING BASE WEIGHT CURRENT WEIGHT Light Crude 35.00% 37.33% Corn 11.25% 4.56% Wheat 11.25% 6.21% Gold 10.00% 0.88% Heating Oil 20.00% 28.73% Aluminium 12.50% 22.30% * Source: Deutsche Bank, 2010, Bloomberg. DBLCI-MR+ has been retrospectively calculated and did not exist prior to D] June 20, 2007. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past D] performance is not necessarily indicative of how the Index will perform in the future. The performance of any D] investment product based on the DBLCI-MR Index would have been lower than the Index as a result of fees and/or costs. Weights of Index Constituents are as of 31-Dec-2009 Deutsche Bank 17 |
![]() | Appendix Deutsche Bank 18 |
![]() | Types of Returns in a Commodity Index Total Return vs. Excess Return Stock and Bond returns come from two sources: Underlying price movement Dividends (Stocks) or Coupons (Bonds) Commodity returns come from three sources: Collateral Yield --> Interest earned on capital held as collateral Spot Return --> Change in front month futures contract Roll Return --> Process of buying a futures contract at a premium (negative roll) or discount (positive roll) to the spot price Excess Return = Spot Return + Roll Return Total Return = Excess Return + Collateral Yield Collateral yield of 3-Month U.S. Treasury Bills is added to the DBLCI - MR Excess Return to create the DBLCI-MR Total Return Deutsche Bank 19 |
![]() | Mean Reversion o The mean reversion methodology overweights "cheap" commodities and underweights "expensive" commodities based on their respective 5y moving average price vs. 1y moving average price Historical Commodity Allocation of the DBLCI-MR since 2006 [graphic omitted] [graphic omitted] DBLCI-MR Out-performance to DBLCI Year Outperformance 2005 -10.93% 2006 36.15% 2007 7.82% 2008 4.17% 2009 YTD 8.24% Heavy investment in Corn and Wheat as agricultural commodities are the most historically undervalued. Captures the 2006 Ags rally. Underweighting in Energy also contributed to good performance as energy prices declined significantly in 2006 In 2008 the index increased its weight to Aluminum and reduced its weight to Energy, which was then at historical highs. In retrospect, while the under-weighting in Energy was a good decision, the overweight in Aluminum was not, as Aluminum prices declined significantly In 2009 the index was overweight in Aluminum and Oil and gained from rallies in both. However, it was underweight in Gold and missed out on the Gold rally. Note: Past performance is not a guarantee of future results. The Mean Reversion strategy may not always result in outperformance to benchmark commodity indices. As a long-only commodity index, if all underlying commodity prices fall, the DBLCI-Mean Reversion will also likely result in a negative performance Source: Bloomberg. Data is as of 30-Nov-2009. DBLCI and DBLCI-MR are calculated retrospectively prior to their Index Live Dates. Deutsche Bank 20 |
![]() | Momentum o DBLCI-MR Plus(TM) Excess Return is a dynamic allocation strategy based on the performance of the DBLCI-MR(TM) Excess Return Index o Mandatory rebalancing takes place on a monthly basis o At each monthly rebalancing, the allocation in the DBLCI-MRTM Excess Return strategy is determined based on the performance of the DBLCI-MR(TM) Excess Return over the previous 12 months o Twelve performance indicators are built, reflecting the performance of DBLCI-MR(TM) Excess Return over previous 12-months,11-months, 10-months ... 3-months, 2-months, 1-month o The allocation or component weight to commodities is proportional to the number of times the DBCLI-MR(TM) Excess Return performance is greater than zero o Rules based momentum strategy with no human intervention, only execution o The allocation can be as low as 0% and as high as 100% [graphic omitted] Retrospective lookback over 12 periods Deutsche Bank 21 |
![]() | Optimized Yield Contract selection to create an "Optimal Yield" Contract selection and roll return can have a significant impact in the overall return of the index o Deutsche Bank's proprietary optimum yield ("OY") technology rolls into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months [graphic omitted] Longer dated contracts typically have less negative carry when the curve slopes upward (contango) [graphic omitted] Shorter dated contracts typically offer greater positive carry when the curve slopes downward (backwardation) Deutsche Bank 22 |
![]() | Optimized Yield (Cont'd) Annualized Energy sector Base metals sector Excess returns [graphic omitted] [graphic omitted] from Jan 2000 to Dec 2009. Agriculture sector Precious metals sector Most Optimum [graphic omitted] [graphic omitted] Yield indices have outperformed corresponding front-month rolling indices Source: Bloomberg. Data as of 31 Dec 2009 All indices have been retrospectively calculated and did not exist prior to May 31, 2006. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. Deutsche Bank 23 |
![]() | Optimized Yield Available Indices Commodity Contract Expiry Date Bloomberg Ticker Energy WTI crude oil 22-Jun-10 DBLCOCLE Index Brent crude oil 15-Sep-10 DBLCYECO Index Heating oil 28-May-10 DBLCOHOE Index RBOB gasoline 29-Oct-10 DBLCYERB Index Gasoil 12-Jul-10 DBLCYEGO Index Natural gas 27-Aug-10 DBLCYENG Index Base Metals Aluminum 17-Nov-10 DBLCOALE Index Copper 17-Mar-10 DBLCYECU Index Zinc 19-May-10 DBLCYEZN Index Nickel 18-Aug-10 DBLCYENI Index Lead 18-Aug-10 DBLCYEPB Index Precious Metals Gold 28-Apr-10 DBLCOGCE Index Silver 28-Dec-10 DBLCYESI Index Agriculture Wheat 14-Jul-10 DBLCOWTE Index Kansas Wheat 14-Jul-10 DBLCYEKW Index Corn 14-Dec-10 DBLCOCNE Index Soybean 12-Nov-10 DBLCYESS Index Cotton 7-Oct-10 DBLCYECE Index Sugar 30-Jun-10 DBLCYESB Index Coffee 19-Mar-10 DBLCYEKC Index Cocoa 16-Mar-10 DBLCYECC Index Source: DBIQ, Data as of 31-Dec-2009 Bloomberg Tickers shown are for Excess Return version of the indices Deutsche Bank 24 |
![]() | Target Volatility Applying Volatility Targeting to Potentially Control Risk Monthly Step I Step II Step III rebalancing: Realized Volatility Monitoring Volatility Based Participation Vol Target Index Calculated 3rd last Based on Last 90 Days Returns Participation = Target Volatility / Return = Participation x business day of the Realized Volatility, subject to a Underlying Index Return month; Effective max participation of 300% first business day of next month Underlying Volatility 3 Month Index Target Realized Volatility Vol Target Allocation Return Return Numerical Month (annualized %) (%) (%) (%) Example: 12 10.00 150.00 +5.00 +7.50 Volatility Target = 13 12.50 120.00 -1.00 -1.20 15% 14 5.00 300.00 +3.00 +9.00 15 7.50 200.00 -2.00 -4.00 16 15.00 100.00 -5.00 -5.00 17 20.00 75.00 +1.00 +0.75 18 30.00 50.00 -10.00 -5.00 --------------------------- ---------------------------------- ------------------------- Deutsche Bank 25 |
![]() | Comparative Performance Statistics - -------------------------------------------------------------------------------------------------------------------- Annualized Returns for Excess Return Indices YTD 1 Year 3 Year 5 Year 10 Year Volatility** Sharpe Return* Return Return Return Return Ratio*** Beta allocation indices DBLCI(TM) 10.17% 10.17% -3.58% 1.02% 7.57% 23.76% 0.32 S&P GSCI(TM) 13.30% 13.30% -8.84% -5.71% 2.17% 25.83% 0.08 DJ-UBSCI(SM) 18.72% 18.72% -5.79% -0.90% 4.19% 17.91% 0.23 Mean reversion based indices DBLCI-MR(TM) 22.29% 22.29% 4.00% 10.02% 10.37% 19.53% 0.53 DBLCI-MR(TM) 'Plus' 8.87% 8.87% 14.42% 12.24% 11.02% 14.24% 0.77 DBLCI-MR(TM) 'Enhanced' 32.08% 32.08% 7.23% 11.84% 11.42% 17.57% 0.65 DBLCI-MR(TM) 'Enhanced TV15' 15.73% 15.73% 8.40% 14.06% 14.16% 15.51% 0.91 Other asset classes Equities (S&P 500) 26.46% 26.46% -5.62% 0.42% -0.95% 21.82% Fixed Income (US Govt. All Total Return) 0.72% 0.72% 5.31% 4.80% 5.60% 2.82% - -------------------------------------------------------------------------------------------------------------------- * YTD Return is not annualized ** Volatility is calculated as the annualized volatility of the daily lognormal returns over the last 10 years *** Sharpe Ratio is calculated as a quotient of 10 Year Return and the Volatility Statistics shown for "Other asset classes" are using Total Return Indices All indices have been retrospectively calculated and did not exist prior to their respective Index Live Date. Accordingly, the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the Index will perform in the future. Source: Bloomberg. Data as of 31 Dec 2009 Deutsche Bank 26 |
![]() | Market Data Sources Bloomberg Tickers and Index Live Dates: Bloomberg Ticker Index Live Date DBLCI(TM) Excess Return DBLCMACL [Index] 28 Feb 2003 S&P GSCI(TM) Excess Return SPGSCIP [Index] DJ-UBSCI(TM) Excess Return DJUBS [Index] DBLCI-MR(TM) Excess Return DBLCMMCL [Index] 28 Feb 2003 DBLCI-MR Plus(TM) Excess Return DBLCMPUE [Index] 20 Jun 2007 DBLCI-MR Enhanced(TM) Excess Return DBLCMREU [Index] 25 Jul 2008 DBLCI-MR Enhanced(TM) TV 15 Excess Return DBLCMTEU [Index] 28 Sep 2009 Equities (S&P 500) Total Return SPTR [Index] Fixed Income Total Return JHDCGBIG [Index] Deutsche Bank 27 |
![]() | Important Considerations The information contained in this presentation does not provide personal investment advice. You should consult with independent accounting, tax, legal and regulatory counsel regarding such matters as they may apply to your particular circumstances. Strategy Risk The Mean Reversion strategy described herein aims to underweight relatively expensive commodities and overweight relatively inexpensive commodities based on historical commodity prices. However, indices employing the Mean Reversion strategy may not be successful in achieving this desired objective. The Optimal Roll Yield strategy described herein aims to maximize the potential roll benefits in backwardated markets and minimize potential roll losses in contango markets by purchasing the relevant new futures contracts that would generate the maximum implied roll yield. However, indices employing the Optimal Roll Yield strategy may not be successful in achieving this desired objective. The Target Volatility strategy described herein aims to achieve a specified realized volatility in the base index by adjusting the level of participation based on the historical realized volatility of the base index. However, indices employing the Target Volatility strategy may not be successful in achieving this desired objective. Commodities are speculative and highly volatile, and the risk of loss from investing in financial instruments linked to commodities or commodity indices can be substantial. Past Performance An index's performance is unpredictable, and past performance is not indicative of future performance. We give no representation or warranty as to the future performance of any index or investment. Some of the indices described herein have very limited performance history. Deutsche Bank 27 |
![]() | Important Considerations (Cont'd) Backtesting Backtested, hypothetical or simulated performance results discussed herein have inherent limitations. Unlike an actual historical performances, simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Taking into account historical events, the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis contained herein. Free Writing Prospectus Deutsche Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents that Deutsche Bank AG has filed with the SEC for more complete information about Deutsche Bank AG and any such offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Deutsche Bank AG, any agent or any dealer participating in the offering will arrange to send you the prospectus if you so request by calling toll-free 1-800-311-4409. Deutsche Bank 29 |