424B3 1 d767089d424b3.htm PROSPECTUS SUPPLEMENT Prospectus Supplement

 

Filed Pursuant to Rule 424(b)(3)
Registration Nos. 333-193221
333-193221-01
333-193221-02
333-193221-03
333-193221-04
333-193221-05

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

POWERSHARES DB ENERGY FUND

POWERSHARES DB OIL FUND

POWERSHARES DB PRECIOUS METALS FUND

POWERSHARES DB GOLD FUND

POWERSHARES DB BASE METALS FUND

SUPPLEMENT DATED JULY 17, 2014 TO

PROSPECTUS DATED MARCH 14, 2014

This Supplement dated July 17, 2014 updates certain information contained in the Prospectus dated March 14, 2014, as supplemented from time-to-time (the “Prospectus”) of PowerShares DB Multi-Sector Commodity Trust (the “Trust”) and PowerShares DB Energy Fund, PowerShares DB Oil Fund, PowerShares DB Precious Metals Fund, PowerShares DB Gold Fund and PowerShares DB Base Metals Fund (collectively, the “Funds”). We also refer to the PowerShares DB Precious Metals Fund as the “DBP Fund.” All capitalized terms used in this Supplement have the same meaning as in the Prospectus.

Prospective investors in the Funds should review carefully the contents of both this Supplement and the Prospectus.

* * * * * * * * * * * * * * * * * * *

All information in the Prospectus is restated pursuant to this Supplement, except as updated hereby.

 

 

Neither the Securities and Exchange Commission nor any state securities commission

has approved or disapproved of these securities or determined if this Supplement is

truthful or complete. Any representation to the contrary is a criminal offense.

 

 

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR

ACCURACY OF THIS DISCLOSURE DOCUMENT.

 

 

DB COMMODITY SERVICES LLC

Managing Owner


I. Risk Factor (1) on page 21 of the Prospectus is hereby deleted and replaced, in its entirety, with the following:

 

  (1) The Value of the Shares of Each Fund Relates Directly to the Value of the Futures Contracts and Other Assets Held by Each Fund and Fluctuations in the Price of These Assets Could Materially Adversely Affect an Investment in Each Fund’s Shares.

The Shares of each Fund are designed to reflect as closely as possible the changes, positive or negative, in the level of its corresponding Index, over time, through its portfolio of exchange traded futures contracts on its Index Commodities. The value of the Shares of each Fund relates directly to the value of its portfolio, less the liabilities (including estimated accrued but unpaid expenses) of the Fund. The price of the various Index Commodities may fluctuate widely. Several factors may affect the prices of the Index Commodities, including, but not limited to:

 

   

Global supply and demand of the Index Commodities which may be influenced by such factors as forward selling by the various commodities producers, purchases made by the commodities’ producers to unwind their hedge positions and production and cost levels in the major markets of the Index Commodities;

 

   

Domestic and foreign interest rates and investors’ expectations concerning interest rates;

 

   

Domestic and foreign inflation rates and investors’ expectations concerning inflation rates;

 

   

Investment and trading activities of mutual funds, hedge funds and commodity funds; and

 

   

Global or regional political, economic or financial events and situations.

The following two paragraphs apply only to PowerShares DB Precious Metals Fund, or the DBP Fund.

Effective as of August 15, 2014, the daily London silver fix, or the London Silver Fix, which has served as a global benchmark, will be replaced by an electronic silver benchmark operated by the CME Group and Thomson Reuters, or the Replacement Silver Fix. The CME Group will provide the pricing and Thomson Reuters will provide the administration and the governance for the Replacement Silver Fix.

As of the date of this Prospectus, the DBP Fund invests in silver futures contracts that trade on the CME. According to the rules associated with these silver futures contracts, the silver that underlies these futures contracts must be silver that is produced by a list of specific producers. To the extent that these approved producers rely upon the Replacement Silver Fix on and after August 15, 2014 with respect to the pricing of silver, the value of the DBP Fund’s silver futures contracts and the value of the shares of the DBP Fund may be affected adversely to the extent that the Replacement Silver Fix experiences unexpected issues or has inherent design flaws, if any.”

 

2


II. Pages 35-38 of the Prospectus are hereby deleted and replaced, in their entirety, with the following:

“PERFORMANCE OF POWERSHARES DB ENERGY FUND (TICKER: DBE), A SERIES OF

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Energy Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of May 31, 2014: $1,203,750,244

Net Asset Value as of May 31, 2014: $362,353,050

Net Asset Value per Share as of May 31, 2014: $29.70

Worst Monthly Drawdown: (14.35)% May 2012

Worst Peak-to-Valley Drawdown: (66.18)% June 2008 – February 2009*

 

Monthly Rate of Return

   2014(%)    2013(%)    2012(%)    2011(%)    2010(%)    2009(%)

January

   (2.85)    4.68    2.50    5.35    (8.46)    (6.19)

February

   4.31    (3.75)    8.19    5.65    5.54    (5.93)

March

   (0.95)    3.30    (1.99)    5.38    2.88    5.71

April

   0.82    (4.43)    (0.43)    6.24    5.48    (1.34)

May

   0.64    (2.12)    (14.35)    (7.66)    (14.15)    22.99

June

        (0.11)    (1.25)    (3.55)    (0.73)    3.14

July

        5.47    5.50    2.04    4.09    2.26

August

        2.33    8.36    (3.94)    (7.48)    (3.50)

September

        (3.91)    (1.35)    (11.72)    7.97    (0.96)

October

        (0.21)    (3.68)    8.44    0.02    7.99

November

        1.35    2.29    1.43    2.15    1.68

December

        2.14    (0.36)    (2.81)    8.95    (0.39)

Compound Rate of Return

   1.85% (5 months)    4.18%    1.34%    2.68%    3.42%    24.81%
  * The Worst Peak-to-Valley Drawdown from June 2008 – February 2009 includes the effect of the $0.44 per Share distribution made to Shareholders of record as of December 17, 2008.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB OIL FUND (TICKER: DBO), A SERIES OF

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Oil Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of May 31, 2014: $1,932,658,542

Net Asset Value as of May 31, 2014: $300,590,672

Net Asset Value per Share as of May 31, 2014: $29.47

Worst Monthly Drawdown: (18.21)% May 2012

Worst Peak-to-Valley Drawdown: (65.43)% June 2008 – February 2009*

 

Monthly Rate of Return

   2014(%)    2013(%)    2012(%)    2011(%)    2010(%)    2009(%)

January

   (2.82)    5.73    0.46    3.69    (8.65)    (5.87)

February

   6.65    (6.15)    8.47    2.60    7.48    (4.30)

March

   (0.10)    4.96    (4.02)    7.67    4.76    7.88

April

   (0.87)    (4.25)    1.14    6.25    4.46    (1.12)

May

   3.69    (1.93)    (18.21)    (10.43)    (16.47)    26.94

June

        2.12    (0.24)    (5.99)    (3.20)    1.94

July

        5.43    1.99    (0.45)    4.98    3.09

August

        1.97    8.31    (8.79)    (5.14)    (3.12)

September

        (1.47)    (4.04)    (11.66)    6.70    (1.07)

October

        (1.31)    (5.28)    14.58    (0.14)    8.27

November

        (1.88)    2.67    8.17    1.66    2.94

December

        3.98    2.28    (0.59)    9.39    (0.95)

Compound Rate of Return

   6.43% (5 months)    6.54%    (9.00)%    1.28%    2.51%    35.65%
  * The Worst Peak-to-Valley Drawdown from June 2008 – February 2009 includes the effect of the $0.12 per Share distribution made to Shareholders of record as of December 17, 2008.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information on page 37.

 

3


PERFORMANCE OF POWERSHARES DB PRECIOUS METALS FUND (TICKER: DBP), A SERIES OF

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Precious Metals Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of May 31, 2014: $1,132,204,896

Net Asset Value as of May 31, 2014: $183,468,702

Net Asset Value per Share as of May 31, 2014: $39.88

Worst Monthly Drawdown: (15.29)% September 2011

Worst Peak-to-Valley Drawdown: (41.35)% August 2011 – December 2013

 

Monthly Rate of Return

   2014(%)    2013(%)    2012(%)    2011(%)    2010(%)    2009(%)

January

   2.22    (0.09)    12.41    (7.08)    (1.83)    6.02

February

   7.57    (6.12)    (0.58)    8.60    2.92    1.97

March

   (3.85)    0.73%    (3.34)    4.38    0.68    (1.84)

April

   0.12    (9.34)    (1.35)    13.10    5.93    (3.99)

May

   (3.81)    (6.11)    (7.10)    (7.05)    2.01    12.91

June

        (12.59)    1.92    (3.96)    2.27    (7.08)

July

        6.05    0.44    9.87    (5.01)    2.61

August

        8.64    5.99    10.31    5.95    1.17

September

        (5.64)    6.06    (15.29)    6.14    7.00

October

        (0.14)    (3.88)    7.85    5.46    1.73

November

        (6.42)    0.12    0.08    4.66    13.44

December

        (3.95)    (3.68)    (11.46)    3.91    (7.62)

Compound Rate of Return

   1.81% (5 months)    (31.40)%    5.60%    4.34%    37.71%    26.57%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

PERFORMANCE OF POWERSHARES DB GOLD FUND (TICKER: DGL), A SERIES OF

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Gold Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of May 31, 2014: $1,007,252,662

Net Asset Value as of May 31, 2014: $133,245,273

Net Asset Value per Share as of May 31, 2014: $41.64

Worst Monthly Drawdown: (12.48)% June 2013

Worst Peak-to-Valley Drawdown: (37.04)% August 2011 – December 2013

 

Monthly Rate of Return

   2014(%)    2013(%)    2012(%)    2011(%)    2010(%)    2009(%)

January

   3.10    (1.03)    10.87    (6.39)    (1.30)    4.85

February

   6.74    (5.22)    (1.74)    5.58    3.15    1.48

March

   (3.04)    0.97    (2.56)    1.98    (0.56)    (2.07)

April

   0.86    (7.94)    (0.52)    8.05    5.89    (3.64)

May

   (4.03)    (5.63)    (6.23)    (1.41)    2.79    9.53

June

        (12.48)    2.52    (2.26)    2.45    (5.40)

July

        7.18    0.31    8.32    (5.28)    2.69

August

        6.36    4.54    12.25    5.56    (0.26)

September

        (5.11)    5.12    (11.52)    4.63    5.75

October

        (0.34)    (3.18)    6.32    3.60    3.01

November

        (5.76)    (0.56)    1.28    1.98    13.39

December

        (4.05)    (2.23)    (10.62)    2.45    (7.27)

Compound Rate of Return

   3.27% (5 months)    (29.81)%    5.34%    8.63%    27.83%    22.03%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information on page 37.

 

4


PERFORMANCE OF POWERSHARES DB BASE METALS FUND (TICKER: DBB), A SERIES OF

POWERSHARES DB MULTI-SECTOR COMMODITY TRUST

Name of Pool: PowerShares DB Base Metals Fund

Type of Pool: Public, Exchange-Listed Commodity Pool

Inception of Trading: January 2007

Aggregate Gross Capital Subscriptions as of May 31, 2014: $1,509,940,977

Net Asset Value as of May 31, 2014: $263,389,547

Net Asset Value per Share as of May 31, 2014: $16.26

Worst Monthly Drawdown: (19.24)% September 2011

Worst Peak-to-Valley Drawdown: (60.29)% July 2007 – January 2009*

 

Monthly Rate of Return

   2014(%)    2013(%)    2012(%)    2011(%)    2010(%)    2009(%)

January

   (4.83)    1.41    11.27    0.62    (11.50)    (7.37)

February

   2.25    (4.64)    1.97    3.18    4.12    3.71

March

   (2.94)    (5.19)    (5.37)    (3.08)    8.17    12.99

April

   0.76    (3.65)    0.30    (0.57)    (4.12)    6.48

May

   1.82    2.54    (9.47)    (1.68)    (10.43)    6.30

June

        (6.75)    (0.16)    (0.17)    (5.71)    3.07

July

        0.43    (2.03)    4.35    11.17    13.82

August

        2.09    0.17    (6.73)    (0.86)    7.55

September

        1.15    10.74    (19.24)    9.18    (0.43)

October

        0.00    (9.19)    7.81    3.32    5.97

November

        (4.30)    6.90    (1.23)    (4.69)    6.81

December

        4.61    (0.47)    (6.54)    13.14    7.98

Compound Rate of Return

   (3.10)% (5 months)    (12.28)%    2.19%    (23.18)%    8.20%    88.64%
  * The Worst Peak-to-Valley Drawdown from July 2007 – January 2009 includes the effect of the $0.96 per Share distribution made to Shareholders of record as of December 19, 2007, and the effect of the $0.28 per Share distribution made to Shareholders of record as of December 17, 2008.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

See accompanying Footnotes to Performance Information below.

Footnotes to Performance Information

1.             “Aggregate Gross Capital Subscriptions” is the aggregate of all amounts ever contributed to the relevant pool, including investors who subsequently redeemed their investments.

2.             “Net Asset Value” is the net asset value of the relevant pool as of May 31, 2014.

3.             “Net Asset Value per Share” is the Net Asset Value of the relevant pool divided by the total number of Shares outstanding with respect to such pool as of May 31, 2014.

4.             “Worst Monthly Drawdown” is the largest single month loss sustained since inception of trading. “Drawdown” as used in this section of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. “Drawdown” is measured on the basis of monthly returns only, and does not reflect intra-month figures. “Month” is the month of the Worst Monthly Drawdown.

5.             “Worst Peak-to-Valley Drawdown” is the largest percentage decline in the Net Asset Value per Share over the history of the relevant pool. This need not be a continuous decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns. “Worst Peak-to-Valley Drawdown” represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. For example, if the Net Asset Value per Share of a particular pool declined by $1 in each of January and February, increased by $1 in March and declined again by $2 in April, a “peak-to-valley drawdown” analysis conducted as of the end of April would consider that “drawdown” to be still continuing and to be $3 in amount, whereas if the Net Asset Value per Share had increased by $2 in March, the January-February drawdown would have ended as of the end of February at the $2 level.

6.             “Compound Rate of Return” of the relevant pool is calculated by multiplying on a compound basis each of the monthly rates of return set forth in the respective charts above and not by adding or averaging such monthly rates of return. For periods of less than one year, the results are year-to-date.

 

5


7.             The below table reflects both the name of the original Index that each Fund has tracked up to and including December 31, 2010, or Original Index, and the name of the Index that each Fund will track after December 31, 2010, or Renamed Index:

 

Fund  

Index

 

 

Original

 

 

Renamed

 

 

Dates

 

     

Inception

 

 

Rename

 

         
PowerShares DB Energy Fund   Deutsche Bank Liquid Commodity Index-Optimum Yield Energy Excess Return™   DBIQ Optimum Yield Energy Index Excess Return™   7/06   10/10
         
PowerShares DB Oil Fund   Deutsche Bank Liquid Commodity Index-Optimum Yield Crude Oil Excess Return™   DBIQ Optimum Yield Crude Oil Index Excess Return™   5/06   10/10
         
PowerShares DB Precious Metals Fund   Deutsche Bank Liquid Commodity Index-Optimum Yield Precious Metals Excess Return™   DBIQ Optimum Yield Precious Metals Index Excess Return™   7/06   10/10
         
PowerShares DB Gold Fund   Deutsche Bank Liquid Commodity Index-Optimum Yield Gold Excess Return™   DBIQ Optimum Yield Gold Index Excess Return™   5/06   10/10
         
PowerShares DB Base Metals Fund   Deutsche Bank Liquid Commodity Index-Optimum Yield Industrial Metals Excess Return™   DBIQ Optimum Yield Industrial Metals Index Excess Return™   7/06   10/10

Each Fund’s Original Index is identical to the Renamed Index, except with respect to the following non-substantive changes: (i) name of Index and (ii) ticker symbol. The above Inception Dates remain identical. The Rename Date of October 2010 reflects the date on which each Original Index changed its name as reflected in the Renamed Index column above and each such change and became effective in January 3, 2011. Except as provided in the immediately preceding sentence, all prior underlying formulae, data (e.g., closing levels, measure of volatility, all other numerical statistics and measures) and all other characteristics (e.g., Base Date, Index Sponsor, Inception Date, rolling, etc.) with respect to each Original Index is identical to its corresponding Renamed Index.

DBLCI™ and Deutsche Bank Liquid Commodity Index™ are trade marks of the Index Sponsor and are the subject of Community Trade Mark Nos. 3055043 and 3054996. Trade Mark applications in the United States are pending with respect to both the Trust and aspects of each Index. The Fund and the Managing Owner have been licensed to use DBLCI™, Deutsche Bank Liquid Commodity Index™ and DBIQ™.

[Remainder of page left blank intentionally.]

 

6


III.      Pages 48 through 92 of the Prospectus are hereby deleted and replaced, in their entirety, with the following:

Volatility of the Various Indexes

The following table1 reflects various measures of volatility2 of the history of each Index as calculated on an excess return basis:

 

Volatility Type    DBIQ-OY
Energy  ER™3
   DBIQ-OY  CL
ER™4
  DBIQ-OY
Precious  Metals
ER™4
  DBIQ-OY  GC
ER™4
  DBIQ-OY
Industrial  Metals
ER™5

Daily volatility over full history

   23.95%    26.36%   16.69%   15.33%   20.06%

Average rolling 3 month daily volatility

   22.16%    24.51%   15.64%   14.25%   18.71%

Monthly return volatility

   24.60%    26.10%   17.22%   15.75%   21.25%

Average annual volatility

   23.07%    25.29%   15.48%   14.28%   18.06%

The following table reflects the daily volatility on an annual basis of each Index:

Year    DBIQ-OY
Energy ER™3
   DBIQ-OY CL
ER™4
  DBIQ-OY
Precious Metals
ER™4
  DBIQ-OY GC
ER™4
  DBIQ-OY
Industrial Metals
ER™5

1988

      26.56%   11.17%   11.41%  

1989

      28.11%   13.57%   13.14%  

1990

   44.82%    40.56%   16.71%   17.67%  

1991

   31.03%    29.57%   13.63%   12.63%  

1992

   14.60%    16.66%   8.90%   8.32%  

1993

   15.25%    17.70%   16.81%   14.44%  

1994

   18.05%    20.13%   12.08%   9.60%  

1995

   13.45%    17.07%   9.89%   6.62%  

1996

   23.86%    31.02%   7.74%   6.17%  

1997

   18.29%    21.51%   13.51%   12.60%   11.99%

1998

   23.80%    27.97%   14.60%   12.84%   14.38%

1999

   24.43%    27.10%   16.54%   17.35%   14.07%

2000

   28.21%    32.19%   14.01%   15.02%   11.78%

2001

   27.56%    29.77%   13.79%   14.44%   12.57%

2002

   24.63%    25.52%   13.51%   13.44%   13.12%

2003

   26.34%    26.59%   16.17%   16.66%   13.86%

2004

   28.71%    30.80%   19.48%   16.25%   20.85%

2005

   27.49%    26.55%   13.23%   12.38%   18.18%

2006

   22.01%    22.01%   25.97%   22.81%   32.26%

2007

   19.54%    21.17%   14.96%   13.91%   20.35%

2008

   36.57%    41.43%   27.33%   25.53%   28.81%

2009

   31.28%    33.56%   20.44%   18.40%   29.14%

2010

   18.84%    20.63%   15.22%   13.28%   23.76%

2011

   21.12%    25.20%   21.17%   17.47%   20.67%

2012

   16.54%    19.36%   15.35%   13.46%   15.48%

2013

   10.99%    12.41%   20.07%   18.50%   13.18%

20141

   9.37%    11.57%   12.11%   11.22%   10.61%

1As of December 31, 2013. Past Index levels are not necessarily indicative of future Index levels.

2Volatility, for these purposes, means the following: Daily Volatility: The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price. Monthly Return Volatility: The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the monthly change in price. Average Annual Volatility: The average of yearly volatilities for a given sample period. The yearly volatility is the relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price for each business day in the given year.

3As of June 4, 1990. Past Index levels are not necessarily indicative of future Index levels.

4As of December 2, 1988. Past Index levels are not necessarily indicative of future Index levels.

5As of September 3, 1997. Past Index levels are not necessarily indicative of future Index levels.

 

7


ENERGY SECTOR DATA

RELATING TO

DBIQ OPTIMUM YIELD ENERGY INDEX EXCESS RETURN™

(DBIQ-OY ENERGY ER™)

 

8


CLOSING LEVELS TABLES

DBIQ OPTIMUM YIELD ENERGY INDEX EXCESS RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

  Index Changes Since
Inception4

19905

    179.19     96.66   45.52%       45.52%

1991

    147.42   107.20   -20.99%       14.98%

1992

    137.39   110.88     9.57%       25.99%

1993

    138.78   100.51   -20.19%         0.56%

1994

    122.19     95.20     6.96%         7.56%

1995

    119.82   102.02   11.00%       19.39%

1996

    197.83   111.99   63.92%       95.71%

1997

    204.30   159.71   -18.40%       59.71%

1998

    160.51     97.65   -36.95%         0.70%

1999

    178.20     92.77   72.80%       74.00%

2000

    298.97   167.50   41.06%     145.44%

2001

    278.42   192.42   -16.74%     104.36%

2002

    298.19   194.55   41.97%     190.12%

2003

    391.72   284.31   32.29%     283.81%

2004

    715.99   383.42   54.72%     493.84%

2005

  1037.13   582.46   55.14%     821.29%

2006

  1074.96   812.65   -10.74%     722.36%

2007

  1112.80   709.23   34.88%   1009.21%

2008

  1772.65   559.38   -40.45%     560.50%

2009

    862.18   518.29   25.76%     730.64%

2010

    884.28   704.89     4.00%     763.88%

2011

  1075.48   812.44     3.38%     793.06%

2012

  1013.67   764.32     2.01%     811.04%

2013

    976.99   872.41     4.77%     854.50%

20146

    987.21   909.26     2.09%     874.45%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD ENERGY INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD ENERGY INDEX TOTAL RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

  Index Changes Since
Inception4

19905

  183.60     97.33     51.88%     51.88%

1991

  154.30   112.85    -16.53%     26.77%

1992

  155.82   122.35     13.48%     43.86%

1993

  160.01   118.31    -17.71%     18.38%

1994

  147.06   112.95     11.67%     32.19%

1995

  155.68   127.46     17.38%     55.17%

1996

  270.11   146.19     72.56%   167.77%

1997

  279.83   227.35    -14.08%   130.07%

1998

  232.17   147.51    -33.81%     52.29%

1999

  282.30   141.11     81.15%   175.87%

2000

  496.29   265.84     49.64%   312.83%

2001

  476.58   334.41    -13.77%   255.97%

2002

  527.96   339.16     44.32%   413.72%

2003

  700.53   505.36     33.65%   586.61%

2004

  1293.70     686.54     56.88%   977.16%

2005

  1917.92     1056.70       60.14%   1625.00%  

2006

  2070.40     1595.93        -6.33%   1515.87%  

2007

  2285.06     1397.07       41.00%   2178.45%  

2008

  3676.21     1165.04      -39.62%   1275.66%  

2009

  1798.15     1079.73       25.94%   1632.53%  

2010

  1845.15     1471.50         4.14%   1704.26%  

2011

  2247.01     1697.62         3.43%   1766.13%  

2012

  2118.34     1597.67         2.10%   1805.30%  

2013

  2044.00     1824.93         4.83%   1897.28%  

20146

  2065.98     1902.63         2.11%   1939.34%  

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD ENERGY INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

9


INDEX COMMODITIES WEIGHTS TABLES

DBIQ OPTIMUM YIELD ENERGY INDEX EXCESS RETURN™

 

     CL7   HO7   LCO7   XB7   NG7
  High1   Low2   High   Low   High   Low   High   Low   High   Low

19905

  21.8%   21.9%   21.4%   22.6%   27.2%   22.2%   23.4%   22.4%     6.2%   10.9%

1991

  21.8%   22.5%   22.8%   22.7%   23.8%   20.0%   21.5%   21.8%   10.1%   13.1%

1992

  21.3%   22.3%   23.1%   23.1%   21.6%   21.5%   21.7%   22.2%   12.3%   10.8%

1993

  21.6%   22.1%   21.5%   22.8%   21.1%   22.7%   21.4%   22.0%   14.4%   10.4%

1994

  20.6%   21.7%   22.4%   22.5%   24.7%   21.9%   23.0%   21.8%     9.3%   12.1%

1995

  22.9%   24.3%   21.2%   22.1%   23.1%   23.0%   23.1%   21.9%     9.7%     8.8%

1996

  22.6%   22.6%   21.6%   21.1%   22.0%   22.5%   21.8%   22.9%   12.0%   10.9%

1997

  23.2%   22.5%   21.6%   22.6%   22.2%   21.6%   21.4%   23.1%   11.4%   10.1%

1998

  22.4%   22.7%   22.9%   23.4%   21.3%   21.1%   23.5%   22.5%     9.9%   10.4%

1999

  22.7%   23.1%   21.9%   22.0%   23.0%   22.2%   23.3%   22.3%     9.1%   10.4%

2000

  21.8%   22.9%   22.5%   22.2%   21.2%   22.8%   23.2%   23.2%   11.4%     8.9%

2001

  23.5%   22.9%   22.0%   22.2%   21.4%   21.8%   22.5%   22.7%   10.5%   10.4%

2002

  21.4%   23.2%   22.4%   22.5%   24.2%   22.6%   21.8%   23.2%   10.3%     8.5%

2003

  22.7%   21.2%   22.6%   21.5%   22.3%   23.2%   22.3%   21.8%   10.2%   12.3%

2004

  23.9%   22.6%   23.0%   22.2%   23.2%   21.8%   21.0%   22.9%     8.8%   10.5%

2005

  20.6%   22.3%   23.5%   22.7%   21.8%   22.3%   24.9%   23.0%     9.1%     9.7%

2006

  23.3%   22.8%   22.7%   22.7%   23.2%   22.9%   25.3%   22.8%     5.5%     8.7%

2007

  22.6%   22.1%   22.8%   23.0%   22.5%   22.1%   23.0%   22.6%     9.1%   10.2%

2008

  22.2%   21.8%   24.2%   21.3%   22.3%   22.8%   21.3%   21.7%   10.1%   12.4%

2009

  24.5%   22.7%   19.4%   20.7%   23.9%   22.8%   27.5%   24.3%     4.7%     9.6%

2010

  22.8%   22.3%   23.0%   23.0%   23.4%   23.0%   23.5%   23.1%     7.3%     8.6%

2011

  21.9%   19.0%   23.3%   24.0%   23.3%   24.0%   23.3%   24.6%     8.3%     8.4%

2012

  23.9%   22.8%   22.6%   23.1%   23.2%   22.7%   23.2%   23.0%     7.0%     8.3%

2013

  23.5%   22.4%   21.7%   21.7%   22.4%   22.0%   24.0%   22.6%     8.3%   11.3%

20146

  22.7%   21.7%   21.8%   22.5%   21.8%   22.7%   22.1%   22.5%   11.6%   10.6%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD ENERGY INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD ENERGY INDEX TOTAL RETURN™

 

     CL7   HO7   LCO7   XB7   NG7
  High1   Low2   High   Low   High   Low   High   Low   High   Low

19905

  21.8%   21.9%   21.4%   22.6%   27.2%   22.2%   23.4%   22.4%     6.2%   10.9%

1991

  21.8%   22.5%   22.8%   22.7%   23.8%   20.0%   21.5%   21.8%   10.1%   13.1%

1992

  21.3%   22.3%   23.2%   23.1%   21.6%   21.5%   21.5%   22.2%   12.5%   10.8%

1993

  21.6%   22.1%   21.5%   22.8%   21.1%   22.7%   21.4%   22.0%   14.4%   10.4%

1994

  20.6%   21.7%   22.4%   22.5%   24.7%   21.9%   23.0%   21.8%     9.3%   12.1%

1995

  22.9%   22.9%   21.2%   22.4%   23.1%   23.1%   23.1%   23.3%     9.7%     8.4%

1996

  22.6%   22.6%   21.6%   21.1%   22.0%   22.5%   21.8%   22.9%   12.0%   10.9%

1997

  23.2%   22.0%   21.6%   22.8%   22.2%   21.1%   21.4%   23.7%   11.4%   10.3%

1998

  22.4%   22.7%   22.9%   23.4%   21.3%   21.1%   23.5%   22.5%     9.9%   10.4%

1999

  22.9%   23.1%   22.3%   22.0%   22.8%   22.2%   23.3%   22.3%     8.6%   10.4%

2000

  21.8%   22.9%   22.5%   22.2%   21.2%   22.8%   23.2%   23.2%   11.4%     8.9%

2001

  23.5%   22.9%   22.0%   22.2%   21.4%   21.8%   22.5%   22.7%   10.5%   10.4%

2002

  21.4%   23.2%   22.4%   22.5%   24.2%   22.6%   21.8%   23.2%   10.3%     8.5%

2003

  22.7%   21.2%   22.6%   21.5%   22.3%   23.2%   22.3%   21.8%   10.2%   12.3%

2004

  23.9%   22.6%   23.0%   22.2%   23.2%   21.8%   21.0%   22.9%     8.8%   10.5%

2005

  20.6%   22.3%   23.5%   22.7%   21.8%   22.3%   24.9%   23.0%     9.1%     9.7%

2006

  23.3%   22.8%   22.7%   22.7%   23.2%   22.9%   25.3%   22.8%     5.5%     8.7%

2007

  22.6%   22.1%   22.8%   23.0%   22.5%   22.1%   23.0%   22.6%     9.1%   10.2%

2008

  22.2%   21.8%   24.2%   21.3%   22.4%   22.8%   21.3%   21.7%   10.0%   12.4%

2009

  24.5%   22.7%   19.4%   20.7%   23.9%   22.8%   27.5%   24.3%     4.7%     9.6%

20106

  22.8%   22.3%   23.0%   23.0%   23.4%   23.0%   23.5%   23.1%     7.3%     8.6%

2011

  21.9%   19.0%   23.3%   24.0%   23.3%   24.0%   23.3%   24.6%     8.3%     8.4%

2012

  23.9%   22.8%   22.6%   23.1%   23.2%   22.7%   23.2%   23.0%     7.0%     8.3%

2013

  23.5%   22.4%   21.7%   21.7%   22.4%   22.0%   24.0%   22.6%     8.3%   11.3%

20146

  22.7%   21.7%   21.8%   22.5%   21.8%   22.7%   22.1%   22.5%   11.6%   10.6%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD ENERGY INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

10


All statistics based on data from June 4, 1990 to May 31, 2014.

 

VARIOUS STATISTICAL MEASURES

       DBIQ Optimum Yield    
Energy ER8
        DBIQ Optimum Yield    
Energy TR9
    Goldman Sachs
    US Energy Total Return10    
 

Annualized Changes to Index Level11

     9.9     13.4     5.9

Average rolling 3 month daily volatility12

     22.2     22.2     27.1

Sharpe Ratio13

     0.45        0.48        0.12   

% of months with positive change14

     56     56     54

Average monthly positive change15

     5.8     6.0     7.1

Average monthly negative change16

     -4.9     -4.7     -6.3

ANNUALIZED INDEX LEVELS17

       DBIQ Optimum Yield    
Energy ER8
        DBIQ Optimum Yield    
Energy TR9
    Goldman Sachs
    US Energy Total Return10    
 

1 year

     7.4     7.5     4.4

3 year

     -0.7     -0.6     -0.3

5 year

     5.4     5.5     3.9

7 year

     1.7     2.3     -2.6

10 year

     6.8     8.4     -1.8

15 year

     14.8     17.2     8.2

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN OCTOBER 2010, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH SEPTEMBER 2010, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

11


COMPARISON OF DBIQ-OY ENERGY ER, DBIQ-OY ENERGY TR AND GOLDMAN SACHS US ENERGY TOTAL RETURN

 

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Energy ER, DBIQ-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.

DBIQ-OY Energy TR and Goldman Sachs US Energy Total Return are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN OCTOBER 2010, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH SEPTEMBER 2010, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

12


COMPARISON OF DBIQ-OY ENERGY TR AND GOLDMAN SACHS US ENERGY TOTAL RETURN

 

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.

DBIQ-OY Energy TR and Goldman Sachs US Energy Total Return are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT HROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN OCTOBER 2010, CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH SEPTEMBER 2010, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

13


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.
2. “Low” reflects the lowest closing level of the Index during the applicable year.
3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.
5. Closing levels as of inception on June 4, 1990.
6. Closing levels as of May 31, 2014.
7.

The DBIQ Optimum Yield Energy Index Excess Return™ and DBIQ Optimum Yield Energy Index Total Return™ reflect the change in market value of the following underlying index commodities: CL (Light, Sweet Crude Oil), HO (Heating Oil), LCO (Brent Crude Oil), XB (RBOB Gasoline) and NG (Natural Gas) on an Optimum YieldTM basis.

8. “DBIQ Optimum Yield Energy ER™” is DBIQ Optimum Yield Energy Index Excess Return™.
9. “DBIQ Optimum Yield Energy TR™” is DBIQ Optimum Yield Energy Index Total Return™.
10. “Goldman Sachs US Energy Total Return” is Goldman Sachs US Energy Total Return.
11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.
12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability — often referred to as the “standard deviation” — of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 2.76%.
14. “% of months with positive change” during the period from inception to May 31, 2014.
15. “Average monthly positive change” during the period from inception to May 31, 2014.
16. “Average monthly negative change” during the period from inception to May 31, 2014.
17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

 

14


ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD JUNE 1990 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

15


CRUDE OIL SECTOR DATA

RELATING TO

DBIQ OPTIMUM YIELD CRUDE OIL INDEX EXCESS RETURN™

(DBIQ-OY CL ER™)

 

16


CLOSING LEVELS TABLES

DBIQ OPTIMUM YIELD CRUDE OIL INDEX EXCESS RETURN™

 

      CLOSING LEVEL    CHANGES
   High1    Low2    Annual Index
Changes3
   Index Changes Since
Inception4

19885

     112.02        97.53      12.02%        12.02%

1989

     192.01      110.98      71.41%        92.01%

1990

     294.82      160.13      24.79%      139.61%

1991

     238.71      175.06    -15.63%      102.15%

1992

     224.82      189.93        0.68%      103.52%

1993

     217.01      152.46    -24.79%        53.08%

1994

     173.31      142.13        5.59%        61.64%

1995

     202.32      157.90      25.16%      102.32%

1996

     414.35      185.87    104.80%      314.35%

1997

     425.66      303.27    -26.65%      203.93%

1998

     302.95      171.33    -40.94%        79.51%

1999

     346.30      165.23      85.26%      232.56%

2000

     551.67      325.69      31.04%      335.79%

2001

     532.29      390.80      -3.95%      318.57%

2002

     608.00      399.11      41.61%      492.76%

2003

     847.48      574.29      39.55%      727.21%

2004

   1632.10      824.87      63.83%    1255.23%

2005

   2171.79    1319.88      42.95%    1837.28%

2006

   2389.01    1856.67      -2.48%    1789.17%

2007

   2523.38    1571.31      33.12%    2414.88%

2008

   3955.92    1188.78    -41.61%    1368.33%

2009

   2057.94    1147.41      36.08%    1898.07%

2010

   2169.64    1673.17        3.20%    1962.00%

2011

   2508.55    1642.90        1.97%    2002.66%

2012

   2343.44    1685.62       -8.17%    1830.84%

2013

   2108.94    1796.69        7.08%    1967.56%

20146

   2236.91    1944.09        6.49%    2101.76%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD CRUDE OIL INDEX EXCESS RETURN™ OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD CRUDE OIL INDEX TOTAL RETURN™

 

      CLOSING LEVEL    CHANGES
   High1    Low2    Annual Index
Changes3
   Index Changes Since
Inception4

19885

     112.73        97.60      12.73%        12.73%

1989

     209.87      111.81      86.17%      109.87%

1990

     341.64      182.36      34.76%      182.82%

1991

     295.24      208.42    -10.88%      152.05%

1992

     288.22      237.02        4.27%      162.81%

1993

     281.69      202.92    -22.45%      103.80%

1994

     235.88      190.71      10.24%      124.67%

1995

     297.36      219.85      32.36%      197.36%

1996

     641.10      274.37    115.60%      541.10%

1997

     659.34      493.93    -22.77%      395.14%

1998

     495.55      292.68    -37.99%      207.03%

1999

     620.64      284.23      94.21%      496.27%

2000

   1035.63      584.55      39.02%      728.92%

2001

   1030.69      768.08      -0.53%      724.54%

2002

   1217.32      786.82      43.96%    1087.00%

2003

   1713.97    1154.40      40.99%    1573.50%

2004

   3334.95    1670.29      66.12%    2679.95%

2005

   4541.88    2707.94      47.56%    4002.06%

2006

   5203.49    3969.14        2.34%    4097.88%

2007

   5859.72    3499.36      39.16%    5741.98%

2008

   9281.23    2799.96    -40.80%    3358.41%

2009

   4853.73    2703.20      36.28%    4612.97%

2010

   5119.70    3948.54        3.34%    4770.26%

2011

   5927.09    3882.20        2.02%    4868.75%

2012

   5538.20    3984.72       -8.09%    4466.53%

2013

   4989.66    4250.26        7.14%    4792.56%

20146

   5294.13    4600.45        6.51%    5110.95%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD CRUDE OIL INDEX TOTAL RETURN™ OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

17


INDEX COMMODITIES WEIGHTS TABLES

DBIQ OPTIMUM YIELD CRUDE OIL INDEX EXCESS RETURN™

 

      CL7
   High1    Low2

19885

   100%    100%

1989

   100%    100%

1990

   100%    100%

1991

   100%    100%

1992

   100%    100%

1993

   100%    100%

1994

   100%    100%

1995

   100%    100%

1996

   100%    100%

1997

   100%    100%

1998

   100%    100%

1999

   100%    100%

2000

   100%    100%

2001

   100%    100%

2002

   100%    100%

2003

   100%    100%

2004

   100%    100%

2005

   100%    100%

2006

   100%    100%

2007

   100%    100%

2008

   100%    100%

2009

   100%    100%

2010

   100%    100%

2011

   100%    100%

2012

   100%    100%

2013

   100%    100%

20146

   100%    100%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD CRUDE OIL INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND

NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD CRUDE OIL INDEX TOTAL RETURN™

 

      CL7
   High1    Low2

19885

   100%    100%

1989

   100%    100%

1990

   100%    100%

1991

   100%    100%

1992

   100%    100%

1993

   100%    100%

1994

   100%    100%

1995

   100%    100%

1996

   100%    100%

1997

   100%    100%

1998

   100%    100%

1999

   100%    100%

2000

   100%    100%

2001

   100%    100%

2002

   100%    100%

2003

   100%    100%

2004

   100%    100%

2005

   100%    100%

2006

   100%    100%

2007

   100%    100%

2008

   100%    100%

2009

   100%    100%

2010

   100%    100%

2011

   100%    100%

2012

   100%    100%

2013

   100%    100%

20146

   100%    100%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD CRUDE OIL INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND

NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

18


All statistics based on data from December 2, 1988 to May 31, 2014.

 

VARIOUS STATISTICAL MEASURES

       DBIQ Optimum Yield
Crude Oil ER8
     DBIQ Optimum Yield
Crude Oil TR9
     Goldman Sachs
Crude Oil Total Return
Index10
 

Annualized Changes to Index Level11

       12.9      16.8      10.5

Average rolling 3 month daily volatility12

       24.5      24.5      29.9

Sharpe Ratio13

       0.53         0.56         0.25   

% of months with positive change14

       56      57      56

Average monthly positive change15

       6.3      6.6      7.8

Average monthly negative change16

       -5.2      -5.0      -6.8

ANNUALIZED INDEX LEVELS17

       DBIQ Optimum Yield
Crude Oil ER8
     DBIQ Optimum Yield
Crude Oil TR9
     Goldman Sachs
Crude Oil Total Return
Index10
 

1 year

       16.2      16.2      10.5

3 year

       -0.7      -0.7      29.9

5 year

       4.2      4.3      0.25   

7 year

       2.6      3.2      56

10 year

       7.0      8.7      7.8

15 year

       16.1      18.5      -6.8

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

19


COMPARISON OF DBIQ-OY CL ER, DBIQ-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY CL ER, DBIQ-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBIQ-OY CL TR and Goldman Sachs Crude Oil Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

20


COMPARISON OF DBIQ-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBIQ-OY CL TR and Goldman Sachs Crude Oil Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

21


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.
2. “Low” reflects the lowest closing level of the Index during the applicable year.
3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.
5. Closing levels as of inception on December 2, 1988.
6. Closing levels as of May 31, 2014.
7.

The DBIQ Optimum Yield Crude Oil Index Excess Return™ and DBIQ Optimum Yield Crude Oil Index Total Return™ reflect the change in market value of CL (Light, Sweet Crude Oil) on an Optimum YieldTM basis.

8. “DBIQ-OY CL ER™” is DBIQ Optimum Yield Crude Oil Index Excess Return™.
9. “DBIQ-OY CL TR™” is DBIQ Optimum Yield Crude Oil Index Total Return™.
10. “Goldman Sachs Crude Oil Total Return Index” is Goldman Sachs Crude Oil Total Return Index.
11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.
12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability — often referred to as the “standard deviation” — of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 3.03%.
14. “% of months with positive change” during the period from inception to May 31, 2014.
15. “Average monthly positive change” during the period from inception to May 31, 2014.
16. “Average monthly negative change” during the period from inception to May 31, 2014.
17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

 

22


NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

23


PRECIOUS METALS SECTOR DATA

RELATING TO

DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX EXCESS RETURN™

(DBIQ-OY PRECIOUS METALS ER™)

 

24


CLOSING LEVELS TABLES

DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX EXCESS RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

  Index Changes Since
Inception4

19885

    99.45     94.47     -5.10%     -5.10%

1989

    95.07     78.33   -10.54%   -15.10%

1990

    88.33     70.07   -12.51%   -25.72%

1991

    75.34     62.42   -15.60%   -37.30%

1992

    64.28     56.55     -9.44%   -43.22%

1993

    71.31     55.38     18.49%   -32.72%

1994

    68.95     61.70     -6.24%   -36.92%

1995

    65.86     60.00     -4.13%   -39.53%

1996

    65.24     54.89     -9.22%   -45.11%

1997

    55.35     43.82   -17.28%   -54.59%

1998

    48.63     40.62     -7.08%   -57.81%

1999

    45.88     37.10     -1.70%   -58.53%

2000

    44.35     36.32   -11.36%   -63.24%

2001

    37.53     33.78     -2.66%   -64.22%

2002

    42.57     35.33     18.95%   -57.43%

2003

    50.84     39.24     19.06%   -49.32%

2004

    57.55     46.00       6.35%   -46.10%

2005

    64.36     50.94     16.97%   -36.95%

2006

    89.86     63.88     21.19%   -23.60%

2007

    93.76     72.62     20.64%     -7.82%

2008

  111.75     70.48     -4.17%   -11.67%

2009

  125.88     80.96     27.73%     12.83%

2010

  156.43   106.48     38.64%     56.43%

2011

  209.23   142.98       5.13%     64.46%

2012

  193.25   160.55       6.30%     74.82%

2013

  178.48   120.93   -30.30%     21.85%

20146

  138.62   123.93       2.07%     24.37%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX TOTAL RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

 

Index Changes Since

Inception4

19885

    99.52     95.05     -4.49%     -4.49%

1989

    98.10     83.59     -2.82%     -7.18%

1990

    97.35     81.17     -5.51%   -12.30%

1991

    89.20     77.58   -10.84%   -21.81%

1992

    80.34     72.71     -6.21%   -26.66%

1993

    93.75     71.94     22.16%   -10.41%

1994

    93.57     85.44     -2.11%   -12.31%

1995

    93.31     84.23       1.38%   -11.10%

1996

    96.38     84.72     -4.43%   -15.04%

1997

    86.39     71.19   -12.91%   -26.00%

1998

    80.52     68.46     -2.45%   -27.81%

1999

    81.29     65.38       3.05%   -25.61%

2000

    80.04     68.62     -5.96%   -30.05%

2001

    73.58     65.10       0.81%   -29.48%

2002

    85.28     69.70     20.93%   -14.72%

2003

  102.89     78.85     20.29%       2.58%

2004

  117.90     93.42       7.84%     10.62%

2005

  136.03   104.80     20.74%     33.56%

2006

  193.51   135.42     27.17%     69.85%

2007

  216.92   161.55     26.12%   114.21%

2008

  260.94   166.06     -2.83%   108.15%

2009

  297.04   190.78     27.92%   166.26%

2010

  369.64   251.28     38.83%   269.64%

2011

  494.63   337.88       5.18%   288.80%

2012

  456.90   379.70       6.39%   313.64%

2013

  422.32   286.27   -30.26%   188.46%

20146

  328.18   293.40       2.09%   194.49%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX TOTAL RETURN™ OVER TIME. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

25


INDEX COMMODITIES WEIGHTS TABLES

DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX EXCESS RETURN™

 

      GC7    SI7
   High1    Low2    High    Low

19885

   80.0%    79.6%    20.0%    20.4%

1989

   79.7%    80.9%    20.3%    19.1%

1990

   81.2%    80.0%    18.8%    20.0%

1991

   80.9%    80.5%    19.1%    19.5%

1992

   78.8%    80.1%    21.2%    19.9%

1993

   77.3%    80.3%    22.7%    19.7%

1994

   76.6%    81.7%    23.4%    18.3%

1995

   78.7%    82.3%    21.3%    17.7%

1996

   79.9%    79.8%    20.1%    20.2%

1997

   77.8%    77.0%    22.2%    23.0%

1998

   75.9%    78.5%    24.1%    21.5%

1999

   80.0%    77.2%    20.0%    22.8%

2000

   80.1%    80.4%    19.9%    19.6%

2001

   82.1%    81.0%    17.9%    19.0%

2002

   80.7%    79.5%    19.3%    20.5%

2003

   78.6%    80.4%    21.4%    19.6%

2004

   79.7%    77.9%    20.3%    22.1%

2005

   79.3%    81.2%    20.7%    18.8%

2006

   76.1%    79.6%    23.9%    20.4%

2007

   81.1%    80.1%    18.9%    19.9%

2008

   78.4%    81.4%    21.6%    18.6%

2009

   80.2%    80.9%    19.8%    19.1%

2010

   78.2%    81.8%    21.8%    18.2%

2011

   77.4%    79.3%    22.6%    20.7%

2012

   78.9%    82.1%    21.1%    17.9%

2013

   79.7%    80.5%    20.3%    19.5%

20146

   81.1%    80.7%    18.9%    19.3%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX TOTAL RETURN™

 

      GC7    SI7
   High1    Low2    High    Low

19885

   80.0%    79.6%    20.0%    20.4%

1989

   79.5%    80.2%    20.5%    19.8%

1990

   81.2%    79.8%    18.8%    20.2%

1991

   80.9%    79.6%    19.1%    20.4%

1992

   79.1%    80.1%    20.9%    19.9%

1993

   77.1%    80.3%    22.9%    19.7%

1994

   77.0%    81.7%    23.0%    18.3%

1995

   77.8%    82.3%    22.2%    17.7%

1996

   79.9%    80.1%    20.1%    19.9%

1997

   77.8%    77.0%    22.2%    23.0%

1998

   75.9%    78.5%    24.1%    21.5%

1999

   80.0%    77.2%    20.0%    22.8%

2000

   80.1%    80.2%    19.9%    19.8%

2001

   82.1%    81.0%    17.9%    19.0%

2002

   80.4%    79.5%    19.6%    20.5%

2003

   78.6%    80.4%    21.4%    19.6%

2004

   79.7%    77.9%    20.3%    22.1%

2005

   79.3%    81.2%    20.7%    18.8%

2006

   76.1%    79.6%    23.9%    20.4%

2007

   81.1%    80.1%    18.9%    19.9%

2008

   78.4%    81.4%    21.6%    18.6%

2009

   80.2%    80.9%    19.8%    19.1%

2010

   78.2%    81.8%    21.8%    18.2%

2011

   77.4%    79.3%    22.6%    20.7%

2012

   78.9%    81.5%    21.1%    18.5%

2013

   79.7%    80.5%    20.3%    19.5%

20146

   81.1%    80.7%    18.9%    19.3%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD PRECIOUS METALS INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

26


All statistics based on data from December 2, 1988 to May 31, 2014.

 

VARIOUS STATISTICAL MEASURES

      DBIQ Optimum Yield
    Precious Metals ER8    
    DBIQ Optimum Yield
    Precious Metals TR9    
    Goldman Sachs
     US Precious Metals Total    
Return10
 

Annualized Changes to Index Level11

        0.9     4.3     4.5

Average rolling 3 month daily volatility12

        15.6     15.6     15.2

Sharpe Ratio13

        5.5     8.2     9.6

% of months with positive change14

        47.4     51.3     51.6

Average monthly positive change15

        4.2     4.1     3.9

Average monthly negative change16

        -3.4     -3.3     -3.2

ANNUALIZED INDEX LEVELS17

      DBIQ Optimum Yield
    Precious Metals ER8    
    DBIQ Optimum Yield
    Precious Metals TR9    
    Goldman Sachs
    US Precious Metals Total    
Return10
 

1 year

        -12.2     -12.1     -11.6

3 year

        -10.5     -10.5     -9.5

5 year

        4.0     4.1     4.0

7 year

        6.9     7.6     7.9

10 year

        9.8     11.5     11.2

15 year

        8.0     10.2     10.4

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

27


COMPARISON OF DBIQ-OY PRECIOUS METALS ER, DBIQ-OY PRECIOUS METALS TR AND GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Precious Metals ER, DBIQ-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBIQ-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

28


COMPARISON OF DBIQ-OY PRECIOUS METALS TR AND GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBIQ-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

29


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.
2. “Low” reflects the lowest closing level of the Index during the applicable year.
3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.
5. Closing levels as of inception on December 2, 1988.
6. Closing levels as of May 31, 2014.
7.

The DBIQ Optimum Yield Precious Metals Index Excess Return™ and DBIQ Optimum Yield Precious Metals Index Total Return™ reflect the change in market value of the following underlying index commodities: GC (Gold) and SI (Silver) on an Optimum YieldTM basis.

8. “DBIQ-OY Precious Metals ER™” is DBIQ Optimum Yield Precious Metals Index Excess Return™.
9. “DBIQ-OY Precious Metals TR™” is DBIQ Optimum Yield Precious Metals Index Total Return™.
10. “Goldman Sachs US Precious Metals Total Return” is Goldman Sachs US Precious Metals Total Return.
11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.
12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability — often referred to as the “standard deviation” — of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 3.04%.
14. “% of months with positive change” during the period from inception to May 31, 2014.
15. “Average monthly positive change” during the period from inception to May 31, 2014.
16. “Average monthly negative change” during the period from inception to May 31, 2014.
17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

 

30


ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

31


GOLD SECTOR DATA

RELATING TO

DBIQ OPTIMUM YIELD GOLD INDEX EXCESS RETURN™

(DBIQ-OY GC ER™)

 

32


CLOSING LEVELS TABLES

DBIQ OPTIMUM YIELD GOLD INDEX EXCESS RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

 

Index Changes Since

Inception4

19885

    99.43     94.00     -5.59%     -5.59%

1989

    94.66     79.15     -7.60%   -12.77%

1990

    91.16     72.70     -9.12%   -20.72%

1991

    80.68     66.43   -15.91%   -33.34%

1992

    67.23     60.20     -9.29%   -39.53%

1993

    73.24     59.14   14.87%   -30.54%

1994

    70.04     64.50     -5.82%   -34.58%

1995

    66.28     61.54     -4.98%   -37.84%

1996

    66.44     57.01     -8.28%   -42.99%

1997

    56.60     42.01   -25.00%   -57.24%

1998

    46.03     39.77     -3.80%   -58.87%

1999

    44.76     34.92     -3.54%   -60.32%

2000

    43.19     34.95   -10.07%   -64.32%

2001

    36.96     32.79     -2.15%   -65.08%

2002

    43.15     34.85     23.03%   -57.04%

2003

    50.90     39.63     18.18%   -49.24%

2004

    54.99     45.62       3.76%   -47.33%

2005

    61.77     49.36     14.51%   -39.68%

2006

    82.59     61.37     16.20%   -29.91%

2007

    87.24     66.67     23.43%   -13.49%

2008

  102.34     70.49       1.73%   -11.99%

2009

  120.07     80.47     22.77%       8.05%

2010

  139.11   103.64     28.75%     39.11%

2011

  183.97   128.88       9.42%     52.22%

2012

  173.42   148.72       6.01%     61.38%

2013

  163.03   114.17   -28.75%     14.99%

20146

  131.79   114.99       3.50%     19.01%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD GOLD INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD GOLD INDEX TOTAL RETURN™

 

     CLOSING LEVEL   CHANGES
  High1   Low2  

Annual Index

Changes3

 

Index Changes Since

Inception4

19885

    99.49     94.58     -4.99%     -4.99%

1989

    99.14     83.75       0.37%     -4.64%

1990

  100.47     82.41     -1.85%     -6.40%

1991

    95.52     81.79   -11.18%   -16.86%

1992

    84.33     77.40     -6.06%   -21.90%

1993

    96.27     76.75     18.43%     -7.50%

1994

    94.61     88.08     -1.68%     -9.06%

1995

    93.77     88.12       0.48%     -8.62%

1996

    98.16     88.05     -3.43%   -11.76%

1997

    87.63     68.28   -21.03%   -30.32%

1998

    76.21     67.02       0.99%   -29.62%

1999

    79.30     61.54       1.12%   -28.84%

2000

    77.95     65.87     -4.59%   -32.10%

2001

    72.45     63.19       1.34%   -31.19%

2002

    86.44     68.69     25.06%   -13.95%

2003

  103.01     79.65     19.39%       2.74%

2004

  112.66     92.65       5.21%       8.09%

2005

  130.59   101.92     18.20%     27.77%

2006

  177.84   130.09     21.94%     55.81%

2007

  202.21   148.31     29.04%   101.05%

2008

  238.99   166.08       3.15%   107.38%

2009

  283.32   189.63     22.95%   154.97%

2010

  328.71   244.58     28.92%   228.71%

2011

  434.91   304.57       9.48%   259.86%

2012

  410.02   351.68       6.10%   281.82%

2013

  385.77   270.26   -28.71%   172.22%

20146

  312.03   272.22       3.52%   181.79%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DBIQ OPTIMUM YIELD GOLD INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

33


INDEX COMMODITIES WEIGHTS TABLES

DBIQ OPTIMUM YIELD GOLD INDEX EXCESS RETURN™

 

      GC7
   High1    Low2

19885

   100%    100%

1989

   100%    100%

1990

   100%    100%

1991

   100%    100%

1992

   100%    100%

1993

   100%    100%

1994

   100%    100%

1995

   100%    100%

1996

   100%    100%

1997

   100%    100%

1998

   100%    100%

1999

   100%    100%

2000

   100%    100%

2001

   100%    100%

2002

   100%    100%

2003

   100%    100%

2004

   100%    100%

2005

   100%    100%

2006

   100%    100%

2007

   100%    100%

2008

   100%    100%

2009

   100%    100%

2010

   100%    100%

2011

   100%    100%

2012

   100%    100%

2013

   100%    100%

20146

   100%    100%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD GOLD INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND

NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD GOLD INDEX TOTAL RETURN™

 

      GC7
   High1    Low2

19885

   100%    100%

1989

   100%    100%

1990

   100%    100%

1991

   100%    100%

1992

   100%    100%

1993

   100%    100%

1994

   100%    100%

1995

   100%    100%

1996

   100%    100%

1997

   100%    100%

1998

   100%    100%

1999

   100%    100%

2000

   100%    100%

2001

   100%    100%

2002

   100%    100%

2003

   100%    100%

2004

   100%    100%

2005

   100%    100%

2006

   100%    100%

2007

   100%    100%

2008

   100%    100%

2009

   100%    100%

2010

   100%    100%

2011

   100%    100%

2012

   100%    100%

2013

   100%    100%

20146

   100%    100%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD GOLD INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND

NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

34


All statistics based on data from December 2, 1988 to May 31, 2014.

 

VARIOUS STATISTICAL MEASURES

      DBIQ Optimum Yield
Gold ER8
    DBIQ Optimum Yield
Gold TR9
    Gold Spot Fix pm10  

Annualized Changes to Index Level11

        0.7     4.3     4.1

Average rolling 3 month daily volatility12

        14.3     14.3     14.3

Sharpe Ratio13

        0.05        0.09        0.08   

% of months with positive change14

        46     53     49

Average monthly positive change15

        3.9     3.7     3.9

Average monthly negative change16

        -3.1     -3.2     -3.0

ANNUALIZED INDEX LEVELS17

     

DBIQ Optimum Yield

Gold ER8

    DBIQ Optimum Yield
Gold TR9
    Gold Spot Fix pm10  

1 year

        -11.0     -10.3     -10.9

3 year

        -7.4     -6.6     -7.3

5 year

        4.2     5.1     4.2

7 year

        7.6     9.6     8.3

10 year

        9.5     12.3     11.2

15 year

        7.9     10.8     10.1

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

35


COMPARISON OF DBIQ-OY GC ER, DBIQ-OY GC TR AND GOLD SPOT FIX PM

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY GC ER and DBIQ-OY GC TR are indices and do not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBIQ-OY GC TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

36


COMPARISON OF DBIQ-OY GC TR AND GOLD SPOT FIX PM

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ-OY GC TR is an index and does not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBIQ-OY GC TR is calculated on a total return basis and does not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

37


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.
2. “Low” reflects the lowest closing level of the Index during the applicable year.
3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.
5. Closing levels as of inception on December 2, 1988.
6. Closing levels as of May 31, 2014.
7.

The DBIQ Optimum Yield Gold Index Excess Return™ and DBIQ Optimum Yield Gold Index Total Return™ reflect the change in market value of GC (Gold) on an Optimum YieldTM basis.

8. “DBIQ-OY GC ER™” is DBIQ Optimum Yield Gold Index Excess Return™.
9. “DBIQ-OY GC TR™” is DBIQ Optimum Yield Gold Index Total Return™.
10. “Gold Spot Fix pm” is an internationally published benchmark for gold and is available through The London Bullion Market Association’s (the “LBMA”) website at http://www.lbma.org.uk/statistics_historic.htm. The fixings are fully transparent and are therefore used to determine the accepted average price of gold. As a benchmark, many other financial instruments (such as cash-settled swaps and options) are priced off the fixing. The gold fixing started in 1919. The gold fixing is conducted twice a day by telephone, at approximately 10:30 am and 3:00 pm. The five Gold Fixing members are the Bank of Nova Scotia–ScotiaMocatta, Barclays Bank Plc, Deutsche Bank AG, HSBC Bank USA, NA and Société Générale.
11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.
12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability — often referred to as the “standard deviation” — of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 3.03%.
14. “% of months with positive change” during the period from inception to May 31, 2014.
15. “Average monthly positive change” during the period from inception to May 31, 2014.
16. “Average monthly negative change” during the period from inception to May 31, 2014.
17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7, 10 or 15 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN MAY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP

 

38


DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD DECEMBER 1988 THROUGH APRIL 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

39


INDUSTRIAL METALS SECTOR DATA

RELATING TO

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX EXCESS RETURN™

(DBIQ-OY INDUSTRIAL METALS ER™)

 

40


CLOSING LEVELS TABLES

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX EXCESS RETURN™

 

      CLOSING LEVEL    CHANGES
   High1    Low2   

Annual Index

Changes3

  Index Changes Since
Inception4

19975

   100.17      82.95     -16.46%   -16.46%

1998

   83.89    66.04     -20.69%   -33.75%

1999

   80.73    63.87      21.85%   -19.27%

2000

   82.74    73.17       -7.70%   -25.49%

2001

   75.56    56.04     -19.70%   -40.17%

2002

   64.83    55.75       -4.02%   -42.57%

2003

   74.28    56.70      29.34%   -25.72%

2004

   98.27    74.78      31.88%     -2.04%

2005

   143.70      91.01      46.59%     43.60%

2006

   275.22      144.73        80.98%   159.88%

2007

   288.44      215.81       -14.86%   121.26%

2008

   277.42      113.65       -45.29%     21.06%

2009

   228.32      111.76        88.53%   128.23%

2010

   248.13      173.48          8.72%   148.13%

2011

   261.54      184.74       -22.19%     93.08%

2012

   221.47      180.37          2.85%     98.58%

2013

   205.25      166.93       -11.26%     76.22%

20146

   177.00      162.19         -2.67%     71.53%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX TOTAL RETURN™

 

      CLOSING LEVEL    CHANGES
   High1    Low2   

Annual Index

Changes3

  Index Changes Since
Inception4

19975

   100.19      84.33     -15.05%    -15.05%

1998

   85.63    70.50     -16.74%    -29.27%

1999

   90.35    68.63      27.73%      -9.65%

2000

   96.13    84.03       -2.07%    -11.53%

2001

   90.14    68.73     -16.84%    -26.43%

2002

   80.03    69.47      -2.42%    -28.21%

2003

   93.81    71.10      30.67%     -6.19%

2004

   125.83      94.46      33.72%     25.44%

2005

   189.91      116.58        51.32%     89.82%

2006

   380.41      191.40        89.91%   260.47%

2007

   407.16      309.75       -10.99%   220.85%

2008

   404.06      167.11       -44.52%     78.00%

2009

   336.19      164.37        88.80%   236.06%

2010

   365.85      255.58          8.87%   265.85%

2011

   385.74      272.52       -22.15%   184.82%

2012

   326.71      266.17          2.94%   193.18%

2013

   303.03      246.58       -11.21%   160.32%

20146

   261.47      239.60         -2.65%   153.42%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

41


INDEX COMMODITIES WEIGHTS TABLES

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX EXCESS RETURN™

 

      MAL7    MZN7    MCU7
   High1    Low2    High    Low    High    Low

19975

   33.3%    34.4%    33.1%    34.4%    33.6%    31.2%

1998

   34.0%    34.0%    34.8%    34.2%    31.1%    31.8%

1999

   33.8%    32.7%    33.1%    37.0%    33.1%    30.3%

2000

   33.9%    33.5%    33.1%    32.9%    32.9%    33.7%

2001

   36.3%    38.1%    31.0%    29.3%    32.7%    32.6%

2002

   32.8%    33.3%    32.2%    31.9%    34.9%    34.8%

2003

   32.4%    32.7%    33.4%    33.4%    34.2%    33.8%

2004

   32.7%    32.2%    34.6%    33.3%    32.7%    34.5%

2005

   32.1%    32.5%    34.5%    34.7%    33.4%    32.8%

2006

   33.9%    32.2%    33.4%    34.9%    32.7%    32.9%

2007

   34.5%    34.9%    30.0%    31.5%    35.5%    33.5%

2008

   35.1%    30.2%    30.0%    39.9%    34.9%    29.9%

2009

   33.5%    26.6%    34.2%    40.1%    32.3%    33.3%

2010

   32.6%    35.6%    31.6%    28.7%    35.7%    35.8%

2011

   33.9%    36.2%    30.7%    29.6%    35.4%    34.2%

2012

   32.7%    31.7%    32.8%    32.9%    34.4%    35.4%

2013

   33.8%    33.1%    33.3%    33.6%    32.8%    33.3%

20146

   32.0%    32.8%    34.5%    35.3%    33.4%    31.9%

THE FUND WILL TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX EXCESS RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX TOTAL RETURN™

 

      MAL7    MZN7    MCU7
   High1    Low2    High    Low    High    Low

19975

   33.3%    34.4%    33.1%    34.4%    33.6%    31.2%

1998

   34.0%    34.0%    34.8%    34.2%    31.1%    31.8%

1999

   33.8%    32.7%    33.1%    37.0%    33.1%    30.3%

2000

   33.5%    33.3%    32.8%    34.2%    33.7%    32.4%

2001

   36.3%    38.1%    31.0%    29.3%    32.7%    32.6%

2002

   32.8%    33.3%    32.2%    31.9%    34.9%    34.8%

2003

   32.4%    32.7%    33.4%    33.4%    34.2%    33.8%

2004

   32.7%    32.2%    34.6%    33.3%    32.7%    34.5%

2005

   32.1%    32.5%    34.5%    34.7%    33.4%    32.8%

2006

   33.9%    32.2%    33.4%    34.9%    32.7%    32.9%

2007

   34.5%    40.9%    30.0%    29.0%    35.5%    30.1%

2008

   35.1%    30.2%    30.0%    39.9%    34.9%    29.9%

2009

   33.5%    26.6%    34.2%    40.1%    32.3%    33.3%

2010

   32.6%    35.6%    31.6%    28.7%    35.7%    35.8%

2011

   33.9%    36.2%    30.7%    29.6%    35.4%    34.2%

2012

   32.7%    31.7%    32.8%    32.9%    34.4%    35.4%

2013

   33.8%    33.1%    33.3%    33.6%    32.8%    33.3%

20146

   32.0%    32.8%    34.5%    35.3%    33.4%    31.9%

THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE

DBIQ OPTIMUM YIELD INDUSTRIAL METALS INDEX TOTAL RETURN™ OVER TIME.

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

See accompanying Notes and Legends.

 

42


All statistics based on data from September 3, 1997 to May 31, 2014.

 

VARIOUS STATISTICAL MEASURES

     

DBIQ Optimum Yield

Industrial Metals ER8

     DBIQ Optimum  Yield
Industrial Metals TR9
     Goldman Sachs
US  Industrial Metal Total
Return10
 

Annualized Changes to Index Level11

        3.3%         5.7%         4.3%   

Average rolling 3 month daily volatility12

        18.7%         18.7%         20.0%   

Sharpe Ratio13

        0.17            0.20            0.11      

% of months with positive change14

        51%         54%         55%   

Average monthly positive change15

        5.1%         5.0%         4.8%   

Average monthly negative change16

        -4.3%         -4.4%         -4.7%   

ANNUALIZED INDEX LEVELS17

     

DBIQ Optimum Yield

Industrial Metals ER8

     DBIQ Optimum Yield
Industrial Metals TR9
     Goldman Sachs
US Industrial Metal  Total
Return10
 

1 year

        -5.2%         -5.2%         -4.9%   

3 year

        -11.2%         -11.1%         -11.8%   

5 year

        2.9%         3.0%         3.4%   

7 year

        -6.1%         -5.5%         -6.9%   

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

43


COMPARISON OF DBIQ-OY INDUSTRIAL METALS-ER, DBIQ-OY INDUSTRIAL METALS-TR AND GOLDMAN SACHS US INDUSTRIAL METALS TOTAL RETURN

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Industrial Metals ER, DBIQ-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading.

DBIQ-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

44


COMPARISON OF DBIQ-OY INDUSTRIAL METALS TR AND GOLDMAN SACHS US INDUSTRIAL METALS TOTAL RETURN INDEX

 

LOGO

NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

Each of DBIQ-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading. DBIQ-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are calculated on a total return basis and do not reflect any fees or expenses.

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

See accompanying Notes and Legends.

 

45


NOTES AND LEGENDS:

 

1. “High” reflects the highest closing level of the Index during the applicable year.
2. “Low” reflects the lowest closing level of the Index during the applicable year.
3. “Annual Index Changes” reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
4. “Index Changes Since Inception” reflects the change of the Index level since inception on a compounded annual basis as of December 31 of each applicable year.
5. Closing levels as of inception on September 3, 1997.
6. Closing levels as of May 31, 2014.
7.

The DBIQ Optimum Yield Industrial Metals Index Excess Return™ and DBIQ Optimum Yield Industrial Metals Index Total Return™ reflect the change in market value of the following underlying index commodities: MAL (Aluminum), MZN (Zinc) and MCU (Copper — Grade A) on an Optimum YieldTM basis.

8. “DBIQ-OY Industrial Metals ER™” is DBIQ Optimum Yield Industrial Metals Index Excess Return™.
9. “DBIQ-OY Industrial Metals TR™” is DBIQ Optimum Yield Industrial Metals Index Total Return™.
10. “Goldman Sachs US Industrial Metal Total Return” is Goldman Sachs US Industrial Metal Total Return.
11. “Annualized Changes to Index Level” reflect the change to the applicable index level on an annual basis as of December 31 of each applicable year.
12. “Average rolling 3 month daily volatility.” The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
13. “Sharpe Ratio” compares the annualized rate of return minus the annualized risk-free rate of return to the annualized variability — often referred to as the “standard deviation” — of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in these calculations was assumed to be 2.06%.
14. “% of months with positive change” during the period from inception to May 31, 2014.
15. “Average monthly positive change” during the period from inception to May 31, 2014.
16. “Average monthly negative change” during the period from inception to May 31, 2014.
17. “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each applicable time period (e.g., 1 year, 3, 5 or 7 years, as applicable).

WHILE THE FUND’S OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JULY 2006 (RENAMED OCTOBER 2010), CERTAIN INFORMATION RELATING TO INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE “HYPOTHETICAL.” HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.

NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUND’S PAST PERFORMANCE, WHEN AVAILABLE, OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN THE INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.

 

46


ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH JUNE 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX’S METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.

NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER “THE RISKS YOU FACE” HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUND’S EFFORTS TO TRACK ITS INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF SUCH INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.

THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUNDS AND RELATED PRODUCTS AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.

ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.

UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUER’S SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTY’S CUSTOMERS OR COUNTERPARTIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.

WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

 

47