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As Filed with the Securities and Exchange Commission on April 17, 2007
Registration No. 333-
333- -01
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM S-1
REGISTRATION STATEMENT
UNDER
THE SECURITIES ACT OF 1933
POWERSHARES DB MULTI-SECTOR COMMODITY TRUST
(Registrant)
POWERSHARES DB ENERGY FUND; POWERSHARES DB OIL FUND;
POWERSHARES DB PRECIOUS METALS FUND; POWERSHARES
DB GOLD FUND; POWERSHARES DB SILVER FUND; POWERSHARES
DB BASE METALS FUND; POWERSHARES DB AGRICULTURE FUND
DB MULTI-SECTOR COMMODITY MASTER TRUST
DB ENERGY MASTER FUND; DB OIL MASTER FUND; DB PRECIOUS METALS MASTER FUND;
DB GOLD MASTER FUND; DB SILVER MASTER FUND; DB BASE METALS MASTER FUND;
DB AGRICULTURE MASTER FUND
(Rule 140 Co-Registrants)
(Exact name of the registrant as specified in its charter)
| Delaware | 6799 | 87-0778053 (Trust) 87-0778057 (Master Trust) | ||
| (State of Organization) | (Primary Standard Industrial Classification Number) |
(I.R.S. Employer Identification Number) | ||
| c/o DB Commodity Services LLC 60 Wall Street New York, New York 10005 (212) 250-5883 |
Kevin Rich c/o DB Commodity Services LLC 60 Wall Street New York, New York 10005 (212) 250-5883 | |||
| (Address, including zip code, and telephone number, including area code, of registrant’s principal executive offices) |
(Name, address, including zip code, and telephone number, including area code, of agent for service) |
Copies to:
Michael J. Schmidtberger
Sidley Austin LLP
787 Seventh Avenue
New York, New York 10019
Approximate date of commencement of proposed sale to the public:
As promptly as practicable after the effective date of this Registration Statement.
If any of the securities being registered on this form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933, check the following box. x
If this form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ¨
If this form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ¨
If this form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering. ¨
CALCULATION OF REGISTRATION FEE
| Title of Securities to be Registered | Proposed Maximum Aggregate Offering Price† |
Amount of Registration Fee† | ||
| PowerShares DB Agriculture Fund Common Units of Beneficial Interest |
$1,020,800,000 | $31,338.56 | ||
| † | The amount of the registration fee for the Shares of PowerShares DB Agriculture Fund is calculated in reliance upon Rule 457(o) under the Securities Act. The price per unit is based on the NAV per Share of PowerShares DB Agriculture Fund as of the close of business on April 10, 2007 which was $25.52. 40,000,000 Shares are being registered hereby and the registration fee of $31,338.56 is being paid in respect thereof contemporaneously with the filing of this Registration Statement. |
This Registration Statement contains a combined prospectus under Rule 429 promulgated under the Securities Act of 1933, which relates to File No. 333-135422. Accordingly, upon effectiveness, this Registration Statement shall act as a Post-Effective Amendment No. 1 to File No. 333-135422.
The registrant hereby amends this Registration Statement on such date or dates as may be necessary to delay its effective date until the registrant shall file a further amendment which specifically states that this Registration Statement shall thereafter become effective in accordance with Section 8(a) of the Securities Act or until this Registration Statement shall become effective on such date as the Commission, acting pursuant to said Section 8(a), may determine.
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The information in this Prospectus is not complete and may be changed. We may not sell these securities until the registration statement filed with the Securities and Exchange Commission is effective. This Prospectus is not an offer to sell these securities and is not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.
Subject to completion, dated April 17, 2007
POWERSHARES DB MULTI-SECTOR COMMODITY TRUST
| PowerShares DB Energy Fund | $470,062,218 Common Units of Beneficial Interest | |
| PowerShares DB Oil Fund | $470,342,258 Common Units of Beneficial Interest | |
| PowerShares DB Precious Metals Fund | $475,000,000 Common Units of Beneficial Interest | |
| PowerShares DB Gold Fund | $475,000,000 Common Units of Beneficial Interest | |
| PowerShares DB Silver Fund | $475,000,000 Common Units of Beneficial Interest | |
| PowerShares DB Base Metals Fund | $475,000,000 Common Units of Beneficial Interest | |
| PowerShares DB Agriculture Fund | $1,333,197,580 Common Units of Beneficial Interest |
INVESTING IN THE SHARES INVOLVES SIGNIFICANT RISKS.
PLEASE REFER TO “ THE RISKS YOU FACE” BEGINNING ON PAGE 22.
Authorized Participants may offer to the public, from time-to-time, Shares from any Baskets they create. Shares offered to the public by Authorized Participants will be offered at a per-Share offering price that will vary depending on, among other factors, the trading price of the Shares of each Fund on the Amex, the net asset value per Share and the supply of and demand for the Shares at the time of the offer. Shares initially comprising the same Basket but offered by Authorized Participants to the public at different times may have different offering prices. Authorized Participants will not receive from any Fund, the Managing Owner or any of their affiliates, any fee or other compensation in connection with their sale of Shares to the public.
An Authorized Participant may receive commissions or fees from investors who purchase Shares through their commission or fee-based brokerage accounts.
These securities have not been approved or disapproved by the Securities and Exchange Commission or any state securities commission nor has the Securities and Exchange Commission or any state securities commission passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense. None of the Funds nor any of the Master Funds is a mutual fund or any other type of investment company within the meaning of the Investment Company Act of 1940, as amended, and none of them is subject to regulation thereunder.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THESE POOLS NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT. The Shares are neither interests in nor obligations of any of the Managing Owner, the Trustee or any of their respective affiliates. The Shares are not insured by the Federal Deposit Insurance Corporation or any other governmental agency.
[·], 2007 (Not for use after [·], 2007)
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COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE STATEMENT
YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT FUTURES TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.
FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED TO THESE POOLS AT PAGE 110 AND A STATEMENT OF THE PERCENTAGE RETURNS NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGE 17.
THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN ANY OF THESE COMMODITY POOLS. THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN ANY OF THESE COMMODITY POOLS, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGES 22 THROUGH 29.
YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.
THE BOOKS AND RECORDS OF EACH FUND AND EACH MASTER FUND ARE MAINTAINED AS FOLLOWS: ALL MARKETING MATERIALS ARE MAINTAINED AT THE OFFICES OF ALPS DISTRIBUTORS, INC., 1625 BROADWAY, SUITE 2200, DENVER, COLORADO 80202; TELEPHONE NUMBER (303) 623-2577; BASKET CREATION AND REDEMPTION BOOKS AND RECORDS, ACCOUNTING AND CERTAIN OTHER FINANCIAL BOOKS AND RECORDS (INCLUDING FUND AND MASTER FUND ACCOUNTING RECORDS, LEDGERS WITH RESPECT TO ASSETS, LIABILITIES, CAPITAL, INCOME AND EXPENSES, THE REGISTRAR, TRANSFER JOURNALS AND RELATED DETAILS) AND TRADING AND RELATED DOCUMENTS RECEIVED FROM FUTURES COMMISSION MERCHANTS ARE MAINTAINED BY THE BANK OF NEW YORK, 2 HANSON PLACE, 12TH FLOOR, BROOKLYN, NEW YORK 11217, TELEPHONE NUMBER (718) 315-4850. ALL OTHER BOOKS AND RECORDS OF EACH FUND AND EACH MASTER FUND (INCLUDING MINUTE BOOKS AND OTHER GENERAL CORPORATE RECORDS, TRADING RECORDS AND RELATED REPORTS AND OTHER ITEMS RECEIVED FROM EACH MASTER FUND’S COMMODITY BROKERS) ARE MAINTAINED AT THE FUNDS’ PRINCIPAL OFFICE, C/O DB COMMODITY SERVICES LLC, 60 WALL STREET, NEW YORK, NEW YORK 10005; TELEPHONE NUMBER (212) 250-5883. SHAREHOLDERS WILL HAVE THE RIGHT, DURING NORMAL BUSINESS HOURS, TO HAVE ACCESS TO AND COPY (UPON PAYMENT OF
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REASONABLE REPRODUCTION COSTS) SUCH BOOKS AND RECORDS IN PERSON OR BY THEIR AUTHORIZED ATTORNEY OR AGENT. MONTHLY ACCOUNT STATEMENTS FOR EACH FUND CONFORMING TO COMMODITY FUTURES TRADING COMMISSION (THE “CFTC”) AND THE NATIONAL FUTURES ASSOCIATION (THE “NFA”) REQUIREMENTS ARE POSTED ON THE MANAGING OWNER’S WEBSITE AT WWW.DBFUNDS.DB.COM. ADDITIONAL REPORTS ARE POSTED ON THE FUNDS’ WEBSITE IN THE DISCRETION OF THE MANAGING OWNER OR AS REQUIRED BY REGULATORY AUTHORITIES. THERE WILL SIMILARLY BE DISTRIBUTED TO SHAREHOLDERS OF EACH FUND, NOT MORE THAN 90 DAYS AFTER THE CLOSE OF EACH FUND’S FISCAL YEAR, CERTIFIED AUDITED FINANCIAL STATEMENTS AND (IN NO EVENT LATER THAN MARCH 15 OF THE IMMEDIATELY FOLLOWING YEAR) THE TAX INFORMATION RELATING TO SHARES OF EACH FUND NECESSARY FOR THE PREPARATION OF SHAREHOLDERS’ ANNUAL FEDERAL INCOME TAX RETURNS.
THIS PROSPECTUS DOES NOT INCLUDE ALL OF THE INFORMATION OR EXHIBITS IN THE REGISTRATION STATEMENT OF THE TRUST AND THE MASTER TRUST. YOU CAN READ AND COPY THE ENTIRE REGISTRATION STATEMENT AT THE PUBLIC REFERENCE FACILITIES MAINTAINED BY THE SEC IN WASHINGTON, D.C.
THE FUNDS AND THE MASTER FUNDS FILE QUARTERLY AND ANNUAL REPORTS WITH THE SEC. YOU CAN READ AND COPY THESE REPORTS AT THE SEC PUBLIC REFERENCE FACILITIES IN WASHINGTON, D.C. PLEASE CALL THE SEC AT 1-800-SEC-0330 FOR FURTHER INFORMATION.
THE FILINGS OF THE TRUST AND THE MASTER TRUST ARE POSTED AT THE SEC WEBSITE AT HTTP://WWW.SEC.GOV.
REGULATORY NOTICES
NO DEALER, SALESMAN OR ANY OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY REPRESENTATION NOT CONTAINED IN THIS PROSPECTUS, AND, IF GIVEN OR MADE, SUCH OTHER INFORMATION OR REPRESENTATION MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE TRUST, ANY FUND, THE MASTER TRUST, ANY MASTER FUND, THE MANAGING OWNER, THE AUTHORIZED PARTICIPANTS OR ANY OTHER PERSON.
THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFER OR SOLICITATION TO SELL OR A SOLICITATION OF AN OFFER TO BUY, NOR SHALL THERE BE ANY OFFER, SOLICITATION, OR SALE OF THE SHARES IN ANY JURISDICTION IN WHICH SUCH OFFER, SOLICITATION, OR SALE IS NOT AUTHORIZED OR TO ANY PERSON TO WHOM IT IS UNLAWFUL TO MAKE ANY SUCH OFFER, SOLICITATION, OR SALE.
THE DIVISION OF INVESTMENT MANAGEMENT OF THE SECURITIES AND EXCHANGE COMMISSION REQUIRES THAT THE FOLLOWING STATEMENT BE PROMINENTLY SET FORTH HEREIN: “NEITHER POWERSHARES DB MULTI-SECTOR COMMODITY TRUST NOR DB MULTI-SECTOR COMMODITY MASTER TRUST NOR ANY SERIES THEREOF IS A MUTUAL FUND OR ANY OTHER TYPE OF INVESTMENT COMPANY WITHIN THE MEANING OF THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, AND IS NOT SUBJECT TO REGULATION THEREUNDER.”
AUTHORIZED PARTICIPANTS MAY BE REQUIRED TO DELIVER A PROSPECTUS WHEN TRANSACTING IN SHARES. SEE “PLAN OF DISTRIBUTION.”
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| Management Fee |
Each Master Fund with respect to PowerShares DB Oil Fund, PowerShares DB Gold Fund and PowerShares DB Silver Fund pays the Managing Owner a Management Fee, monthly in arrears, in an amount equal to 0.50% per annum of the daily net asset value of such Master Fund. Each Master Fund with respect to PowerShares DB Energy Fund, PowerShares DB Precious Metals Fund, PowerShares DB Base Metals Fund and PowerShares DB Agriculture Fund pays the Managing Owner a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of the daily net asset value of such Master Fund. No separate management fee is paid by any corresponding Fund. The Management Fee is paid in consideration of the Managing Owner’s commodity futures trading advisory services. |
| Organization and Offering Expenses |
Expenses incurred in connection with organizing each Fund and its corresponding Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its corresponding Master Fund’s trading operations also will be paid by the Managing Owner. |
| Brokerage Commissions and Fees |
Each Master Fund pays to the Commodity Broker all brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. On average, total charges paid to the Commodity Broker are expected to be less than $10.00 per round-turn trade, although the Commodity Broker’s brokerage commissions and trading fees are determined on a contract-by-contract basis. The Managing Owner does not expect brokerage commissions and fees to exceed (i) 0.03% of the net asset value of each Master Fund with respect to PowerShares DB Energy Fund and PowerShares DB Base Metals Fund, (ii) 0.04% of the net asset value of each Master Fund with respect to PowerShares DB Oil Fund, PowerShares DB Precious Metals Fund, PowerShares DB Gold Fund and PowerShares DB Silver Fund, or (iii) 0.16% of the net asset value of the Master Fund with respect to PowerShares DB Agriculture Fund in any year, although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater. |
| Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner pays all of the routine operational, administrative and other ordinary expenses of each Fund and its corresponding Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee, legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs. |
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| Extraordinary Fees and Expenses |
Each Master Fund pays all the extraordinary fees and expenses, if any, of itself and its corresponding Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. |
| Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and the brokerage commissions and fees of each Master Fund and its corresponding Fund are paid first out of interest income from such Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. Such interest income has been sufficient to cover the fees and expenses of each Master Fund and its corresponding Fund and is expected to continue to do so. To the extent interest income is not sufficient to cover the fees and expenses of a Master Fund and its corresponding Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities. |
| Selling Commission |
Retail investors may purchase and sell Shares through traditional brokerage accounts. Investors are expected to be charged a customary commission by their brokers in connection with purchases of Shares that will vary from investor to investor. Investors are encouraged to review the terms of their brokerage accounts for applicable charges. |
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“Breakeven Table”
| Dollar Amount and Percentage of Expenses Per Fund | |||||||||||||||||||||||||||||||||||||||||||||||||
| DBE10 | DBO11 | DBP12 | DGL11 | DBS11 | DBB10 | DBA13 | |||||||||||||||||||||||||||||||||||||||||||
| Expense1 |
$ | % | $ | % | $ | % | $ | % | $ | % | $ | % | $ | % | |||||||||||||||||||||||||||||||||||
| Management Fee2 |
$ | 0.19 | 0.75 | % | $ | 0.13 | 0.50 | % | $ | 0.19 | 0.75 | % | $ | 0.13 | 0.50 | % | $ | 0.13 | 0.50 | % | $ | 0.19 | 0.75 | % | $ | 0.19 | 0.75 | % | |||||||||||||||||||||
| Organization and Offering Expense Reimbursement3 |
$ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | |||||||||||||||||||||
| Brokerage Commissions and Fees4 |
$ | 0.01 | 0.03 | % | $ | 0.01 | 0.04 | % | $ | 0.01 | 0.04 | % | $ | 0.01 | 0.04 | % | $ | 0.01 | 0.04 | % | $ | 0.01 | 0.03 | % | $ | 0.04 | 0.16 | % | |||||||||||||||||||||
| Routine Operational, Administrative and Other Ordinary Expenses5,6 |
$ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | $ | 0.00 | 0.00 | % | |||||||||||||||||||||
| Interest Income7 |
$ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | $ | (1.26 | ) | (5.03 | )% | ||||||||||||||
| 12-Month Breakeven8,9 |
$ | (1.06 | ) | 0.00 | % | $ | (1.12 | ) | 0.00 | % | $ | (1.06 | ) | 0.00 | % | $ | (1.12 | ) | 0.00 | % | $ | (1.12 | ) | 0.00 | % | $ | (1.06 | ) | 0.00 | % | $ | (1.03 | ) | 0.00 | % | ||||||||||||||
| 1. | The breakeven analysis assumes that the Shares have a constant month-end Fund net asset value and is based on $25.00 as the net asset value per Share. See “Charges” on page 110 for an explanation of the expenses included in the “Breakeven Table.” |
| 2. | From the Management Fee, the Managing Owner will be responsible for paying the fees and expenses of the Administrator, ALPS Distributors and AIM Distributors. |
| 3. | The Managing Owner is responsible for paying the organization and offering expenses of each Fund and each Master Fund. |
| 4. | The actual amount of brokerage commissions and trading fees to be incurred will vary based upon the trading frequency of each Master Fund and the specific futures contracts traded. |
| 5. | The Managing Owner is responsible for paying all routine operational, administrative and other ordinary expenses of each Fund and each Master Fund. |
| 6. | In connection with orders to create and redeem Baskets, Authorized Participants will pay a transaction fee in the amount of $500 per order. Because these transaction fees are de minimis in amount, are charged on a transaction-by-transaction basis (and not on a Basket-by-Basket basis), and are borne by the Authorized Participants, they have not been included in the Breakeven Table. |
| 7. | Interest income currently is estimated to be earned at a rate of 5.03%, based upon the current yield on 3-month U.S. Treasury bills as of April 5, 2007. |
| 8. | Because it is expected that interest income will exceed the fees and costs incurred by each Fund and Master Fund at the end of the first twelve months of an investment, the percentage of profit required for each Fund to breakeven at the end of the first twelve months of an investment, by definition, is expected to be 0.00%. |
| 9. | You may pay customary brokerage commissions in connection with purchases of the Shares. Because such brokerage commission rates will vary from investor to investor, such brokerage commissions have not been included in the Breakeven Table. Investors are encouraged to review the terms of their brokerage accounts for applicable charges. |
| 10. | Each of DBE and DBB are subject to (i) a Management Fee of 0.75% per annum and (ii) estimated brokerage commissions and fees of 0.03% per annum. DBE and DBB are each subject to fees and expenses in the aggregate amount of approximately 0.78% per annum. DBE and DBB will be successful only if each of their annual returns from the underlying futures contracts, including annual income from 3-month U.S. Treasury bills, exceeds approximately 0.78% per annum. The Master Funds of DBE and DBB (and, in turn, DBE and DBB) are expected to earn 5.03% per annum, based upon the current yield of 3-month U.S. Treasury bills as of April 5, 2007. Therefore, based upon the difference between the current yield of 3-month U.S. Treasury bills and the annual fees and expenses, each of DBE and DBB would be expected to earn approximately 4.25% per annum, assuming that both DBE and DBB have not experienced either gains or losses resulting from investing in the underlying futures contracts. |
| 11. | Each of DBO, DGL and DBS are subject to (i) a Management Fee of 0.50% per annum and (ii) estimated brokerage commissions and fees of 0.04% per annum. DBO, DGL and DBS are each subject to fees and expenses in the aggregate amount of approximately 0.54% per annum. DBO, DGL and DBS will be successful only if each of their annual returns from the underlying futures contracts, including annual income from 3-month U.S. Treasury bills, exceeds approximately 0.54% per annum. The Master Funds of DBO, DGL and DBS (and, in turn, DBO, DGL and DBS) are expected to earn 5.03% per annum, based upon the current yield of 3-month U.S. Treasury bills as of April 5, 2007. Therefore, based upon the difference between the current yield of 3-month U.S. Treasury bills and the annual fees and expenses, each of DBO, DGL and DBS would be expected to earn approximately 4.49% per annum, assuming that each of DBO, DGL and DBS has not experienced either gains or losses resulting from investing in the underlying futures contracts. |
| 12. | DBP is subject to (i) a Management Fee of 0.75% per annum and (ii) estimated brokerage commissions and fees of 0.04% per annum. DBP is subject to fees and expenses in the aggregate amount of approximately 0.79% per annum. DBP will be successful only if its annual returns from the underlying futures contracts, including annual income from 3-month U.S. Treasury bills, exceeds approximately 0.79% per annum. The Master Fund of DBP (and, in turn, DBP) is expected to earn 5.03% per annum, based upon the current yield of 3-month U.S. Treasury bills as of April 5, 2007. Therefore, based upon the difference between the current yield of 3-month U.S. Treasury bills and the annual fees and expenses, DBP would be expected to earn approximately 4.24% per annum, assuming that DBP has not experienced either gains or losses resulting from investing in the underlying futures contracts. |
| 13. | DBA is subject to (i) a Management Fee of 0.75% per annum and (ii) estimated brokerage commissions and fees of 0.16% per annum. DBA is subject to fees and expenses in the aggregate amount of approximately 0.91% per annum. DBA will be successful only if its annual returns from the underlying futures contracts, including annual income from 3-month U.S. Treasury bills, exceeds approximately 0.91% per annum. The Master Fund of DBA (and, in turn, DBA) is expected to earn 5.03% per annum, based upon the current yield of 3-month U.S. Treasury bills as of April 5, 2007. Therefore, based upon the difference between the current yield of 3-month U.S. Treasury bills and the annual fees and expenses, DBA would be expected to earn approximately 4.12% per annum, assuming that DBA has not experienced either gains or losses resulting from investing in the underlying futures contracts. |
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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 March 31, 2007: $29,935,782
Net Asset Value as of March 31, 2007: $33,459,736
Net Asset Value per Share as of March 31, 2007: $27.88
Worst Monthly Drawdown: N/A
Worst Peak-to-Valley Drawdown: N/A
| Monthly Rate of Return |
2007(%) | |
| January |
0.08% | |
| February |
5.82% | |
| March |
5.31% | |
| April |
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| May |
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| June |
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| July |
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| August |
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| September |
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| October |
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| November |
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| December |
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| Compound Rate of Return |
11.53% (3 months) |
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 March 31, 2007: $29,657,742
Net Asset Value as of March 31, 2007: $16,336,507
Net Asset Value per Share as of March 31, 2007: $27.22
Worst Monthly Drawdown: (2.09%) January 2007
Worst Peak-to-Valley Drawdown: (2.09%) January 2007
| Monthly Rate of Return |
2007(%) | |
| January |
(2.09)% | |
| February |
6.12% | |
| March |
4.80% | |
| April |
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| May |
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| June |
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| July |
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| August |
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| September |
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| October |
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| November |
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| December |
||
| Compound Rate of Return |
8.90% (3 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information on page 37.
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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 March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $26,234,726
Net Asset Value per Share as of March 31, 2007: $26.23
Worst Monthly Drawdown: (1.84)% March 2007
Worst Peak-to-Valley Drawdown: (1.84%) March 2007
| Monthly Rate of Return |
2007(%) | |
| January |
4.04% | |
| February |
2.75% | |
| March |
(1.84)% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
4.93% (3 months) |
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 March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $26,220,445
Net Asset Value per Share as of March 31, 2007: $26.22
Worst Monthly Drawdown: (1.03)% March 2007
Worst Peak-to-Valley Drawdown: (1.03)% March 2007
| Monthly Rate of Return |
2007(%) | |
| January |
3.45% | |
| February |
2.43% | |
| March |
(1.03)% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
4.87% (3 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information on page 37.
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PERFORMANCE OF POWERSHARES DB SILVER FUND (TICKER: DBS), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST
Name of Pool: PowerShares DB Silver Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: January 2007
Aggregate Gross Capital Subscriptions as of March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $26,366,741
Net Asset Value per Share as of March 31, 2007: $26.36
Worst Monthly Drawdown: (4.90)% March 2007
Worst Peak-to-Valley Drawdown: (4.90)% March 2007
| Monthly Rate of Return |
2007(%) | |
| January |
6.48% | |
| February |
4.14% | |
| March |
(4.90)% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
5.46% (3 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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 March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $24,874,221
Net Asset Value per Share as of March 31, 2007: $24.87
Worst Monthly Drawdown: (5.85%) January 2007
Worst Peak-to-Valley Drawdown: (5.85%) January 2007
| Monthly Rate of Return |
2007(%) | |
| January |
(5.85)% | |
| February |
3.70% | |
| March |
1.90% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
(0.51)% (3 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information on page 37.
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PERFORMANCE OF POWERSHARES DB AGRICULTURE FUND (TICKER: DBA), A SERIES OF POWERSHARES DB MULTI-SECTOR COMMODITY TRUST
Name of Pool: PowerShares DB Agriculture Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: January 2007
Aggregate Gross Capital Subscriptions as of March 31, 2007: $187,602,420
Net Asset Value as of March 31, 2007: $182,205,370
Net Asset Value per Share as of March 31, 2007: $25.31
Worst Monthly Drawdown: (5.81)% March 2007
Worst Peak-to-Valley Drawdown: (5.81)% March 2007
| Monthly Rate of Return |
2007(%) | |
| January |
3.45% | |
| February |
3.88% | |
| March |
(5.81)% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
1.22% (3 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information.
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 each pool as of March 31, 2007.
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 March 31, 2007.
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.
37
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38
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SECTOR INDEXES OVERVIEW
| Index |
Index Commodity |
Exchange (Contract Symbol)* |
Base Date |
Index Base Weight | |||||
| DBLCI-OY Energy ER™ |
Sweet Light Crude Oil (WTI) | NYMEX (CL) | June 4, 1990 | 22.50 | % | ||||
| Heating Oil | NYMEX (HO) | 22.50 | % | ||||||
| Brent Crude Oil | ICE (LCO) | 22.50 | % | ||||||
| RBOB Gasoline | NYMEX (XB) | 22.50 | % | ||||||
| Natural Gas | NYMEX (NG) | 10.00 | % | ||||||
| DBLCI-OY CL ER™ |
Sweet Light Crude Oil (WTI) | NYMEX (CL) | December 2, 1988 | 100.00 | % | ||||
| DBLCI-OY Precious Metals ER™ |
Gold | COMEX (GC) | December 2, 1988 | 80.00 | % | ||||
| Silver | COMEX (SI) | 20.00 | % | ||||||
| DBLCI-OY GC ER™ |
Gold | COMEX (GC) | December 2, 1988 | 100.00 | % | ||||
| DBLCI-OY SI ER™ |
Silver | COMEX (SI) | December 2, 1988 | 100.00 | % | ||||
| DBLCI-OY Industrial Metals ER™ |
Aluminum | LME (MAL) | September 3, 1997 | 33.33 | % | ||||
| Zinc | LME (MZN) | 33.33 | % | ||||||
| Copper—Grade A | LME (MCU) | 33.33 | % | ||||||
| DBLCI-OY Agriculture ER™ |
Corn | CBOT (C) | December 2, 1988 | 25.00 | % | ||||
| Wheat | CBOT (W) | 25.00 | % | ||||||
| Soybeans | CBOT (S) | 25.00 | % | ||||||
| Sugar | NYBOT (SB) | 25.00 | % | ||||||
* Connotes the exchanges on which the underlying futures contracts are traded with respect to each Index Commodity.
Legend:
“CBOT” means the Board of Trade of the City of Chicago Inc., or its successor.
“COMEX” means the Commodity Exchange Inc., New York or its successor.
“ICE” means the Intercontinental Exchange, Inc. or its successor.
“LME” means The London Metal Exchange Limited or its successor.
“NYBOT” means Board of Trade of the City of New York, Inc. or its successor.
“NYMEX” means the New York Mercantile Exchange or its successor.
[Remainder of page left blank Intentionally.]
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46
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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 |
DBLCI-OY Energy ER™3 |
DBLCI-OY CL ER™4 |
DBLCI-OY Precious Metals ER™4 |
DBLCI-OY GC ER™4 |
DBLCI-OY SI ER™4 |
DBLCI-OY Industrial Metals ER™5 |
DBLCI-OY Agriculture ER™4 |
||||||||||||||
| Daily volatility over full history |
24.65 | % | 26.77 | % | 14.99 | % | 14.04 | % | 23.93 | % | 18.06 | % | 14.65 | % | |||||||
| Average rolling 3 month daily volatility |
23.05 | % | 25.37 | % | 14.09 | % | 13.05 | % | 22.58 | % | 16.68 | % | 14.19 | % | |||||||
| Monthly return volatility |
24.19 | % | 25.19 | % | 14.11 | % | 13.21 | % | 23.33 | % | 18.18 | % | 13.93 | % | |||||||
| Average annual volatility |
24.33 | % | 26.28 | % | 14.36 | % | 13.42 | % | 22.44 | % | 16.92 | % | 14.31 | % |
The following table reflects the daily volatility on an annual basis of each Index:
| Year |
DBLCI-OY Energy ER™3 |
DBLCI-OY CL ER™4 |
DBLCI-OY Precious Metals ER™4 |
DBLCI-OY GC ER™4 |
DBLCI-OY SI ER™4 |
DBLCI-OY Industrial Metals ER™5 |
DBLCI-OY Agriculture ER™4 |
||||||||||||||
| 1988 |
— | 26.56 | % | 11.17 | % | 11.41 | % | 10.73 | % | — | 9.60 | % | |||||||||
| 1989 |
— | 28.11 | % | 13.57 | % | 13.14 | % | 18.53 | % | — | 15.30 | % | |||||||||
| 1990 |
44.82 | % | 40.56 | % | 16.71 | % | 17.67 | % | 19.41 | % | — | 12.77 | % | ||||||||
| 1991 |
31.03 | % | 29.57 | % | 13.63 | % | 12.63 | % | 23.40 | % | — | 15.70 | % | ||||||||
| 1992 |
14.60 | % | 16.66 | % | 8.90 | % | 8.32 | % | 15.67 | % | — | 12.02 | % | ||||||||
| 1993 |
15.25 | % | 17.70 | % | 16.81 | % | 14.44 | % | 28.37 | % | — | 12.81 | % | ||||||||
| 1994 |
18.05 | % | 20.13 | % | 12.08 | % | 9.60 | % | 23.28 | % | — | 13.20 | % | ||||||||
| 1995 |
13.45 | % | 17.07 | % | 9.89 | % | 6.62 | % | 26.37 | % | — | 11.56 | % | ||||||||
| 1996 |
23.86 | % | 31.02 | % | 7.74 | % | 6.17 | % | 17.62 | % | — | 14.73 | % | ||||||||
| 1997 |
18.29 | % | 21.51 | % | 13.51 | % | 12.60 | % | 24.68 | % | 11.99 | % | 12.85 | % | |||||||
| 1998 |
23.80 | % | 27.97 | % | 14.60 | % | 12.84 | % | 29.22 | % | 14.38 | % | 14.13 | % | |||||||
| 1999 |
24.43 | % | 27.10 | % | 16.54 | % | 17.35 | % | 21.74 | % | 14.07 | % | 17.49 | % | |||||||
| 2000 |
28.21 | % | 32.19 | % | 14.01 | % | 15.02 | % | 14.41 | % | 11.78 | % | 15.71 | % | |||||||
| 2001 |
27.56 | % | 29.77 | % | 13.79 | % | 14.44 | % | 17.22 | % | 12.57 | % | 14.55 | % | |||||||
| 2002 |
24.63 | % | 25.52 | % | 13.51 | % | 13.44 | % | 17.43 | % | 13.12 | % | 15.07 | % | |||||||
| 2003 |
26.34 | % | 26.59 | % | 16.17 | % | 16.66 | % | 20.32 | % | 13.86 | % | 12.47 | % | |||||||
| 2004 |
28.71 | % | 30.80 | % | 19.48 | % | 16.25 | % | 35.48 | % | 20.85 | % | 19.40 | % | |||||||
| 2005 |
27.49 | % | 26.55 | % | 13.23 | % | 12.38 | % | 21.32 | % | 18.18 | % | 16.31 | % | |||||||
| 2006 |
22.01 | % | 22.01 | % | 28.97 | % | 22.81 | % | 41.21 | % | 32.26 | % | 16.57 | % | |||||||
| 20071 |
25.42 | % | 28.18 | % | 15.84 | % | 14.65 | % | 22.37 | % | 23.09 | % | 13.99 | % |
| 1 |
As of March 31, 2007. Past Index levels are not necessarily indicative of future Index levels. |
| 2 |
Volatility, 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. |
| 3 |
As of June 4, 1990. Past Index levels are not necessarily indicative of future Index levels. |
| 4 |
As of December 2, 1988. Past Index levels are not necessarily indicative of future Index levels. |
| 5 |
As of September 3, 1997. Past Index levels are not necessarily indicative of future Index levels. |
47
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ENERGY SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY
EXCESS RETURN™
(DBLCI-OY ENERGY ER™)
48
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CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY
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 | % | ||||
| 20076 |
873.86 | 709.23 | 6.26 | % | 773.86 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY
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 | % | ||||
| 20076 |
1738.68 | 1397.07 | 7.60 | % | 1638.68 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY 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.
Please refer to notes and legends that follow on page 54.
49
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INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY
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 | % | ||||||||||
| 20076 |
22.2 | % | 22.1 | % | 22.9 | % | 23.0 | % | 22.1 | % | 22.1 | % | 23.1 | % | 22.6 | % | 9.7 | % | 10.2 | % | ||||||||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY
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 | % | ||||||||||
| 20076 |
22.2 | % | 22.1 | % | 22.9 | % | 23.0 | % | 22.1 | % | 22.1 | % | 23.1 | % | 22.6 | % | 9.7 | % | 10.2 | % | ||||||||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD ENERGY 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.
Please refer to notes and legends that follow on page 54.
50
Table of Contents
All statistics based on data from June 4, 1990 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY Energy ER8 |
DBLCI-OY Energy TR9 |
Goldman Sachs US Energy Total Return10 |
||||||
| Annualized Changes to Index Level11 |
13.7 | % | 18.5 | % | 10.0 | % | |||
| Average rolling 3 month daily volatility12 |
23.1 | % | 23.1 | % | 29.3 | % | |||
| Sharpe Ratio13 |
0.42 | 0.63 | 0.20 | ||||||
| % of months with positive change14 |
56 | % | 57 | % | 53 | % | |||
| Average monthly positive change15 |
5.9 | % | 6.2 | % | 7.7 | % | |||
| Average monthly negative change16 |
-4.7 | % | -4.4 | % | -6.2 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY Energy ER8 |
DBLCI-OY Energy TR9 |
Goldman Sachs US Energy Total Return10 |
||||||
| 1 year |
-6.8 | % | -2.1 | % | -18.7 | % | |||
| 3 year |
26.2 | % | 30.6 | % | 6.0 | % | |||
| 5 year |
28.4 | % | 31.7 | % | 14.3 | % | |||
| 7 year |
23.4 | % | 27.2 | % | 12.5 | % | |||
| 10 year |
17.6 | % | 22.0 | % | 10.0 | % | |||
| 15 year |
14.3 | % | 18.8 | % | 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 JULY 2006, 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 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 54.
51
Table of Contents
COMPARISON OF DBLCI-OY ENERGY ER, DBLCI-OY ENERGY TR AND GOLDMAN SACHS US ENERGY TOTAL RETURN
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 DBLCI-OY Energy ER, DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.
DBLCI-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 JULY 2006, 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 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 54.
52
Table of Contents
COMPARISON OF DBLCI-OY ENERGY TR AND GOLDMAN SACHS US ENERGY
TOTAL RETURN
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 DBLCI-OY Energy TR and Goldman Sachs US Energy Total Return are indices and do not reflect actual trading.
DBLCI-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 JULY 2006, 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 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 54.
53
Table of Contents
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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Total Return™ reflect the change in market value of the following underlying index commodities: CL (Sweet Light Crude Oil), HO (Heating Oil), LCO (Brent Crude Oil), XB (RBOB Gasoline) and NG (Natural Gas) on an optimum yield basis. |
| 8. | “DBLCI-OY Energy ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Energy Excess Return™. |
| 9. | “DBLCI-OY Energy TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Energy 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 4.02%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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
54
Table of Contents
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 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
55
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CRUDE OIL SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL
EXCESS RETURN™
(DBLCI-OY CL ER™)
56
Table of Contents
CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL
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 | % | ||||
| 20076 |
1950.62 | 1571.31 | 3.00 | % | 1845.89 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL
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 | % | ||||
| 20076 |
4387.78 | 3499.36 | 4.30 | % | 4278.35 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL 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.
Please refer to notes and legends that follow on page 62.
57
Table of Contents
INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL
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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL
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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD CRUDE OIL 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.
Please refer to notes and legends that follow on page 62.
58
Table of Contents
All statistics based on data from December 2, 1988 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY CL ER8 |
DBLCI-OY CL TR9 |
Goldman Sachs Crude Oil Total Return Index10 |
||||||
| Annualized Changes to Index Level11 |
17.6 | % | 22.9 | % | 17.4 | % | |||
| Average rolling 3 month daily volatility12 |
25.3 | % | 25.3 | % | 31.5 | % | |||
| Sharpe Ratio13 |
0.52 | 0.73 | 0.42 | ||||||
| % of months with positive change14 |
58 | % | 59 | % | 58 | % | |||
| Average monthly positive change15 |
6.3 | % | 6.6 | % | 8.0 | % | |||
| Average monthly negative change16 |
-4.9 | % | -4.7 | % | -6.7 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY CL ER8 |
DBLCI-OY CL TR9 |
Goldman Sachs Crude Oil Total Return Index10 |
||||||
| 1 year |
-5.5 | % | -0.7 | % | -18.1 | % | |||
| 3 year |
26.9 | % | 31.3 | % | 8.8 | % | |||
| 5 year |
30.1 | % | 33.5 | % | 19.1 | % | |||
| 7 year |
26.0 | % | 29.9 | % | 16.0 | % | |||
| 10 year |
18.9 | % | 23.2 | % | 12.8 | % | |||
| 15 year |
16.4 | % | 20.9 | % | 13.9 | % | |||
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 MAY 2006, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 62.
59
Table of Contents
COMPARISON OF DBLCI-OY CL ER, DBLCI-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX
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 DBLCI-OY CL ER, DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 62.
60
Table of Contents
COMPARISON OF DBLCI-OY CL TR AND GOLDMAN SACHS CRUDE OIL TOTAL RETURN INDEX
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 DBLCI-OY CL TR and Goldman Sachs Crude Oil Total Return Index are indices and do not reflect actual trading. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 62.
61
Table of Contents
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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Total Return™ reflect the change in market value of CL (Sweet Light Crude Oil) on an optimum yield basis. |
| 8. | “DBLCI-OY CL ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil Excess Return™. |
| 9. | “DBLCI-OY CL TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Crude Oil 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 4.35%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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
62
Table of Contents
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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
63
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PRECIOUS METALS SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS EXCESS RETURN™
(DBLCI-OY PRECIOUS METALS ER™)
64
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CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS
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 | % | ||||
| 20076 |
82.78 | 72.62 | 2.93 | % | -21.35 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS
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 | % | ||||
| 20076 |
185.49 | 161.55 | 4.23 | % | 77.03 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS 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.
Please refer to notes and legends that follow on page 70.
65
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INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS
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 | % | ||||
| 20076 |
79.1 | % | 80.1 | % | 20.9 | % | 19.9 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS
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 | % | ||||
| 20076 |
79.1 | % | 80.1 | % | 20.9 | % | 19.9 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD PRECIOUS METALS 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.
Please refer to notes and legends that follow on page 70.
66
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All statistics based on data from December 2, 1988 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-0Y Precious Metals ER8 |
DBLCI-OY Precious Metals TR9 |
Goldman Sachs US Precious Metals Total Return10 | |||
| Annualized Changes to Index Level11 |
-1.3% | 3.2% | 3.3% | |||
| Average rolling 3 month daily volatility12 |
14.1% | 14.1% | 13.5% | |||
| Sharpe Ratio13 |
-0.40 | -0.08 | -0.08 | |||
| % of months with positive change14 |
44% | 49% | 50% | |||
| Average monthly positive change15 |
3.5% | 3.4% | 3.2% | |||
| Average monthly negative change16 |
-2.8% | -2.6% | -2.6% | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-0Y Precious Metals ER8 |
DBLCI-OY Precious Metals TR9 |
Goldman Sachs US Precious Metals Total Return10 | |||
| 1 year |
8.9% | 14.4% | 13.2% | |||
| 3 year |
12.5% | 16.5% | 16.4% | |||
| 5 year |
15.4% | 18.4% | 17.2% | |||
| 7 year |
10.3% | 13.7% | 13.4% | |||
| 10 year |
4.0% | 7.8% | 8.0% | |||
| 15 year |
1.7% | 5.7% | 5.8% | |||
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 JULY 2006, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 70.
67
Table of Contents
COMPARISON OF DBLCI-OY PRECIOUS METALS ER, DBLCI-OY PRECIOUS METALS TR AND
GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX
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 DBLCI-OY Precious Metals ER, DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 70.
68
Table of Contents
COMPARISON OF DBLCI-OY PRECIOUS METALS TR AND GOLDMAN SACHS US PRECIOUS METALS TOTAL RETURN INDEX
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 DBLCI-OY Precious Metals TR and Goldman Sachs US Precious Metals Total Return Index are indices and do not reflect actual trading. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 70.
69
Table of Contents
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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Total Return™ reflect the change in market value of the following underlying index commodities: GC (Gold) and SI (Silver) on an optimum yield basis. |
| 8. | “DBLCI-OY Precious Metals ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals Excess Return™. |
| 9. | “DBLCI-OY Precious Metals TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Precious Metals 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 4.35%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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
70
Table of Contents
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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
71
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GOLD SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN™
(DBLCI-OY GC ER™)
72
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CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD EXCESS RETURN™
| CLOSING LEVEL | CHANGES | |||||||||
| High1 | Low2 | Annual Index Changes3 |
Index Changes 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 | % | ||||
| 20076 |
75.03 | 66.67 | 2.85 | % | -27.92 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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 | % | ||||
| 20076 |
168.12 | 148.31 | 4.14 | % | 62.26 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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.
Please refer to notes and legends that follow on page 78.
73
Table of Contents
INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD GOLD 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.
Please refer to notes and legends that follow on page 78.
74
Table of Contents
All statistics based on data from December 2, 1988 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY GC ER8 |
DBLCI-OY GC TR9 |
Gold Spot Fix pm10 | ||||||
| Annualized Changes to Index Level11 |
-1.8 | % | 2.7 | % | 2.5 | % | |||
| Average rolling 3 month daily volatility12 |
13.1 | % | 13.1 | % | 12.7 | % | |||
| Sharpe Ratio13 |
-0.47 | -0.13 | -0.15 | ||||||
| % of months with positive change14 |
43 | % | 47 | % | 50 | % | |||
| Average monthly positive change15 |
3.3 | % | 3.3 | % | 3.2 | % | |||
| Average monthly negative change16 |
-2.6 | % | -2.4 | % | -2.6 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY GC ER8 |
DBLCI-OY GC TR9 |
Gold Spot Fix pm10 | ||||||
| 1 year |
7.4 | % | 12.9 | % | 13.7 | % | |||
| 3 year |
11.5 | % | 15.4 | % | 16.0 | % | |||
| 5 year |
13.7 | % | 16.7 | % | 17.0 | % | |||
| 7 year |
9.6 | % | 13.0 | % | 13.3 | % | |||
| 10 year |
2.9 | % | 6.7 | % | 6.6 | % | |||
| 15 year |
0.8 | % | 4.8 | % | 4.5 | % | |||
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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 78.
75
Table of Contents
COMPARISON OF DBLCI-OY GC ER, DBLCI-OY GC TR AND GOLD SPOT FIX PM
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 DBLCI-OY GC ER and DBLCI-OY GC TR are indices and do not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 78.
76
Table of Contents
COMPARISON OF DBLCI-OY GC TR AND GOLD SPOT FIX PM
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.
DBLCI-OY GC TR is an index and does not reflect actual trading. Gold Spot Fix pm reflects a composite of actual trading prices. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 78.
77
Table of Contents
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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Total Return™ reflect the change in market value of GC (Gold) on an optimum yield basis. |
| 8. | “DBLCI-OY GC ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Gold Excess Return™. |
| 9. | “DBLCI-OY GC TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Gold 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 4.35%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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.
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Table of Contents
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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
79
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SILVER SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN™
(DBLCI-OY SI ER™)
80
Table of Contents
CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN™
| CLOSING LEVEL | CHANGES | |||||||||
| High1 | Low2 | Annual Index Changes3 |
Index Changes Since Inception4 |
|||||||
| 19885 |
99.56 | 96.35 | -3.14 | % | -3.14 | % | ||||
| 1989 |
98.80 | 74.81 | -21.67 | % | -24.12 | % | ||||
| 1990 |
77.71 | 52.83 | -26.21 | % | -44.01 | % | ||||
| 1991 |
58.55 | 46.28 | -14.31 | % | -52.02 | % | ||||
| 1992 |
53.20 | 42.91 | -10.01 | % | -56.83 | % | ||||
| 1993 |
62.57 | 41.28 | 33.57 | % | -42.33 | % | ||||
| 1994 |
64.94 | 49.92 | -8.36 | % | -47.15 | % | ||||
| 1995 |
64.61 | 46.95 | -0.55 | % | -47.45 | % | ||||
| 1996 |
58.86 | 45.10 | -13.26 | % | -54.41 | % | ||||
| 1997 |
56.61 | 38.79 | 17.06 | % | -46.63 | % | ||||
| 1998 |
61.92 | 41.66 | -17.16 | % | -55.79 | % | ||||
| 1999 |
49.84 | 42.50 | 5.74 | % | -53.26 | % | ||||
| 2000 |
47.98 | 39.06 | -16.40 | % | -60.93 | % | ||||
| 2001 |
40.38 | 32.68 | -6.36 | % | -63.41 | % | ||||
| 2002 |
41.20 | 34.04 | 4.25 | % | -61.86 | % | ||||
| 2003 |
46.80 | 34.43 | 22.10 | % | -53.43 | % | ||||
| 2004 |
63.99 | 43.08 | 13.63 | % | -47.08 | % | ||||
| 2005 |
68.75 | 50.02 | 27.66 | % | -32.44 | % | ||||
| 2006 |
110.77 | 67.36 | 40.22 | % | -5.27 | % | ||||
| 20076 |
107.53 | 89.75 | 3.28 | % | -2.16 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER TOTAL RETURN™
| CLOSING LEVEL | CHANGES | |||||||||
| High1 | Low2 | Annual Index Changes3 |
Index Changes Since Inception4 |
|||||||
| 19885 |
99.79 | 96.94 | -2.52 | % | -2.52 | % | ||||
| 1989 |
100.47 | 80.40 | -14.91 | % | -17.05 | % | ||||
| 1990 |
85.46 | 62.18 | -20.31 | % | -33.89 | % | ||||
| 1991 |
70.97 | 55.14 | -9.48 | % | -40.16 | % | ||||
| 1992 |
66.46 | 55.38 | -6.80 | % | -44.23 | % | ||||
| 1993 |
82.27 | 53.55 | 37.71 | % | -23.20 | % | ||||
| 1994 |
87.23 | 69.13 | -4.33 | % | -26.53 | % | ||||
| 1995 |
91.63 | 65.91 | 5.16 | % | -22.73 | % | ||||
| 1996 |
86.97 | 69.54 | -8.67 | % | -29.44 | % | ||||
| 1997 |
92.17 | 61.74 | 23.25 | % | -13.03 | % | ||||
| 1998 |
101.42 | 70.42 | -13.04 | % | -24.37 | % | ||||
| 1999 |
88.05 | 73.64 | 10.85 | % | -16.16 | % | ||||
| 2000 |
86.50 | 74.17 | -11.31 | % | -25.64 | % | ||||
| 2001 |
77.17 | 64.30 | -3.02 | % | -27.89 | % | ||||
| 2002 |
81.81 | 67.18 | 5.98 | % | -23.58 | % | ||||
| 2003 |
94.72 | 69.16 | 23.36 | % | -5.73 | % | ||||
| 2004 |
129.84 | 87.49 | 15.21 | % | 8.61 | % | ||||
| 2005 |
145.33 | 102.71 | 31.78 | % | 43.13 | % | ||||
| 2006 |
238.54 | 142.80 | 47.15 | % | 110.61 | % | ||||
| 20076 |
240.95 | 199.67 | 4.58 | % | 120.26 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER 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.
Please refer to notes and legends that follow on page 86.
81
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INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER EXCESS RETURN™
| SI7 | ||||||
| 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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER TOTAL RETURN™
| SI7 | ||||||
| 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 | % | ||
| 20076 |
100 | % | 100 | % | ||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD SILVER 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.
Please refer to notes and legends that follow on page 86.
82
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All statistics based on data from December 2, 1988 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY SI ER8 |
DBLCI-OY SI TR9 |
Silver Spot Fix pm10 | ||||||
| Annualized Changes to Index Level11 |
-0.1 | % | 4.4 | % | 4.4 | % | |||
| Average rolling 3 month daily volatility12 |
22.6 | % | 22.6 | % | 23.8 | % | |||
| Sharpe Ratio13 |
-0.20 | 0.00 | 0.00 | ||||||
| % of months with positive change14 |
46 | % | 49 | % | 48 | % | |||
| Average monthly positive change15 |
5.8 | % | 5.8 | % | 5.8 | % | |||
| Average monthly negative change16 |
-4.5 | % | -4.3 | % | -4.2 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY SI ER8 |
DBLCI-OY SI TR9 |
Silver Spot Fix pm10 | ||||||
| 1 year |
13.9 | % | 19.7 | % | 13.6 | % | |||
| 3 year |
16.6 | % | 20.7 | % | 19.5 | % | |||
| 5 year |
21.2 | % | 24.4 | % | 23.3 | % | |||
| 7 year |
12.1 | % | 15.5 | % | 15.3 | % | |||
| 10 year |
7.4 | % | 11.4 | % | 10.0 | % | |||
| 15 year |
4.5 | % | 8.6 | % | 8.1 | % | |||
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 JUNE 2006, 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 MAY 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 86.
83
Table of Contents
COMPARISON OF DBLCI-OY SI ER, DBLCI-OY SI TR AND SILVER SPOT FIX PM
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 DBLCI-OY SI ER and DBLCI-OY SI TR are indices and do not reflect actual trading. Silver Spot Fix pm reflects a composite of actual trading prices. DBLCI-OY SI 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 JUNE 2006, 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 MAY 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 86.
84
Table of Contents
COMPARISON OF DBLCI-OY SI TR AND SILVER SPOT FIX PM
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.
DBLCI-OY SI TR is an index and does not reflect actual trading. Silver Spot Fix pm reflects a composite of actual trading prices.
DBLCI-OY SI 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 JUNE 2006, 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 MAY 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 86.
85
Table of Contents
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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Total Return™ reflect the change in market value of SI (Silver) on an optimum yield basis. |
| 8. | “DBLCI-OY SI ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Excess Return™. |
| 9. | “DBLCI-OY SI TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Silver Total Return™. |
| 10. | “Silver Spot Fix pm” is an internationally published benchmark for silver 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 silver. As a benchmark, many other financial instruments (such as cash-settled swaps and options) are priced off the fixing. The silver fixing started in 1897. Three market making members of the LBMA conduct the Silver Fixing meeting under the chairmanship of The Bank of Nova Scotia–ScotiaMocatta by telephone at 12.00 noon each working day. The other two members of the Silver Fixing are Deutsche Bank AG and HSBC Bank USA, NA. |
| 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 4.35%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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 JUNE 2006, 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.
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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 MAY 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
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INDUSTRIAL METALS SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS EXCESS RETURN™
(DBLCI-OY INDUSTRIAL METALS ER™)
88
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CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS 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 | % | |||||
| 20076 |
259.88 | 222.29 | -4.67 | % | 147.74 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS
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 | % | ||||
| 20076 |
360.52 | 309.75 | -3.47 | % | 247.96 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS 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.
Please refer to notes and legends that follow on page 94.
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INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS
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 | % | ||||||
| 20066 |
33.9 | % | 32.2 | % | 33.4 | % | 34.9 | % | 32.7 | % | 32.9 | % | ||||||
| 2007 |
35.6 | % | 40.9 | % | 33.8 | % | 29.0 | % | 30.5 | % | 30.1 | % | ||||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS
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 | % | ||||||
| 20076 |
35.6 | % | 40.9 | % | 33.8 | % | 29.0 | % | 30.5 | % | 30.1 | % | ||||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD INDUSTRIAL METALS 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.
Please refer to notes and legends that follow on page 94.
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All statistics based on data from September 3, 1997 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY Industrial Metals ER8 |
DBLCI-OY Industrial Metals TR9 |
Goldman Sachs US Industrial Metal Total Return10 |
||||||
| Annualized Changes to Index Level11 |
9.9 | % | 13.9 | % | 12.6 | % | |||
| Average rolling 3 month daily volatility12 |
16.7 | % | 16.7 | % | 18.0 | % | |||
| Sharpe Ratio13 |
0.38 | 0.62 | 0.51 | ||||||
| % of months with positive change14 |
53 | % | 57 | % | 58 | % | |||
| Average monthly positive change15 |
4.9 | % | 4.8 | % | 4.6 | % | |||
| Average monthly negative change16 |
-3.4 | % | -3.4 | % | -3.5 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY Industrial Metals ER8 |
DBLCI-OY Industrial Metals TR9 |
Goldman Sachs US Industrial Metal Total Return10 |
||||||
| 1 year |
35.8 | % | 42.8 | % | 47.3 | % | |||
| 3 year |
43.1 | % | 48.1 | % | 39.2 | % | |||
| 5 year |
31.3 | % | 34.8 | % | 31.6 | % | |||
| 7 year |
18.3 | % | 21.9 | % | 19.6 | % | |||
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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 94.
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COMPARISON OF DBLCI-OY INDUSTRIAL METALS ER, DBLCI-OY INDUSTRIAL METALS TR AND GOLDMAN SACHS
US INDUSTRIAL METALS TOTAL RETURN INDEX
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 DBLCI-OY Industrial Metals ER, DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading.
DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 94.
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COMPARISON OF DBLCI-OY INDUSTRIAL METALS TR AND GOLDMAN SACHS US INDUSTRIAL METALS TOTAL RETURN INDEX
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 DBLCI-OY Industrial Metals TR and Goldman Sachs US Industrial Metals Total Return Index are indices and do not reflect actual trading. DBLCI-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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 94.
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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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals 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 yield basis. |
| 8. | “DBLCI-OY Industrial Metals ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals Excess Return™. |
| 9. | “DBLCI-OY Industrial Metals TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Industrial Metals 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 3.52%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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
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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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
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AGRICULTURE SECTOR DATA
RELATING TO
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD
AGRICULTURE EXCESS RETURN™
(DBLCI-OY AGRICULTURE ER™)
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CLOSING LEVELS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE
EXCESS RETURN™
| CLOSING LEVEL | CHANGES | |||||||||
| High1 | Low2 | Annual Index Changes3 |
Index Changes Since Inception4 |
|||||||
| 19885 |
104.37 | 99.09 | 4.37 | % | 4.37 | % | ||||
| 1989 |
110.17 | 96.30 | -1.76 | % | 2.54 | % | ||||
| 1990 |
111.78 | 86.63 | -15.52 | % | -13.37 | % | ||||
| 1991 |
94.19 | 80.78 | 8.34 | % | -6.14 | % | ||||
| 1992 |
101.16 | 86.77 | -6.53 | % | -12.27 | % | ||||
| 1993 |
101.06 | 86.44 | 15.20 | % | 1.06 | % | ||||
| 1994 |
104.89 | 92.32 | 0.25 | % | 1.32 | % | ||||
| 1995 |
122.81 | 95.76 | 21.21 | % | 22.81 | % | ||||
| 1996 |
146.59 | 117.81 | -2.55 | % | 19.68 | % | ||||
| 1997 |
132.21 | 111.96 | 0.23 | % | 19.95 | % | ||||
| 1998 |
120.35 | 85.16 | -28.71 | % | -14.49 | % | ||||
| 1999 |
89.18 | 65.03 | -19.49 | % | -31.16 | % | ||||
| 2000 |
76.73 | 67.18 | 5.91 | % | -27.09 | % | ||||
| 2001 |
73.31 | 57.42 | -20.62 | % | -42.12 | % | ||||
| 2002 |
70.67 | 53.68 | 10.37 | % | -36.12 | % | ||||
| 2003 |
75.17 | 63.93 | 15.51 | % | -26.22 | % | ||||
| 2004 |
91.37 | 69.95 | -2.26 | % | -27.88 | % | ||||
| 2005 |
81.36 | 68.79 | 10.53 | % | -20.29 | % | ||||
| 2006 |
90.17 | 72.91 | 10.36 | % | -12.03 | % | ||||
| 20076 |
93.20 | 84.17 | -2.27 | % | -14.02 | % | ||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE
TOTAL RETURN™
| CLOSING LEVEL | CHANGES | |||||||||
| High1 | Low2 | Annual Index Changes3 |
Index Changes Since Inception4 |
|||||||
| 19885 |
105.04 | 99.16 | 5.04 | % | 5.04 | % | ||||
| 1989 |
114.82 | 100.49 | 6.72 | % | 12.09 | % | ||||
| 1990 |
125.53 | 102.27 | -8.76 | % | 2.27 | % | ||||
| 1991 |
117.41 | 98.27 | 14.44 | % | 17.04 | % | ||||
| 1992 |
128.33 | 111.30 | -3.20 | % | 13.30 | % | ||||
| 1993 |
134.56 | 111.98 | 18.77 | % | 34.56 | % | ||||
| 1994 |
142.25 | 125.30 | 4.66 | % | 40.84 | % | ||||
| 1995 |
180.52 | 135.44 | 28.18 | % | 80.52 | % | ||||
| 1996 |
221.45 | 174.03 | 2.60 | % | 85.21 | % | ||||
| 1997 |
208.25 | 177.92 | 5.53 | % | 95.45 | % | ||||
| 1998 |
197.05 | 143.55 | -25.15 | % | 46.28 | % | ||||
| 1999 |
152.70 | 113.95 | -15.60 | % | 23.47 | % | ||||
| 2000 |
140.72 | 121.57 | 12.36 | % | 38.73 | % | ||||
| 2001 |
139.73 | 113.13 | -17.79 | % | 14.05 | % | ||||
| 2002 |
140.95 | 106.30 | 12.19 | % | 27.96 | % | ||||
| 2003 |
152.04 | 128.48 | 16.69 | % | 49.32 | % | ||||
| 2004 |
185.37 | 143.05 | -0.89 | % | 47.99 | % | ||||
| 2005 |
169.50 | 141.45 | 14.10 | % | 68.85 | % | ||||
| 2006 |
195.55 | 159.95 | 15.82 | % | 95.55 | % | ||||
| 20076 |
208.71 | 187.33 | -1.05 | % | 93.50 | % | ||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE 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.
Please refer to notes and legends that follow on page 102.
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INDEX COMMODITIES WEIGHTS TABLES
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE EXCESS RETURN™
| C7 | W7 | S7 | SB7 | |||||||||||||||||||||
| High1 | Low2 | High | Low | High | Low | High | Low | |||||||||||||||||
| 19885 |
25.7 | % | 25.1 | % | 25.0 | % | 24.9 | % | 25.9 | % | 25.1 | % | 23.4 | % | 24.9 | % | ||||||||
| 1989 |
24.4 | % | 24.0 | % | 25.1 | % | 26.6 | % | 24.9 | % | 24.0 | % | 25.5 | % | 25.4 | % | ||||||||
| 1990 |
26.5 | % | 25.8 | % | 22.2 | % | 23.8 | % | 25.7 | % | 25.6 | % | 25.6 | % | 24.8 | % | ||||||||
| 1991 |
24.0 | % | 24.8 | % | 27.3 | % | 24.2 | % | 24.1 | % | 24.1 | % | 24.6 | % | 26.8 | % | ||||||||
| 1992 |
23.4 | % | 20.7 | % | 25.7 | % | 26.8 | % | 24.5 | % | 24.0 | % | 26.5 | % | 28.5 | % | ||||||||
| 1993 |
25.1 | % | 25.5 | % | 26.1 | % | 25.3 | % | 24.7 | % | 25.8 | % | 24.1 | % | 23.4 | % | ||||||||
| 1994 |
24.6 | % | 23.0 | % | 24.4 | % | 26.1 | % | 25.4 | % | 24.2 | % | 25.6 | % | 26.6 | % | ||||||||
| 1995 |
24.8 | % | 26.5 | % | 24.3 | % | 24.3 | % | 25.3 | % | 25.4 | % | 25.6 | % | 23.7 | % | ||||||||
| 1996 |
27.1 | % | 24.3 | % | 22.2 | % | 25.2 | % | 24.0 | % | 25.1 | % | 26.7 | % | 25.5 | % | ||||||||
| 1997 |
23.8 | % | 22.6 | % | 28.4 | % | 25.2 | % | 23.8 | % | 23.6 | % | 24.0 | % | 28.6 | % | ||||||||
| 1998 |
25.9 | % | 25.5 | % | 24.9 | % | 23.5 | % | 25.2 | % | 27.2 | % | 24.0 | % | 23.8 | % | ||||||||
| 1999 |
24.9 | % | 27.2 | % | 24.1 | % | 25.3 | % | 24.4 | % | 24.7 | % | 26.6 | % | 22.8 | % | ||||||||
| 2000 |
25.4 | % | 27.4 | % | 22.9 | % | 24.8 | % | 26.2 | % | 27.6 | % | 25.5 | % | 20.1 | % | ||||||||
| 2001 |
24.5 | % | 24.9 | % | 24.9 | % | 24.5 | % | 23.6 | % | 25.2 | % | 27.1 | % | 25.4 | % | ||||||||
| 2002 |
25.3 | % | 25.1 | % | 25.4 | % | 25.8 | % | 27.4 | % | 27.8 | % | 21.9 | % | 21.3 | % | ||||||||
| 2003 |
24.6 | % | 22.3 | % | 25.2 | % | 25.4 | % | 25.6 | % | 26.4 | % | 24.6 | % | 25.9 | % | ||||||||
| 2004 |
27.4 | % | 24.4 | % | 23.6 | % | 23.4 | % | 26.5 | % | 26.1 | % | 22.5 | % | 26.0 | % | ||||||||
| 2005 |
24.3 | % | 24.3 | % | 22.5 | % | 23.3 | % | 29.4 | % | 25.2 | % | 23.8 | % | 27.2 | % | ||||||||
| 2006 |
23.7 | % | 26.0 | % | 24.7 | % | 27.7 | % | 20.6 | % | 22.2 | % | 31.0 | % | 24.0 | % | ||||||||
| 20076 |
27.6 | % | 25.6 | % | 24.6 | % | 24.8 | % | 27.5 | % | 25.9 | % | 20.3 | % | 23.6 | % | ||||||||
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE 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.
DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE TOTAL RETURN™
| C7 | W7 | S7 | SB7 | |||||||||||||||||||||
| High1 | Low2 | High | Low | High | Low | High | Low | |||||||||||||||||
| 19885 |
25.7 | % | 25.1 | % | 25.0 | % | 24.9 | % | 25.9 | % | 25.1 | % | 23.4 | % | 24.9 | % | ||||||||
| 1989 |
24.8 | % | 24.0 | % | 24.7 | % | 26.6 | % | 25.2 | % | 24.0 | % | 25.3 | % | 25.4 | % | ||||||||
| 1990 |
26.5 | % | 25.8 | % | 22.2 | % | 23.8 | % | 25.7 | % | 25.6 | % | 25.6 | % | 24.8 | % | ||||||||
| 1991 |
24.0 | % | 24.8 | % | 27.3 | % | 24.2 | % | 24.1 | % | 24.1 | % | 24.6 | % | 26.8 | % | ||||||||
| 1992 |
23.4 | % | 20.9 | % | 25.7 | % | 26.9 | % | 24.5 | % | 23.7 | % | 26.5 | % | 28.5 | % | ||||||||
| 1993 |
25.1 | % | 25.5 | % | 26.1 | % | 25.3 | % | 24.7 | % | 25.8 | % | 24.1 | % | 23.4 | % | ||||||||
| 1994 |
24.0 | % | 23.0 | % | 24.5 | % | 26.1 | % | 23.9 | % | 24.2 | % | 27.6 | % | 26.6 | % | ||||||||
| 1995 |
24.8 | % | 26.5 | % | 24.3 | % | 24.3 | % | 25.3 | % | 25.4 | % | 25.6 | % | 23.7 | % | ||||||||
| 1996 |
27.1 | % | 25.1 | % | 22.2 | % | 23.9 | % | 24.0 | % | 26.1 | % | 26.7 | % | 24.9 | % | ||||||||
| 1997 |
24.4 | % | 22.6 | % | 24.4 | % | 25.2 | % | 24.8 | % | 23.6 | % | 26.3 | % | 28.6 | % | ||||||||
| 1998 |
25.9 | % | 25.5 | % | 24.9 | % | 23.5 | % | 25.2 | % | 27.2 | % | 24.0 | % | 23.8 | % | ||||||||
| 1999 |
24.9 | % | 27.2 | % | 24.1 | % | 25.3 | % | 24.4 | % | 24.7 | % | 26.6 | % | 22.8 | % | ||||||||
| 2000 |
25.4 | % | 27.4 | % | 22.9 | % | 24.8 | % | 26.2 | % | 27.6 | % | 25.5 | % | 20.1 | % | ||||||||
| 2001 |
24.5 | % | 24.9 | % | 24.9 | % | 24.5 | % | 23.6 | % | 25.2 | % | 27.1 | % | 25.4 | % | ||||||||
| 2002 |
25.3 | % | 25.1 | % | 25.4 | % | 25.8 | % | 27.4 | % | 27.8 | % | 21.9 | % | 21.3 | % | ||||||||
| 2003 |
24.6 | % | 25.0 | % | 25.2 | % | 24.3 | % | 25.6 | % | 25.5 | % | 24.6 | % | 25.1 | % | ||||||||
| 2004 |
27.4 | % | 21.0 | % | 23.6 | % | 22.4 | % | 26.5 | % | 22.6 | % | 22.5 | % | 34.0 | % | ||||||||
| 2005 |
24.3 | % | 24.3 | % | 22.5 | % | 23.3 | % | 29.4 | % | 25.2 | % | 23.8 | % | 27.2 | % | ||||||||
| 2006 |
25.6 | % | 26.0 | % | 25.4 | % | 27.7 | % | 25.7 | % | 22.2 | % | 23.3 | % | 24.0 | % | ||||||||
| 20076 |
27.6 | % | 25.6 | % | 24.6 | % | 24.8 | % | 27.5 | % | 25.9 | % | 20.3 | % | 23.6 | % | ||||||||
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE DEUTSCHE BANK LIQUID COMMODITY INDEX–OPTIMUM YIELD AGRICULTURE 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.
Please refer to notes and legends that follow on page 102.
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All statistics based on data from December 2, 1988 to March 31, 2007.
| VARIOUS STATISTICAL MEASURES |
DBLCI-OY Agriculture ER™8 |
DBLCI-OY Agriculture TR™9 |
Goldman Sachs US Agriculture Total Return10 |
||||||
| Annualized Changes to Index Level11 |
-0.8 | % | 3.7 | % | -1.5 | % | |||
| Average rolling 3 month daily volatility12 |
14.2 | % | 14.2 | % | 14.5 | % | |||
| Sharpe Ratio13 |
-0.36 | -0.05 | -0.40 | ||||||
| % of months with positive change14 |
49 | % | 55 | % | 47 | % | |||
| Average monthly positive change15 |
3.2 | % | 3.2 | % | 3.4 | % | |||
| Average monthly negative change16 |
-3.0 | % | -3.1 | % | -3.1 | % | |||
| ANNUALIZED INDEX LEVELS17 |
DBLCI-OY Agriculture ER™8 |
DBLCI-OY Agriculture TR™9 |
Goldman Sachs US Agriculture Total Return10 |
||||||
| 1 year |
-0.5 | % | 4.5 | % | 0.8 | % | |||
| 3 year |
-0.4 | % | 3.1 | % | -8.4 | % | |||
| 5 year |
8.9 | % | 11.7 | % | 0.5 | % | |||
| 7 year |
2.5 | % | 5.7 | % | -4.2 | % | |||
| 10 year |
-3.8 | % | -0.3 | % | -7.9 | % | |||
| 15 year |
-0.6 | % | 3.3 | % | -1.9 | % | |||
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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 102.
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DBLCI-OY AGRICULTURE ER, DBLCI-OY AGRICULTURE TR AND GOLDMAN SACHS US AGRICULTURE TOTAL RETURN INDEX
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 DBLCI-OY Agriculture ER, DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are indices and do not reflect actual trading. DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture 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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 102.
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COMPARISON OF DBLCI-OY AGRICULTURE TR AND GOLDMAN SACHS US AGRICULTURE TOTAL RETURN INDEX
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.
DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture Total Return Index are indices and do not reflect actual trading. DBLCI-OY Agriculture TR and Goldman Sachs US Agriculture 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, 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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
Please refer to notes and legends that follow on page 102.
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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 March 31, 2007. |
| 7. | The Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Excess Return™ and Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Total Return™ reflect the change in market value of the following underlying index commodities: C (Corn), W (Wheat), S (Sugar) and SB (Soybeans) on an optimum yield basis. |
| 8. | “DBLCI-OY Agriculture ER™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Excess Return™. |
| 9. | “DBLCI-OY Agriculture TR™” is Deutsche Bank Liquid Commodity Index–Optimum Yield Agriculture Total Return™. |
| 10. | “Goldman Sachs US Agriculture Total Return” is Goldman Sachs US Agriculture 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 4.35%. |
| 14. | “% of months with positive change” during the period from inception to March 31, 2007. |
| 15. | “Average monthly positive change” during the period from inception to March 31, 2007. |
| 16. | “Average monthly negative change” during the period from inception to March 31, 2007. |
| 17. | “Annualized Index Levels” reflect the change to the level of the applicable index on an annual basis as of December 31 of each the 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, 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
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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 “RISK FACTORS” 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 HAS HAD LIMITED EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OR FOR CLIENTS. BECAUSE THERE ARE NO 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.
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PERFORMANCE OF COMMODITY POOLS OPERATED BY
THE MANAGING OWNER AND ITS AFFILIATES
General
The performance information included herein is presented in accordance with CFTC regulations. The Funds differ materially in certain respects from the following pools’ performance which are included herein. The following sets forth summary performance information for all pools operated by the Managing Owner (other than the Funds).
The below pools, the performance of which are summarized herein, are materially different in certain respects from the Funds and the past performance summary of such pools are generally not representative of how the Funds might perform in the future. These pools also have material differences from the Funds, such as different investment objectives and strategies, leverage, employment of short in addition to long positions and fee structures, among other variations. The performance record of these pools may give some general indication of the Managing Owner’s capabilities by indicating the past performance of other pools sponsored by the Managing Owner.
All summary performance information is current as of March 31, 2007. Performance information is set forth, in accordance with CFTC Regulations, since (i) January 31, 2006 (inception with respect to PowerShares DB Commodity Index Tracking Fund) and (ii) September 18, 2006 (inception with respect to PowerShares DB G10 Currency Harvest Fund (DBV)), (iii) February 20, 2007 (inception with respect to each of PowerShares DB US Dollar Index Bullish Fund (UUP) and PowerShares DB US Dollar Index Bearish Fund (UDN)). CFTC Regulations require inclusion of only performance information within the five most recent calendar years and year-to-date, or, if inception of the pool has been less than five years and year-to-date, then since inception.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS, AND MATERIAL DIFFERENCES EXIST AMONG THE FUNDS AND THE POOLS WHOSE PERFORMANCE ARE SUMMARIZED HEREIN.
INVESTORS SHOULD NOTE THAT INTEREST INCOME MAY CONSTITUTE A SIGNIFICANT PORTION OF A COMMODITY POOL’S INCOME AND, IN CERTAIN INSTANCES, MAY GENERATE PROFITS WHERE THERE HAVE BEEN REALIZED AND UNREALIZED LOSSES FROM COMMODITY TRADING.
PERFORMANCE OF POWERSHARES DB COMMODITY INDEX TRACKING FUND (TICKER: DBC)
Name of Pool: PowerShares DB Commodity Index Tracking Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: February 2006
Aggregate Gross Capital Subscriptions as of March 31, 2007: $1,525,755,840
Net Asset Value as of March 31, 2007: $823,383,913
Net Asset Value per Share as of March 31, 2007: $25.41
Worst Monthly Drawdown: (4.66%) February 2006
Worst Peak-to-Valley Drawdown: (7.14%) July – September 2006
| Monthly Rate of Return |
2007(%) | 2006(%) | ||
| January |
(2.36)% | — | ||
| February |
5.31% | (4.66)% | ||
| March |
0.68% | 3.63% | ||
| April |
6.51% | |||
| May |
(0.42)% | |||
| June |
(0.29)% | |||
| July |
1.65% | |||
| August |
(2.71)% | |||
| September |
(4.54)% | |||
| October |
1.21% | |||
| November |
6.40% | |||
| December |
2.33%6 | |||
| Compound Rate of Return |
3.52% (3 months) |
3.75%7 (11 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information on page 106.
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PERFORMANCE OF POWERSHARES DB G10 CURRENCY HARVEST FUND (TICKER: DBV)
Name of Pool: PowerShares DB G10 Currency Harvest Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: September 2006
Aggregate Gross Capital Subscriptions as of March 31, 2007: $400,493,844
Net Asset Value as of March 31, 2007: $285,375,462
Net Asset Value per Share as of March 31, 2007: $26.92
Worst Monthly Drawdown: (1.30%) November 2006
Worst Peak-to-Valley Drawdown: (1.30%) November 2006
| Monthly Rate of Return |
2007(%) | 2006(%) | ||
| January |
0.99% | — | ||
| February |
0.68 % | — | ||
| March |
2.47% | — | ||
| April |
— | |||
| May |
— | |||
| June |
— | |||
| July |
— | |||
| August |
— | |||
| September |
(0.24)% | |||
| October |
1.92% | |||
| November |
(1.30)% | |||
| December |
2.99%8 | |||
| Compound Rate of Return |
4.19% (3 months) |
3.36% (3 1/2 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
PERFORMANCE OF POWERSHARES DB US DOLLAR INDEX BULLISH FUND (TICKER: UUP),
A SERIES OF POWERSHARES DB US DOLLAR INDEX TRUST
Name of Pool: PowerShares DB US Dollar Index Bullish Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: February 2007
Aggregate Gross Capital Subscriptions as of March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $24,837,471
Net Asset Value per Share as of March 31, 2007: $24.84
Worst Monthly Drawdown: (0.34)% February 2007
Worst Peak-to-Valley Drawdown: (0.66)% February – March 2007
| Monthly Rate of Return |
2007(%) | |
| January |
— | |
| February |
(0.34)% | |
| March |
(0.32)% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
(0.66)% (1 1/4 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying Footnotes to Performance Information on page 106.
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PERFORMANCE OF POWERSHARES DB US DOLLAR INDEX BEARISH FUND (TICKER: UDN),
A SERIES OF POWERSHARES DB US DOLLAR INDEX TRUST
Name of Pool: PowerShares DB US Dollar Index Bearish Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Date of Inception of Trading: February 2007
Aggregate Gross Capital Subscriptions as of March 31, 2007: $25,000,000
Net Asset Value as of March 31, 2007: $25,415,588
Net Asset Value per Share as of March 31, 2007: $25.41
Worst Monthly Drawdown: N/A
Worst Peak-to-Valley Drawdown: N/A
| Monthly Rate of Return |
2007(%) | |
| January |
— | |
| February |
0.65% | |
| March |
1.00% | |
| April |
||
| May |
||
| June |
||
| July |
||
| August |
||
| September |
||
| October |
||
| November |
||
| December |
||
| Compound Rate of Return |
1.65% (1 1/4 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
See accompanying footnotes to performance information.
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 each pool as of March 31, 2007.
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 March 31, 2007.
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. Special Footnote Only With Respect to PowerShares DB Commodity Index Tracking Fund: December return includes the $0.61 per Share distribution made to Shareholders of record as of December 20, 2006.
7. Special Footnote Only With Respect to PowerShares DB Commodity Index Tracking Fund: “Compound Rate of Return” is based on a price of $24.25 per Share on January 31, 2006, which does not include the 3% selling commission charged to investors in the initial offering period. Adjusting for this selling commission, the total compound rate of return based on an initial offering price of $25 per Share is 0.64%.
8. Special Footnote Only With Respect to PowerShares DB G10 Currency Harvest Fund. December return includes the $0.06 per Share distribution made to Shareholders of record as of December 20, 2006.
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| Page | ||
| PowerShares DB Energy Fund |
||
| 154 | ||
| 155 | ||
| 156 | ||
| DB Energy Master Fund |
||
| 159 | ||
| 160 | ||
| 161 | ||
| PowerShares DB Oil Fund |
||
| 164 | ||
| 165 | ||
| 166 | ||
| DB Oil Master Fund |
||
| 169 | ||
| 170 | ||
| 171 | ||
| PowerShares DB Precious Metals Fund |
||
| 174 | ||
| 175 | ||
| 176 | ||
| DB Precious Metals Master Fund |
||
| 179 | ||
| 180 | ||
| 181 | ||
| PowerShares DB Gold Fund |
||
| 184 | ||
| 185 | ||
| 186 | ||
| DB Gold Master Fund |
||
| 189 | ||
| 190 | ||
| 191 | ||
| PowerShares DB Silver Fund |
||
| 194 | ||
| 195 | ||
| 196 | ||
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| Page | ||
| DB Silver Master Fund |
||
| 199 | ||
| 200 | ||
| 201 | ||
| PowerShares DB Base Metals Fund |
||
| 204 | ||
| 205 | ||
| 206 | ||
| DB Base Metals Master Fund |
||
| 209 | ||
| 210 | ||
| 211 | ||
| PowerShares DB Agriculture Fund |
||
| 214 | ||
| 215 | ||
| 216 | ||
| DB Agriculture Master Fund |
||
| 219 | ||
| 220 | ||
| 221 | ||
| DB Commodity Services LLC |
||
| 224 | ||
| Statements of Financial Condition for the Year Ended December 31, 2006 and 2005 |
225 | |
| 226 | ||
| 227 | ||
| 228 | ||
| 229 | ||
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Energy Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Energy Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Energy Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Energy Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Energy Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Energy Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Energy Excess Return™ (DBLCI-OY Energy ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Energy sector, is comprised of and tracks the change in the market value of the following commodities: Sweet Light Crude Oil (WTI), Heating Oil, Brent Crude Oil, RBOB Gasoline and Natural Gas.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Energy Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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POWERSHARES DB ENERGY FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB ENERGY FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Energy Master Fund:
We have audited the accompanying statement of financial condition of DB Energy Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Energy Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Energy Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and Unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Energy Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Energy Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Energy Excess Return™ (DBLCI-OY Energy ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include U.S. Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short-term fixed income securities.
The Index, which intends to reflect the Energy sector, is comprised of and tracks the change in the market value of the following commodities: Sweet Light Crude Oil (WTI), Heating Oil, Brent Crude Oil, RBOB Gasoline and Natural Gas.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur U.S. federal
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DB ENERGY MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB ENERGY MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Oil Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Oil Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Oil Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Oil Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Oil Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Oil Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Crude Oil Excess Return™ (DBLCI-OY CL ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Crude Oil sector, is comprised of and tracks the change in the market value of Sweet Light Crude Oil (WTI).
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Oil Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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POWERSHARES DB OIL FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
(3) The Offering of the Shares
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
(4) Operating Expenses, Organizational, and Offering Costs
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
(5) Termination
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
(6) Redemptions
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB OIL FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Oil Master Fund:
We have audited the accompanying statement of financial condition of DB Oil Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Oil Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Oil Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition .
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Oil Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Oil Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index – Optimum Yield Crude Oil Excess Return™ (DBLCI-OY CL ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include U.S. Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short-term fixed income securities.
The Index, which intends to reflect the Crude Oil sector, is comprised of and tracks the change in the market value of Sweet Light Crude Oil (WTI).
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur
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DB OIL MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.50% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB OIL MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Precious Metals Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Precious Metals Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Precious Metals Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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POWERSHARES DB PRECIOUS METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Precious Metals Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
1,000 | ||
See accompanying notes to statement of financial condition.
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POWERSHARES DB PRECIOUS METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Precious Metals Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Precious Metals Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Precious Metals Excess Return™ (DBLCI-OY Precious Metals ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Precious Metals sector, is comprised of and tracks the change in the market value of the following commodities: Gold and Silver.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Precious Metals Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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POWERSHARES DB PRECIOUS METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB PRECIOUS METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Precious Metals Master Fund:
We have audited the accompanying statement of financial condition of DB Precious Metals Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Precious Metals Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
| /s/ KPMG LLP |
| New York, New York March 14, 2007 |
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DB PRECIOUS METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
Assets
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Precious Metals Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
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DB PRECIOUS METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Precious Metals Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Precious Metals Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Precious Metals Excess Return™ (DBLCI-OY Precious Metals ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short-term fixed income securities.
The Index, which intends to reflect the Precious Metals sector, is comprised of and tracks the change in the market value of the following commodities: Gold and Silver.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur U.S.
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DB PRECIOUS METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB PRECIOUS METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Gold Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Gold Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Gold Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Gold Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Gold Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Gold Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Gold Excess Return™ (DBLCI-OY GC ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Gold sector, is comprised of and tracks the change in the market value of Gold.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Gold Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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POWERSHARES DB GOLD FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB GOLD FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Gold Master Fund:
We have audited the accompanying statement of financial condition of DB Gold Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Gold Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Gold Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and Unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Gold Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Gold Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Gold Excess Return™ (DBLCI-OY GC ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include U.S. Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short-term, fixed income securities.
The Index, which intends to reflect the Gold sector, is comprised of and tracks the change in the market value of Gold.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur U.S.
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DB GOLD MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.50% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB GOLD MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Silver Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Silver Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Silver Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Silver Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Silver Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Silver Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Silver Excess Return™ (DBLCI-OY SI ER™ , or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Silver sector, is comprised of and tracks the change in the market value of Silver.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Silver Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur United States federal income taxes. No provision for federal, state, and local income taxes has
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POWERSHARES DB SILVER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB SILVER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Silver Master Fund:
We have audited the accompanying statement of financial condition of DB Silver Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Silver Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Silver Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Silver Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Silver Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Silver Excess Return™ (DBLCI-OY SI ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include U.S. Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short-term fixed income securities.
The Index, which intends to reflect the Silver sector, is comprised of and tracks the change in the market value of Silver.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur U.S.
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DB SILVER MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.50% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB SILVER MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Base Metals Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Base Metals Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Base Metals Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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Table of Contents
POWERSHARES DB BASE METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Due from DB Base Metals Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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POWERSHARES DB BASE METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Base Metals Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Base Metals Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Industrial Metals Excess Return™ (DBLCI-OY Industrial Metals ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Base Metals sector, is comprised of and tracks the change in the market value of the following commodities: Aluminum, Zinc and Copper—Grade A.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Base Metals Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur United States federal income taxes. No provision for federal, state, and local income taxes has
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POWERSHARES DB BASE METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
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POWERSHARES DB BASE METALS FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Base Metals Master Fund:
We have audited the accompanying statement of financial condition of DB Base Metals Master Fund (the Master Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Base Metals Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Base Metals Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s Capital |
1,030 | ||
| Total liabilities and unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Base Metals Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Base Metals Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Industrial Metals Excess Return™ (DBLCI-OY Industrial Metals ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include U.S. Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Base Metals sector, is comprised of and tracks the change in the market value of the following commodities: Aluminum, Zinc and Copper—Grade A.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for U.S. federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will incur U.S.
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DB BASE METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB BASE METALS MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and brokerage commissions and fees of the Fund and the Master Fund will be paid, upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
PowerShares DB Agriculture Fund:
We have audited the accompanying statement of financial condition of PowerShares DB Agriculture Fund (the Fund) as of December 31, 2006. This statement of financial condition is the responsibility of the Fund’s management. Our responsibility is to express an opinion on this statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of PowerShares DB Agriculture Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
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POWERSHARES DB AGRICULTURE FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
Assets
| Due from DB Agriculture Master Fund |
$ | 1,000 | |
| Total assets |
$ | 1,000 | |
| Fund Capital | |||
| General units—40 general units |
$ | 1,000 | |
| Total fund capital |
$ | 1,000 | |
See accompanying notes to statement of financial condition.
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POWERSHARES DB AGRICULTURE FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
PowerShares DB Agriculture Fund (the Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG), was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Fund will offer common units of beneficial interest (the Shares) to investors (Shareholders). The only capital contributed to the Fund as of December 31, 2006 is a capital contribution of $1,000 by DB Commodity Services LLC (the Managing Owner) whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly owned subsidiary of DBAG, serves as the managing owner, commodity pool operator and commodity trading advisor of the Fund and DB Agriculture Master Fund (the Master Fund). The Managing Owner and the Shareholders will share in any profits, losses, and expenses of the Fund in proportion to the percentage interest owned by each.
The proceeds of the offering of Shares will be invested in the Master Fund. The Master Fund was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will trade exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Agriculture Excess Return™ (DBLCI-OY Agriculture ER™, or the Index), with a view to tracking the changes, positive and negative, of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the Agricultural sector, is comprised of and tracks the change in the market value of the following commodities: Corn, Wheat, Soybeans, and Sugar.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Due from DB Agriculture Master Fund |
The Managing Owner funded cash to the Master Fund on behalf of the Fund as of December 31, 2006, which represents the Managing Owner’s capital contribution to the Fund.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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POWERSHARES DB AGRICULTURE FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Shares |
Shares may be purchased from the Fund only by certain eligible financial institutions, (the Authorized Participants) and only in one or more blocks of 200,000 Shares, called a Basket, although the initial Basket(s) will be purchased by Deutsche Bank Securities Inc. (the Initial Purchaser). The Fund will issue Shares in Baskets only to Authorized Participants continuously as of noon, New York time, on the business day immediately following the date on which a valid order to create a Basket is accepted by the Fund, at the net asset value of 200,000 Shares as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Basket is accepted by the Fund.
| (4) | Operating Expenses, Organizational, and Offering Costs |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its Shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of Shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (5) | Termination |
The term of the Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, an Authorized Participant may place an order with the Managing Owner to redeem one or more Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. Redemption orders are irrevocable. The redemption procedures allow Authorized Participants to redeem Baskets. Individual Shareholders may not redeem directly from the Fund. Instead, individual Shareholders may only redeem Shares in integral multiples of 200,000 and only through an Authorized Participant.
By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through the Depository Trust Company’s (DTC) book entry system to the Fund not later than noon, New York time, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption distribution, an Authorized Participant’s DTC account will be charged the nonrefundable transaction fee due for the redemption order.
The redemption distribution from the Fund consists of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Baskets requested in the Authorized Participant’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on
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POWERSHARES DB AGRICULTURE FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
behalf of the Fund will distribute the cash redemption amount at noon, New York time, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book-entry system.
The redemption distribution due from the Fund is delivered to the Authorized Participant at noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by noon, New York time, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book-entry system on such terms as the Managing Owner may determine from time-to-time.
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Report of Independent Registered Public Accounting Firm
The Unitholder
DB Agriculture Master Fund:
We have audited the accompanying statement of financial condition of DB Agriculture Master Fund (the Master Fund) as of December 31, 2006. The statement of financial condition is the responsibility of the Master Fund’s management. Our responsibility is to express an opinion on the statement of financial condition based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation. We believe that our audit of the statement of financial condition provides a reasonable basis for our opinion.
In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of DB Agriculture Master Fund as of December 31, 2006, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
New York, New York
March 14, 2007
219
Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006
| Assets | |||
| Cash held by Commodity Broker |
$ | 2,030 | |
| Total assets |
$ | 2,030 | |
| Liabilities and Unitholder’s Capital | |||
| Due to PowerShares DB Agriculture Fund |
$ | 1,000 | |
| Total liabilities |
1,000 | ||
| Unitholder’s capital |
1,030 | ||
| Total liabilities and unitholder’s capital |
$ | 2,030 | |
See accompanying notes to statement of financial condition.
220
Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
| (1) | Organization |
DB Agriculture Master Fund (the Master Fund), an indirect wholly owned subsidiary of Deutsche Bank AG (DBAG) was formed as a separate series of DB Multi-Sector Commodity Master Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The Master Fund will offer common units of beneficial interest (the Units), and the only Unitholders will be PowerShares DB Agriculture Fund (the Fund) and DB Commodity Services LLC (the Managing Owner). The Fund, an indirect wholly owned subsidiary of DBAG, was formed as a separate series of PowerShares DB Multi-Sector Commodity Trust, a Delaware statutory trust organized in seven separate series on August 3, 2006, and has not yet commenced operations. The only capital contributed to the Master Fund as of December 31, 2006 is a capital contribution of $1,000 by the Managing Owner whereby 40 general units were issued to the Managing Owner for its capital contribution. The Managing Owner, a wholly-owned subsidiary of DBAG, serves as the managing owner, commodity pool operator, and commodity trading advisor of the Master Fund and the Fund. The Managing Owner and the Unitholders share in any profits, losses, and expenses of the Master Fund in proportion to the percentage interest owned by each.
The Master Fund will invest the proceeds from the offering of Units by trading exchange traded futures on the commodities comprising the Deutsche Bank Liquid Commodity Index—Optimum Yield Agriculture Excess Return™ (DBLCI-OY Agriculture ER™, or the Index), with a view to tracking the changes, positive and negative of the Index over time. The Master Fund’s portfolio also will include United States Treasury securities for deposit with the Master Fund’s commodities brokers as margin and other high credit quality short term fixed income securities.
The Index, which intends to reflect the agricultural sector, comprised and tracks the change in the market value of the following commodities: corn, wheat, soybeans, and sugar.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying statement of financial condition has been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the statement of financial condition in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the statement of financial condition. Actual results could differ from those estimates.
| (c) | Cash held by Commodity Broker |
Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG and a related party to the Master Fund), a Delaware corporation, serves as the commodity broker of the Master Fund (the Commodity Broker). The Master Fund defines cash held by the Commodity Broker on its behalf to be highly liquid investments, with original maturities of three months or less.
| (d) | Income Taxes |
The Master Fund and the Fund will be classified as a partnership and a grantor trust, respectively, for United States federal income tax purposes. Accordingly, neither the Master Fund, nor the Fund will
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Table of Contents
DB AGRICULTURE MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
incur United States federal income taxes. No provision for federal, state, and local income taxes has been made in the accompanying statement of financial condition, as each investor will be individually liable for income taxes, if any, on their allocable share of the Fund’s share of the Master Fund’s income, gain, loss, deductions and other items.
| (3) | The Offering of the Units |
Master Fund Units may be purchased from the Master Fund only by the Fund in one or more blocks of 200,000 Master Fund Units (Master Unit Basket). The Master Fund will issue Master Unit Baskets only to the Fund continuously, as of noon, New York time, on the business day immediately following the date on which a valid order to create a Master Unit Basket is accepted by the Master Fund, at the net asset value of 200,000 Master Fund Units as of the closing time of the American Stock Exchange (Amex) or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the date that a valid order to create a Master Unit Basket is accepted by the Master Fund.
| (4) | Fees and Expenses |
| (a) | Organization and Offering Expenses |
Expenses incurred in connection with organizing the Fund and the Master Fund and the initial offering of its shares are paid by the Managing Owner. Expenses incurred in connection with the continuous offering of shares of the Fund after the commencement of the Master Fund’s trading operations will also be paid by the Managing Owner.
| (b) | Management Fee |
The Master Fund will pay the Managing Owner a management fee (the Management Fee), monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of Master Fund. No separate management fee will be paid by any Fund. The Management Fee will be paid in consideration of the Managing Owner’s commodity futures trading advisory services.
| (c) | Brokerage Commissions and Fees |
The Master Fund will pay to the Commodity Broker all brokerage commissions, including applicable exchange fees, National Futures Association fees, give up fees, pit brokerage fees, and other transaction related fees and expenses charged in connection with its trading activities. The Commodity Broker’s brokerage commissions and trading fees will be determined on a contract by contract basis.
| (d) | Routine Operational, Administrative, and Other Ordinary Expenses |
The Managing Owner will pay all routine operational, administrative, and other ordinary expenses of the Fund and the Master Fund, including, but not limited to, computer services, the fees and expenses of the Trustee (Wilmington Trust Company), legal and accounting fees and expenses, tax preparation expenses, filing fees, and printing, mailing, and duplication costs.
| (e) | Extraordinary Fees and Expenses |
The Master Fund will pay all the extraordinary fees and expenses (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement of the Master Trust), if any, of itself
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DB AGRICULTURE MASTER FUND
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Statement of Financial Condition
December 31, 2006
and of the Fund. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.
| (f) | Management Fee and Expenses to be Paid First out of Interest Income |
The Management Fee and the brokerage commissions and fees of the Fund and the Master Fund will be paid upon commencement of operations, first out of interest income from the Master Fund’s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the Commodity Broker as margin or otherwise. To the extent interest income is not sufficient to cover the fees and expenses of the Fund and the Master Fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the Master Fund’s fixed income securities.
| (5) | Termination |
The term of the Master Fund is perpetual unless terminated earlier in certain circumstances.
| (6) | Redemptions |
On any business day, the Fund may place an order with the Managing Owner to redeem one or more Master Unit Baskets. Redemption orders must be placed by the Order Cut-Off Time (as such term is defined in the Master Trust Agreement). The day on which the Managing Owner receives a valid redemption order is the redemption order date. The redemption procedure allows the Fund to redeem Master Unit Baskets.
The redemption proceeds from the Master Fund consist of the cash redemption amount. The cash redemption amount is equal to the net asset value of the number of Master Unit Baskets requested in the Fund’s redemption order as of the closing time of the Amex or the last to close of the exchanges on which the Master Fund’s assets are traded, whichever is later, on the redemption order date. The Managing Owner on behalf of the Master Fund will distribute the cash redemption amount to the Fund no later than noon, New York time, on the business day immediately following the redemption order date.
The redemption proceeds due from the Master Fund are delivered to the Fund no later than noon, New York time, on the business day immediately following the redemption order date if, by such time on such business day immediately following the redemption order date, the Master Fund account has been credited with the Master Unit Baskets to be redeemed. If the Master Fund’s account has not been credited with all of the Master Unit Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Master Unit Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Master Unit Baskets received if the Managing Owner receives the fee applicable to the extension of the redemption distribution date which the Managing Owner may, from time to time, determine and the remaining Master Unit Baskets to be redeemed are credited to the Master Fund’s account by noon, New York time, on such next business day. Any further outstanding amount of the redemption order shall be canceled. The Managing Owner is also authorized to deliver the redemption distribution notwithstanding that the Master Unit Baskets to be redeemed are not credited to the Master Fund’s account by noon, New York time, on the business day immediately following the redemption order date if the Fund has collateralized its obligation to deliver the Master Unit Baskets on such terms as the Managing Owner may determine from time-to-time.
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The Board of Managers
DB Commodity Services LLC:
We have audited the accompanying statements of financial condition of DB Commodity Services LLC (the Company) as of December 31, 2006 and 2005, and the related statements of income and expenses, changes in member’s capital (deficit), and cash flows for the year ended December 31, 2006 and for the period from May 23, 2005 (inception) to December 31, 2005. These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of DB Commodity Services LLC as of December 31, 2006 and 2005, and the results of its operations and its cash flows for the year ended December 31, 2006 and for the period from May 23, 2005 (inception) to December 31, 2005 in conformity with U.S. generally accepted accounting principles.
| /s/ KPMG LLP |
| March 27, 2007 |
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Financial Condition
December 31, 2006 and 2005
| 2006 | 2005 | |||||
| Assets | ||||||
| Cash held by affiliate |
$ | — | 50,000 | |||
| Due from DB Exchange Traded Funds |
512,115 | — | ||||
| Investment in DB Exchange Traded Funds |
22,000 | 2,000 | ||||
| Total assets |
$ | 534,115 | 52,000 | |||
| Liabilities and Member’s Capital | ||||||
| Liabilities: |
||||||
| Cash overdraft with affiliate |
$ | 2,674,315 | — | |||
| Accrued expenses |
1,621,064 | — | ||||
| Due to DB U.S. Financial Markets Holding Corporation |
— | 2,000 | ||||
| Total liabilities |
4,295,379 | 2,000 | ||||
| Member’s capital (deficit): |
||||||
| Member’s capital contributions |
50,000 | 50,000 | ||||
| Net loss |
(3,811,264 | ) | — | |||
| Total member’s deficit |
(3,761,264 | ) | 50,000 | |||
| Total liabilities and member’s deficit |
$ | 534,115 | 52,000 | |||
See accompanying notes to financial statements.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statements of Income and Expenses
Year Ended December 31, 2006 and for the
Period from May 23, 2005 (Inception) to December 31, 2005 (i)
| 2006 | 2005 (i) | |||||
| Income: |
||||||
| Management fees |
$ | 3,924,547 | — | |||
| Total income |
3,924,547 | — | ||||
| Expense |
||||||
| Assumed DBC and DBV organization and offering costs |
2,642,543 | — | ||||
| Legal fees |
1,825,738 | |||||
| Audit fees and tax services |
1,528,279 | — | ||||
| Registration fees |
636,000 | — | ||||
| License fees |
492,758 | — | ||||
| Printing services |
223,552 | — | ||||
| Administrator fees |
251,188 | — | ||||
| Trustee fees |
38,541 | — | ||||
| Marketing costs |
36,660 | — | ||||
| Other |
60,552 | — | ||||
| Total expenses |
7,735,811 | — | ||||
| Net loss |
$ | (3,811,264 | ) | — | ||
See accompanying notes to financial statements.
| (i): | DB Exchange Traded Funds commenced investment operations during 2006, therefore, the Company had no operating results in 2005. |
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statements of Changes in Member’s Capital (Deficit)
Year Ended December 31, 2006 and for the
Period from May 23, 2005 (Inception) to December 31, 2005
| Member’s capital, May 23, 2005 (inception) |
$ | — | ||
| Capital contribution |
50,000 | |||
| Member’s capital, December 31, 2005 |
50,000 | |||
| Net loss |
(3,811,264 | ) | ||
| Member’s deficit, December 31, 2006 |
$ | (3,761,264 | ) | |
See accompanying notes to financial statements.
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Table of Contents
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Statement of Cash Flows
Year Ended December 31, 2006 and for the
Period from May 23, 2005 (Inception) to December 31, 2005
| 2006 | 2005 | ||||||
| Cash flows from operating activities: |
|||||||
| Net loss |
$ | (3,811,264 | ) | — | |||
| Adjustments to reconcile net loss to net cash (used in) provided by operating activities: |
|||||||
| (Increase) decrease in operating assets: |
|||||||
| Due from DB Exchange Traded Funds |
(512,115 | ) | — | ||||
| Increase (decrease) in operating liabilities: |
|||||||
| Cash overdraft with affiliate |
2,674,315 | — | |||||
| Accrued expenses |
1,621,064 | — | |||||
| Due to DB U.S. Financial Markets Holding Corporation |
(2,000 | ) | 2,000 | ||||
| Net cash (used in) provided by operating activities |
(30,000 | ) | 2,000 | ||||
| Cash flows from investing activities: |
|||||||
| Investment in DB Exchange Traded Funds |
(20,000 | ) | (2,000 | ) | |||
| Net cash used in investing activities |
(20,000 | ) | (2,000 | ) | |||
| Cash flows from financing activities: |
|||||||
| Capital contribution from DB U.S. Financial Holding Corporation |
— | 50,000 | |||||
| Net cash provided by financing activities |
— | 50,000 | |||||
| Increase (Decrease) in cash held by affiliate |
(50,000 | ) | 50,000 | ||||
| Cash held by affiliate at beginning of period |
50,000 | — | |||||
| Cash held by affiliate at end of period |
$ | — | 50,000 | ||||
See accompanying notes to financial statements.
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(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
| (1) | Organization and Basis of Presentation |
DB Commodity Services LLC (the “Company”), a Delaware limited liability company, was formed on May 23, 2005, and is an indirect wholly owned subsidiary of Deutsche Bank AG and a direct wholly owned subsidiary of DB U.S. Financial Markets Holding Corporation. The Company is registered as a commodity pool operator and commodity trading advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.
The Company serves as the managing owner, commodity pool operator and commodity trading advisor to the following funds:
| • |
PowerShares DB Commodity Index Tracking Fund (the “DBC Fund”)1, |
| • |
DB Commodity Index Tracking Master Fund (the “DBC Master Fund”)2. |
| • |
PowerShares DB G10 Currency Harvest Fund (the “DBV Fund”)3, |
| • |
DB G10 Currency Harvest Master Fund (the “DBV Master Fund”)4. |
As of December 31, 2006, the following commodity and currency index based funds, for which the Company would serve as the managing owner, had not commenced investment operations:
| • |
PowerShares DB Multi-Sector Commodity Trust5 and DB Multi-Sector Commodity Master Trust6: |
| • | PowerShares DB Energy Fund (the “DBE Fund”), |
| • | DB Energy Master Fund (the “DBE Master Fund”). |
| • | PowerShares DB Oil Fund (the “DBO Fund”), |
| • | DB Oil Master Fund (the “DBO Master Fund”). |
| • | PowerShares DB Precious Metals Fund (the “DBP Fund”), |
| • | DB Precious Metals Master Fund (the “DBP Master Fund”). |
| • | PowerShares DB Gold Fund (the “DGL Fund”), |
| • | DB Gold Master Fund (the “DGL Master Fund”). |
| • | PowerShares DB Silver Fund (the “DBS Fund”), |
| 1 |
Organized as a Delaware statutory trust on May 23, 2005. DBC Fund was originally named “DB Commodity Index Tracking Fund” and changed its name to “PowerShares DB Commodity Index Tracking Fund” effective August 10, 2006. |
| 2 |
Organized as a Delaware statutory trust on May 23, 2005. |
| 3 |
Organized as a Delaware statutory trust on April 12, 2006. DBV Fund was originally named “DB Currency Index Value Fund” and changed its name to “PowerShares DB G10 Currency Harvest Fund” effective July 20, 2006. |
| 4 |
Organized as a Delaware statutory trust on April 12, 2006. DBV Master Fund was originally named “DB Currency Index Value Master Fund” and changed its name to “DB G10 Currency Harvest Master Fund” effective July 20, 2006. |
| 5 |
Organized as a Delaware statutory trust, in seven separate series, or Funds, on August 3, 2006. |
| 6 |
Organized as a Delaware statutory trust, in seven separate series, or Master Funds, on August 3, 2006. |
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
| • | DB Silver Master Fund (the “DBS Master Fund”). |
| • | PowerShares DB Base Metals Fund (the “DBB Fund”), |
| • | DB Base Metals Master Fund (the “DBB Master Fund”). |
| • | PowerShares DB Agriculture Fund (the “DBA Fund”), |
| • | DB Agriculture Master Fund (the “DBA Master Fund”). |
| • |
PowerShares DB US Dollar Index Trust7 and DB US Dollar Index Master Trust8 |
| • | PowerShares DB US Dollar Index Bullish Fund (the “UUP Fund”), |
| • | DB US Dollar Index Bullish Master Fund (the “UUP Master Fund”). |
| • | PowerShares DB US Dollar Index Bearish Fund (the “UDN Fund”), |
| • | DB US Dollar Index Bearish Master Fund (the “UDN Master Fund”). |
The DBC Fund, DBC Master Fund, DBV Fund, DBV Master Fund, DBE Fund, DBE Master Fund, DBO Fund, DBO Master Fund, DBP Fund, DBP Master Fund, DGL Fund, DGL Master Fund, DBS Fund, DBS Master Fund, DBB Fund, DBB Master Fund, DBA Fund, DBA Master Fund, UUP Fund, UUP Master Fund, UDN Fund and UDN Master Fund will be collectively referred to herein as the “DB Exchange Traded Funds”, “Funds”, “Feeder Funds” or the “Master Funds”, as applicable.
| (2) | Summary of Significant Accounting Policies |
| (a) | Basis of Accounting |
The accompanying financial statements have been prepared in conformity with U.S. generally accepted accounting principles.
| (b) | Use of Estimates |
The preparation of the financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and disclosure of contingent assets and liabilities during the reporting period of the financial statements. Actual results could differ from those estimates.
| (c) | Due from DB Exchange Traded Funds |
Due from DB Exchange Traded Funds is recorded at the invoiced amount and do not bear interest. Amounts collected on Due from DB Exchange Traded Funds are included in net cash provided by operating activities in the statement of cash flow. As management has determined that there was no risk of unrecoverable amounts, no allowance for doubtful accounts was provided for as of December 31, 2006.
| 7 |
Organized as a Delaware statutory trust, in two separate series, or Funds, on August 3, 2006. |
| 8 |
Organized as a Delaware statutory trust, in two separate series, or Master Funds, on August 3, 2006. |
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
| (d) | Investment in DB Exchange Traded Funds |
The Company’s investments in DB Exchange Traded Funds consist of capital contributions in the general shares of the Funds.
Upon the establishment of the Funds, the Company’s investment represents 100% ownership and is stated at cost. Upon commencement of the Funds’ investment operations and issuance of the Funds’ limited shares, the Company’s general share ownership of the Feeder Funds is recorded as capital in the consolidated financial statements of the Funds, and the Company’s general share ownership of the Master Funds is recorded as a minority shareholder.
| (e) | Income Taxes |
The Company is a limited liability company and did not elect to be taxable as a corporation for U.S. income tax purposes. Accordingly, the Company will not incur U.S. income taxes. No provision for federal, state and local income taxes has been made in the accompanying financial statements, as its owner member is individually liable for income taxes, if any, on its share of the Company’s income, loss and other items.
| (f) | Revenue Recognition |
Fees earned for management services are recorded on the accrual method of accounting. Fees for management services are received from the Master Funds upon commencement of operations and as services are provided. No separate fee is received from the Feeder Funds.
| (3) | Related Party Transactions |
| (a) | Management Fees and Due from DB Exchange Traded Funds |
The DBC Master Fund pays the Company a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of DBC Master Fund. Prior to July 12, 2006, the DBC management fee was 0.95% per annum.
The DBV Master Fund pays the Company a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the net asset value of DBV Master Fund.
As at December 31, 2006, management fees and Due from DB Exchange Traded Funds amounted to:
| Management Fees |
Due from the Funds | ||||
| DBC Master Fund |
$ | 3,802,033 | 454,280 | ||
| DBV Master Fund |
122,514 | 57,835 | |||
| $ | 3,924,547 | 512,115 | |||
| (b) | Organization and Offering Costs |
Costs incurred in connection with organization of the DBC and DBV Funds and Master Funds, including the initial offering of the limited shares of the Funds, were paid by Deutsche Bank AG on
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
behalf DBC and DBV Master Fund. Costs incurred in connection with the continuous offering of limited shares of the Funds after the commencement of the DBC and DBV Master Funds’ investment trading operations were also paid by Deutsche Bank AG on behalf DBC and DBV Master Fund.
Prior to July 12, 2006, these costs were subject to reimbursement by the DBC and DBV Master Funds, without interest, in 36 monthly payments during each of the first 36 months after the commencement of the DBC and DBV Master Fund’s trading operations. Also, prior to July 12, 2006, DBC and DBV’s Master Fund’s liability to Deutsche Bank AG was transferred to the Company. Total cost reimbursement to the Company during 2006 amounted to $185,575.
As of July 12, 2006 the Company made an additional investment in DBC and DBV Master Funds by assuming all organization and offering costs incurred prior to July 12, 2006. Total costs incurred by the DBC and DBV Funds and Master Funds prior to July 12, 2006, which have been assumed by the Company, amounted to $2,642,543, which has been recorded in the Company’s statement of income and expense.
The Company will also assume DBC and DBV Master Funds’ organization and offering costs incurred subsequent to July 12, 2006.
| (c) | Administration Expenses |
Prior to July 12, 2006, all routine operational, administrative and other ordinary expenses of the DBC and DBV Funds were paid by the DBC and DBV Master Funds.
Effective July 12, 2006, the Managing Owner has agreed to assume all future routine operational, administrative and other ordinary expenses of the DBC and DBV Funds and Master Funds, including, but not limited to, computer services, trustee fees and expenses, legal and accounting fees and expenses, tax preparation expenses, filing fees and printing, mailing and duplication costs. Accordingly, such expenses are recorded in the statement of income and expenses of the Company. Please refer to Note (6) for further details on service agreements.
In addition, the Company, in its capacity as the managing owner and on behalf of the Funds, entered into a service agreement with Deutsche Bank AG for services including, but not limited to, trading, accounting, legal, human resources and other. The costs of these services are assumed by Deutsche Bank AG with no cost allocation to the Company or the Funds.
| (d) | Cash and Cash Overdraft with affiliate |
The Company participates in a cash management program with Deutsche Bank AG New York Branch, which provides the Company with a cash facility to cover its operational expenses. The cash management program is non-interest bearing and there is no expiration date. As per a Letter of Support, Deutsche Bank AG will continue to provide the Company with the funds necessary to meet its current and currently foreseeable obligations. As of December 31, 2006, the Company had an overdraft balance of $2,674,315.
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
| (4) | Investments in DB Exchange Traded Funds |
Investment in DB Exchange Traded Funds as of December 31, 2006 consist of the following:
| Ownership % | Amount | ||||
| PowerShares DB Commodity Index Tracking Fund (a) |
(e) | $ | 1,000 | ||
| DB Commodity Index Tracking Master Fund (a) |
(e) | 1,000 | |||
| PowerShares DB G10 Currency Harvest Fund (b) |
(e) | 1,000 | |||
| DB G10 Currency Harvest Master Fund (b) |
(e) | 1,000 | |||
| PowerShares DB Energy Fund (c) |
100 | 1,000 | |||
| DB Energy Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Oil Fund (c) |
100 | 1,000 | |||
| DB Oil Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Precious Metals Fund (c) |
100 | 1,000 | |||
| DB Precious Metals Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Gold Fund (c) |
100 | 1,000 | |||
| DB Gold Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Silver Fund (c) |
100 | 1,000 | |||
| DB Silver Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Base Metals Fund (c) |
100 | 1,000 | |||
| DB Base Metals Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB Agriculture Fund (c) |
100 | 1,000 | |||
| DB Agriculture Master Fund (c) |
100 | 1,000 | |||
| PowerShares DB US Dollar Index Bullish Fund (d) |
100 | 1,000 | |||
| DB US Dollar Index Bullish Master Fund (d) |
100 | 1,000 | |||
| PowerShares DB US Dollar Index Bearish Fund (d) |
100 | 1,000 | |||
| DB US Dollar Index Bearish Master Fund (d) |
100 | 1,000 | |||
| $ | 22,000 | ||||
| (a) | Commenced investment operations on January 31, 2006 |
| (b) | Commenced investment operations on September 15, 2006 |
| (c) | Commenced investment operations on January 3, 2007 (see note 10) |
| (d) | Commenced investment operations on February 15, 2007 (see note 10) |
| (e) | Ownership represents less than 1.0% |
Investment in DB Exchange Traded Funds as of December 31, 2005 consist of the following:
| Ownership % | Amount | ||||
| PowerShares DB Commodity Index Tracking Fund (a) |
100 | $ | 1,000 | ||
| DB Commodity Index Tracking Master Fund (a) |
100 | 1,000 | |||
| $ | 2,000 | ||||
| (a) | Commenced investment operations on January 31, 2006 |
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
| (5) | Accrued Expenses |
Accrued expenses at December 31, 2006 and 2005 consist of the following:
| 2006 | 2005 | ||||
| Audit fees and tax services |
$ | 1,243,979 | — | ||
| Marketing costs |
237,513 | — | |||
| Administrator services |
118,955 | — | |||
| Legal |
11,575 | — | |||
| Printing services |
9,042 | ||||
| $ | 1,621,064 | — | |||
| (6) | Service Agreements |
| (a) | Trust Agreement |
Under the trust agreement of the Funds, Wilmington Trust Company, the Trustee of the Funds has delegated to the Company the exclusive management and control of all aspects of the business of the Funds.
The Trustee compensation is paid on behalf of the Funds by the Company.
| (b) | Administration Agreement |
The Company, in its capacity as the managing owner and on behalf of each of the Funds and Master Funds, has appointed The Bank of New York as the administrator (the “Administrator”), custodian and transfer agent of the Funds and have entered into separate administrative, custodian, transfer agency and service agreements (collectively referred to as the “Administration Agreement”). The Administrator performs or supervises the performance of services necessary for the operation and administration of each of the Funds (other than making investment decisions), including receiving and processing orders to create and redeem shares of the Funds, net asset value calculations, accounting and other fund administrative services.
The Administrator’s monthly fees are paid on behalf of the Funds by the Company.
| (c) | Distribution Services Agreement |
ALPS Distributors provide certain distribution services for each of the Funds. Pursuant to the Distribution Services Agreement between ALPS Distributors, the Company, in its capacity as the managing owner and on behalf of the Funds, ALPS Distributors assists the Company with certain distribution and marketing functions, including reviewing and approving marketing materials.
ALPS Distributors’ fees are paid on behalf of the Funds by the Company.
| (d) | License Agreement |
Under the License Agreement among PowerShares Capital Management LLC, the Company in its own capacity, and the Company in its capacity as the managing owner and on behalf of the Funds (the
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
Funds and the Company, collectively the “Licensees”), PowerShares Capital Management LLC granted to each Licensee a non-exclusive license to use the “PowerShares®” trademark anywhere in the world, solely in connection with the marketing and promotion of the Funds, and issuance and trading of the Funds’ shares as necessary.
License fees are paid on behalf of the Funds by the Company.
| (e) | Marketing Agreement |
Pursuant to the Marketing Agreement between AIM Distributors and the Company in its capacity as the managing owner and on behalf of the Funds, AIM Distributors assist the Company and the Administrator with certain functions and duties such as providing various educational and marketing activities regarding each of the Funds, primarily in the secondary trading market. Activities include, but are not limited to, communicating each of the Funds’ names, characteristics, uses, benefits, and risks, consistent with the prospectus, engagement in public seminars, road shows, conferences, media interviews, fielding incoming telephone “800” number calls and distributing sales literature and other communications (including electronic media) regarding each of the Funds.
Marketing fees are paid on behalf of the Funds by the Company.
| (7) | Commitments and Contingencies |
The Company has entered into various service agreements on behalf of the Funds that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While the Company’s exposure under such indemnification provisions cannot be estimated until a claim arises, these general business indemnifications are not expected to have a material impact on the Company’s financial position.
| (8) | Business and Credit Concentration |
The Company’s business is to serve as the managing owner, commodity pool operator and commodity trading advisor to a number of DB Exchange Traded Funds. Basis for the management fee calculation is the Funds’ net asset value. Accordingly, factors that may have the effect of causing a decline in the Funds’ net asset value will affect the Company’s income from management fees.
| (9) | Recently Issued Accounting Standards |
In September 2006, the FASB issued FASB Statement No. 157, Fair Value Measurement (Statement 157). Statement 157 defines fair value, establishes framework for the measurement of fair value, and enhances disclosures about fair value measurements. Statement 157 does not require any new fair value measures. Statement 157 is effective for fair value measures already required or permitted by other standards for fiscal years beginning after November 15, 2007. The Company is required to adopt Statement 157 beginning on January 1, 2008. Statement 157 is required to be applied prospectively, except for certain financial instruments. Any transition adjustment will be recognized as an adjustment to opening retained earnings in the year of adoption. The Company is currently evaluating the impact of adopting Statement 157 on its results of operations and financial position.
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DB COMMODITY SERVICES LLC
(An Indirect Wholly Owned Subsidiary of
Deutsche Bank AG)
Notes to Financial Statements
December 31, 2006 and 2005
In July 2006, the FASB issued FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes, an interpretation of FASB Statement 109. FIN 48 clarifies the accounting for uncertainty in income taxes recognized in an enterprise’s financial statements and prescribes a threshold of more-likely-than-not for recognition of tax benefits of uncertain tax positions taken or expected to be taken in a tax return. FIN 48 also provides related guidance on measurement, derecognition, classification, interest and penalties, and disclosure. The provisions of FIN 48 will be effective for the Company on January 1, 2007, with any cumulative effect of the change in accounting principle recorded as an adjustment to operating retained earnings. The Company has determined the impact of adopting FIN 48 will not have a material impact on its results of operations and financial position.
| (10) | Subsequent Events |
On January 3, 2007 the following funds commenced investment operations: DBE Fund, DBE Master Fund, DBO Fund, DBO Master Fund, DBP Fund, DBP Master Fund, DGL Fund, DGL Master Fund, DBS Fund, DBS Master Fund, DBB Fund, DBB Master Fund, DBA Fund and DBA Master Fund.
On February 15, 2007 the following funds commenced operations: UUP Fund, UUP Master Fund, UDN Fund and UDN Master Fund.
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PART TWO
STATEMENT OF ADDITIONAL INFORMATION
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 Silver Fund
PowerShares DB Base Metals Fund
PowerShares DB Agriculture Fund
Shares of Beneficial Interest
The Shares are speculative securities which involve the risk of loss.
Past performance is not necessarily indicative of future results.
See “ The Risks You Face” beginning at page 22 in Part One.
THIS PROSPECTUS IS IN TWO PARTS: A DISCLOSURE
DOCUMENT AND A STATEMENT OF ADDITIONAL
INFORMATION. THESE PARTS ARE BOUND
TOGETHER, AND BOTH CONTAIN
IMPORTANT INFORMATION
MAY [15], 2007
DB Commodity Services LLC
Managing Owner
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PART TWO
STATEMENT OF ADDITIONAL INFORMATION
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| 241 | ||
| Overview of the Index Commodities and Related Futures Contracts |
242 | |
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PRIVACY NOTICE
The importance of protecting the investors’ privacy is recognized by PowerShares DB Multi-Sector Commodity Trust (the “Trust”) and DB Commodity Services LLC (the “Managing Owner”). The Trust and the Managing Owner protect personal information they collect about you by maintaining physical, electronic and procedural safeguards to maintain the confidentiality and security of such information.
Categories Of Information Collected. In the normal course of business, the Trust and the Managing Owner may collect the following types of information concerning investors in the Funds who are natural persons:
| • | Information provided in the Participant Agreements and other forms (including name, address, social security number, income and other financial-related information); and |
| • | Data about investor transactions (such as the types of investments the investors have made and their account status). |
How the Collected Information is Used. Any and all nonpublic personal information received by the Funds or the Managing Owner with respect to the investors who are natural persons, including the information provided to the Funds by such an investor in a Participant Agreement, will not be shared with nonaffiliated third parties which are not service providers to the Trust or the Managing Owner without prior notice to such investors. Such service providers include but are not limited to the Selling Agents, the Commodity Broker, administrators, auditors and the legal advisers of the Trust. Additionally, the Trust and/or the Managing Owner may disclose such nonpublic personal information as required by applicable laws, statutes, rules and regulations of any government, governmental agency or self-regulatory organization or a court order. The same privacy policy will also apply to the Shareholders who have fully redeemed.
For questions about the privacy policy, please contact the Trust.
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PART II
Information Not Required in Prospectus
Item 13. Other Expenses of Issuance and Distribution.
The following expenses reflect the estimated amounts required to prepare and file this Registration Statement and complete the offering of the Shares (other than selling commissions).
| Approximate Amount | |||
| Securities and Exchange Commission Registration Fee |
$ | 31,340 | |
| National Association of Securities Dealers, Inc. Filing Fee |
75,500 | ||
| Printing Expenses |
100,000 | ||
| Fees of Certified Public Accountants |
12,500 | ||
| Fees of Counsel |
30,000 | ||
| Total |
$ | 249,340 | |
Item 14. Indemnification of Directors and Officers.
Section 4.7 of the Amended and Restated Declaration of Trust and Trust Agreement of each of the Trust and the Master Trust filed as exhibits to this Registration Statement and, as amended from time-to-time, provides for the indemnification of the Managing Owner. The Managing Owner (including Covered Persons as provided under each Amended and Restated Declaration of Trust and Trust Agreement) shall be indemnified by the Master Trust (or any Master Fund separately to the extent the matter in question relates to a single Master Fund or is otherwise disproportionate), against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by it in connection with its activities for the Master Trust, provided that (i) the Managing Owner was acting on behalf of or performing services for the Master Trust and has determined, in good faith, that such course of conduct was in the best interests of the Master Trust and such liability or loss was not the result of negligence, misconduct, or a breach of the Amended and Restated Declaration of Trust and Trust Agreement on the part of the Managing Owner and (ii) any such indemnification will only be recoverable from the applicable Trust Estate or Trust Estates (as such term is defined in the Amended and Restated Declaration of Trust and Trust Agreement). All rights to indemnification permitted therein and payment of associated expenses shall not be affected by the dissolution or other cessation to exist of the Managing Owner, or the withdrawal, adjudication of bankruptcy or insolvency of the Managing Owner, or the filing of a voluntary or involuntary petition in bankruptcy under Title 11 of the U.S. Code by or against the Managing Owner.
Item 15. Recent Sales of Unregistered Securities.
None.
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Item 16. Exhibits and Financial Statement Schedules.
The following documents (unless otherwise indicated) are filed herewith and made a part of this Registration Statement:
(a) Exhibits. The following exhibits are filed herewith:
| Exhibit Number |
Description of Document | |
| 1.1 | Form of Initial Purchaser Agreement* | |
| 4.1 | Form of Amended and Restated Declaration of Trust and Trust Agreement of the Registrant* | |
| 4.2 | Form of Amended and Restated Declaration of Trust and Trust Agreement of the Co-Registrant* | |
| 4.3 | Form of Participant Agreement* | |
| 4.4 | Form of Privacy Notice (annexed to the Prospectus as Exhibit A) | |
| 5.1 | Opinion of Richards, Layton & Finger as to legality | |
| 8.1 | Opinion of Sidley Austin LLP as to income tax matters | |
| 10.1 | Form of Customer Agreement* | |
| 10.2 | Form of Administration Agreement* | |
| 10.3 | Form of Global Custody Agreement* | |
| 10.4 | Form of Transfer Agency and Service Agreement* | |
| 10.5 | Form of Distribution Services Agreement* | |
| 10.6 | Form of Marketing Agreement* | |
| 23.1 | Consent of Sidley Austin LLP is included as part of Registration Statement | |
| 23.2 | Consent of Richards, Layton & Finger is included as part of Exhibit 5.1 | |
| 23.3 | Consent of Sidley Austin LLP as tax counsel is included as part of Registration Statement | |
| 23.4 | Consent of KPMG LLP, Independent Registered Public Accounting Firm, is included as part of Registration Statement | |
| * | Previously filed as an exhibit to Pre-Effective Amendment No. 2 to Form S-1 on December 14, 2006 and incorporated herein by reference. |
(b) The following financial statements are included in the Prospectus:
(1) PowerShares DB Energy Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(2) DB Energy Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
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(3) PowerShares DB Oil Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(4) DB Oil Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(5) PowerShares DB Precious Metals Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(6) DB Precious Metals Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(7) PowerShares DB Gold Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(8) DB Gold Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(9) PowerShares DB Silver Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(10) DB Silver Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(11) PowerShares DB Base Metals Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
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(12) DB Base Metals Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(13) PowerShares DB Agriculture Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(14) DB Agriculture Master Fund
(i) Report of Independent Registered Public Accounting Firm
(ii) Statement of Financial Condition as of December 31, 2006
(iii) Notes to Statement of Financial Condition
(15) DB Commodity Services LLC
(i) Independent Auditor’s Report
(ii) Statements of Financial Condition for the Year Ended December 31, 2006 and 2005
| (iii) | Statements of Income and Expenses for the Year Ended December 31, 2006 and for the Period from May 23, 2005 (Inception) to December 31, 2005 |
| (iv) | Statements of Changes in Member’s Capital (Deficit) for the Year Ended December 31, 2006 and for the Period from May 23, 2005 (Inception) to December 31, 2005 |
| (v) | Statements of Cash Flows for the Year Ended December 31, 2006 and for the Period from May 23, 2005 (Inception) to December 31, 2005 |
(vi) Notes to Financial Statements
Item 17. Undertakings.
(a) The undersigned registrant hereby undertakes:
(1) To file, during any period in which offers or sales are being made, a post-effective amendment to this registration statement;
(i) To include any prospectus required by section 10(a)(3) of the Securities Act of 1933, as amended;
(ii) To reflect in the prospectus any facts or events arising after the effective date of the registration statement (or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or high end of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the changes in volume and price represent no more than a 20% change in the maximum aggregate offering price set forth in the “Calculation of Registration Fee” table in the effective registration statement;
(iii) To include any material information with respect to the plan of distribution not previously disclosed in the registration statement or any material change to such information in the registration statement, provided however, that paragraphs (a)(1)(i) and (a)(1)(ii) do not apply if the registration statement is on Form S-3, Form S-8 or Form F-3, and the information required to be included in a
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post-effective amendment by those paragraphs is contained in periodic reports filed with or furnished to the Commission by the registrant pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement.
Provided, however, that:
(A) Paragraphs (a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration statement is on Form S–8, and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement; and
(B) Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S–3 or Form F–3 and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement.
(2) That, for the purpose of determining any liability under the Securities Act of 1933, each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the bona fide offering thereof.
(3) To remove from registration by means of a post-effective amendment any of the securities being registered which remain unsold at the termination of the offering.
(4) That, for the purpose of determining liability under the Securities Act of 1933 to any purchaser:
(i) If the registrant is relying on Rule 430B:
(A) Each prospectus filed by the registrant pursuant to Rule 424(b)(3) shall be deemed to be part of the registration statement as of the date the filed prospectus was deemed part of and included in the registration statement; and
(B) Each prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) as part of a registration statement in reliance on Rule 430B relating to an offering made pursuant to Rule 415(a)(1)(i), (vii), or (x) for the purpose of providing the information required by section 10(a) of the Securities Act of 1933 shall be deemed to be part of and included in the registration statement as of the earlier of the date such form of prospectus is first used after effectiveness or the date of the first contract of sale of securities in the offering described in the prospectus. As provided in Rule 430B, for liability purposes of the issuer and any person that is at that date an underwriter, such date shall be deemed to be a new effective date of the registration statement relating to the securities in the registration statement to which that prospectus relates, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof. Provided, however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior to such effective date, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such effective date; or
(ii) If the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided, however, that no statement made in a registration statement or prospectus that is part of
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the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use.
(5) That, for the purpose of determining liability of the registrant under the Securities Act of 1933 to any purchaser in the initial distribution of the securities:
The undersigned registrant undertakes that in a primary offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by means of any of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:
(i) Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed pursuant to Rule 424;
(ii) Any free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or used or referred to by the undersigned registrant;
(iii) The portion of any other free writing prospectus relating to the offering containing material information about the undersigned registrant or its securities provided by or on behalf of the undersigned registrant; and
(iv) Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.
(b) Insofar as indemnification for liabilities under the Securities Act of 1933 may be permitted to officers, directors or controlling persons of the registrant pursuant to the provisions described in Item 14 above, or otherwise, the registrant has been advised that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Securities Act of 1933 and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the registrant of expenses incurred or paid by an officer, director, or controlling person of the registrant in the successful defense of any such action, suit or proceeding) is asserted by such officer, director or controlling person in connection with the securities being registered, the registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Act and will be governed by the final adjudication of such issue.
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SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the Managing Owner of the Registrant and each Co-Registrant has duly caused this Registration Statement on Form S-1 to be signed on their behalf by the undersigned, thereunto duly authorized, in the city of New York, State of New York, on the 17th day of April, 2007.
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| PowerShares DB Energy Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| PowerShares DB Oil Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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| PowerShares DB Precious Metals Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| PowerShares DB Gold Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ Kevin Rich | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| PowerShares DB Silver Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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| PowerShares DB Base Metals Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| PowerShares DB Agriculture Fund, a series of | ||
| PowerShares DB Multi-Sector Commodity Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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| DB Energy Master Fund, a series of DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| DB Oil Master Fund, a series of DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| DB Precious Metals Master Fund, a series of DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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| DB Gold Master Fund, a series of | ||
| DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| DB Silver Master Fund, a series of | ||
| DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
| DB Base Metals Master Fund, a series of | ||
| DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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| DB Agriculture Master Fund, a series of | ||
| DB Multi-Sector Commodity Master Trust | ||
| By: | DB Commodity Services LLC, | |
| its Managing Owner | ||
| By: | /s/ KEVIN RICH | |
| Name: | Kevin Rich | |
| Title: | Director, Chief Executive Officer and Principal Financial Officer | |
| By: | /s/ GREGORY COLLETT | |
| Name: | Gregory Collett | |
| Title: | Chief Operating Officer | |
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Pursuant to the requirements of the Securities Act of 1933, Registration Statement on Form S-1 has been signed by the following persons on behalf of the Managing Owner of the Registrant and each Co-Registrant in the capacities and on the date indicated.
DB Commodity Services LLC,
Managing Owner of Registrant
and each Co-Registrant
| /s/ KEVIN RICH Name: Kevin Rich |
Director, Chief Executive Officer (Principal Executive Officer) and Principal Financial Officer |
April 17, 2007 | ||
| /s/ GREGORY COLLETT Name: Gregory Collett |
Chief Operating Officer |
April 17, 2007 | ||
| /s/ MARTIN KREMENSTEIN Name: Martin Kremenstein |
Vice President |
April 17, 2007 | ||
(Being principal executive officer, the principal financial and accounting officer and all of the managers of the Board of Managers of DB Commodity Services LLC)
DB Commodity Services LLC,
Managing Owner of Registrant
and each Co-Registrant
| /s/ KEVIN RICH Name: Kevin Rich |
Director, Chief Executive Officer (Principal Executive Officer) and Principal Financial Officer |
April 17, 2007 | ||
| /s/ GREGORY COLLETT Name: Gregory Collett |
Chief Operating Officer |
April 17, 2007 | ||
| /s/ MARTIN KREMENSTEIN Name: Martin Kremenstein |
Vice President |
April 17, 2007 | ||
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