asset allocation investor positioning and flows · asset allocation investor positioning and flows...

Deutsche Bank Research

Global

Asset Allocation

Investor Positioning and Flows

Date 3 February 2014

Growth Positions Unwind

________________________________________________________________________________________________________________

Deutsche Bank Securities Inc.

Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MICA(P) 054/04/2013.

Keith Parker

Strategist (+1) 212 250-7448 [email protected]

Parag Thatte


John Tierney


Binky Chadha

Chief Strategist (+1) 212 250-4776 [email protected]

Table Of Contents

Equity Positioning 4

Bond Positioning Page 21

FX & Commodity Positioning Page 23

Fund Flows Page 25

Buyback Tracker Page 31

Small Cap Tracker Page 32

Cyclical sector positions cut

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60

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100

-80%-60%-40%-20%

0%20%40%60%80%

Dec

-06

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MFs Net Cyclical Positioning & Rel. Performance

1m Corr. of Excess Returns (lhs)Rel. Cycl. vs Def. Perf (rhs)

Rising exposure to mid/small caps

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Performance (Dec 31, 2012 = 100)

MFs vs S&P 500S&P 1000 vs S&P 500

BRL short positions near an extreme

1.401.601.802.002.202.402.602.80

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BRL Price vs Futures Positoning

Net Futures (Thous,rhs) BRL (lhs)

Mixed data on the back of the polar vortex combined with another bout of EM flight has fueled an unwind of growth positions. Cyclical sector positioning and the net long in S&P 500 futures were cut while the short in rates was covered. Equity ETF outflows were massive, driven unsurprisingly by EM, but large US outflows point to hedging of risks in US markets. In EM, positioning has turned short, highlighted by near peak BRL shorts. However, as many worry about near-term growth and market weakness, overhangs remain. Aggregate equity positioning is very high driven in large part by elevated mid/small cap exposure while the likely roll off of excessive year-end call buying may provide pressure.

Equity exposures pared but overhangs remain. S&P futures positioning was cut the last two weeks and equity mutual funds reduced their cyclical sector positioning toward neutral, with Healthcare a big beneficiary. However, significant net call buying since mid-Dec may be an overhang as those positions roll off. Our measure of composite equity positioning has risen toward peak levels driven by overweight mutual fund and equity HF exposure. However, MFs on average have outperformed the S&P 500 by over 40bps YTD in the down market so there is less pressure to de-risk unlike 2011 and 2012 when they underperformed and were hit by big outflows.

Mid/small cap exposure is extended. The MF outperformance is likely due to rising exposure to mid/small cap stocks, which have outperformed the S&P 500 by 2-3% this year but have higher betas to the market. Indeed MF relative performance has closely tracked mid/small cap relative performance. With extended MF exposure likely due in part to mid/small cap holdings, these higher beta stocks may be more at risk in a protracted selloff.

Signs of hedging in US equities. US equity ETFs had $10b of outflows while inflows continued to Europe and Japan. Europe equity inflows have exceeded US equity flows by $30b over the last 3m, a point at which relative flows (and performance) have turned in favor of the US in recent years. Additionally, there was a relative uptick in US skew.

Rates short covered but 15y+ is net long. Going into 2014, UST positioning was net short but mixed data has fueled covering, mainly in the 10y. Fed expectations look to be well-hedged with Eurodollar futures positioning very short, but long positioning in 15y+ treasury futures makes the long end more susceptible to a pickup in growth. Interestingly, shorts in HY ETFs have risen back toward peak levels as investors hedge credit risk.

EM positioning turns short. Net positioning in BRL is near record short levels. Even the darling in EM has seen positioning turn as MXN positions are near historic lows. GEM equity fund beta was cut and is now just below average and EM equity ETF shorts are near post-2009 peaks. EM bond fund NAV declines have tracked fund outflows. EM equity and bond outflows picked up this week, so positioning is likely to stay conservative until outflows slow.

Oil positions remain extended, cold weather forces natgas short covering. Despite the growth concerns amidst an EM shock, oil has held up but remains vulnerable with long positioning just below peaks. Additionally, the polar vortex has seen abrupt covering of shorts in natural gas.

3 February 2014



Summary of positioning and flows

Aggregate equity positioning has turned notably o/w and is highest since May ‘12; MFs equity beta has turned up to an extreme o/w position (13.1 pp); L/S HFs equity exposure rose sharply and is very o/w (12.8 pp); Macro H/Fs pared equity positions but still remain o/w (3.2 pp); Hybrid funds are at a neutral position (0.1 pp) after increasing equity exposure; MFs strongly o/w Healthcare, while HFs are considerably o/w on Materials; Utilities,

Telecom and Cons Staples are consensus u/w; MFs have raised exposure to Healthcare, Energy and Financials while cutting down

on Industrials, Info Tech and Cons Disc; L/S HFs have cut exposure to Cons Staples while adding positions in Energy, Financials, Materials and Utilities

Across regions US, UK, Europe, Global and Japan funds are o/w while EMEA and GEM are u/w.

USD longs at 8m high; rates positioning remains neutral Shorts increased in 10y and pared in 2y & 5y, 15 y+ positions remain net long; USD longs raised and at 8m high; Euro positions turn net short; GBP longs cut; JPY shorts trimmed; Shorts increased in AUD and CAD; Longs added in WTI and Copper; Gold longs inched up while longs in silver were slashed; Corn stayed flat.

Outflows from bonds on EM concerns; outflows from money markets First outflows from bonds in 4w (-$1.9b last week) after inflows of $8.2b in prev 3w; Outflows from rate-sensitive funds (funds excl short term, floating rate and HY)

continue (-$1.9b last week), albeit at a slower pace; these funds have seen outflows in 33 of past 36 weeks (totaling -$172.1b);

Inflows to US ($0.8b) and Europe ($0.2b) more than offset by outflows from EM (-$2.6b) last week; 8th straight week of outflows from EM (totaling $9.7b in outflows);

Corp IG (-$0.2b) and HY (-$0.8b) both experienced their first outflows in 6w; govt funds saw no flows last week;

Short term and floating rate funds continue to get inflows (of $0.3b and $0.6b respectively last week); flows to intermediate term bonds continue to be volatile and that to long term funds stayed positive ($0.6b last week);

MM funds saw outflows of -$11.5b last week, after big inflows of $29.8b the previous week.

Big outflows from equities driven by US and EM; inflows to Europe and Japan continue Equities experienced huge outflows of -$10.4b last week (highest since mid-Sep

2013), after $6.6b in inflows the prior week; Outflows entirely from ETFs (-$12.3b), partly offset by $1.9b inflows to MFs; US funds saw large outflows (-$9.7b), after inflows of $2.4b the previous week; Europe ($3.3b) and Japan ($1.2b) continued trend of strong inflows; EM funds experienced their biggest outflow since mid-2011 (-$6.3b last week and -

$2.4b the week before); this is the 14th straight week of outflows from EM equities, totaling -$26.9b.

All size and style funds, with the exception of mid cap funds ($0.1b), witnessed outflows last week: large cap (-$9.0b), small cap (-$0.8b), growth (-$0.2b) and value (-$0.6b); this is the biggest weekly outflow from large cap funds in 5 months.

Buyback announcements ($31bn) surged in the last two weeks as companies reported earnings. Buybacks are at a strong rate of $122b over the last 3 months and $603b since the start of 2013.

3 February 2014



Growth positions unwind across assets

Figure 1: Short positioning was pared in the Yen and rates while equity futures and

cyclical sector positioning was cut; BRL positioning has gone extremely short

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Positioning Across Assets (Z-score)

Dec 31 Jan 28

Source : CFTC, Haver, Deutsche Bank

3 February 2014



Equity positions pared but overhangs remain

Figure 2: After an extended period of being net long, S&P 500 futures positioning has

been cut back toward neutral

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Total Net Position (Bigs + Minis) (Thous, lhs) S&P 500 (rhs)


Figure 3: Mutual funds have reduced their net cyclical sector positioning

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MFs Net Cyclical Positioning & Rel. Performance1m Correlation of Excess Returns (lhs)Relative Cyclicals vs Defensives Performance (rhs)

Source : Factset, Bloomberg Finance LP, Deutsche Bank

3 February 2014



Figure 4: Call volume in December and early January significantly exceeded put

volume; as net call positions roll off, it could be an overhang on the market

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Rolling 20d Net Call Volume (Thous, lhs) S&P 500 (rhs)

Source : CBOE, Haver, Deutsche Bank

Figure 5: Adjusting for mid and small cap exposure, mutual fund beta is still modestly

overweight

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MFs Beta to S&P 500 and Small vs LargeBeta to S&P 500

Source : Factset, Haver, Bloomberg Finance LP, Deutsche Bank

3 February 2014



Figure 6: Mutual fund exposure to mid and small cap stocks has risen notably, likely in

part due to significant mid and small cap outperformance to start the year

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MFs Beta to S&P 500 and Small vs LargeBeta to S&P 1000 vs S&P 100


Figure 7: Mutual fund relative performance has closely tracked relative mid and small

cap performance

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Performance (Dec 31, 2012 = 100)MFs vs S&P 500 S&P 1000 vs S&P 500


3 February 2014



Signs of hedging in US equities

Figure 8: Outflows from US equity ETFs of $10b as Europe and Japan get inflows

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Equity ETF Flows ($bn)US DM ex-US

Source : EPFR Global, Haver, Deutsche Bank

Figure 9: European equities have benefitted from inflows the last three months that

have exceeded US inflows by $30b, a point at which momentum has turned in the past

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Europe relative to US: Flows vs Performance Stoxx 600 relative to S&P 500 (lhs)3m moving total Europe relative to US flows ($bn,rhs)

Source : EPFR Global, Haver, Deutsche Bank

3 February 2014



Rates short covered but 15y+ is net long

Figure 10: Rates positioning is back to neutral after being short coming into the year

-600-500-400-300-200-1000100200300400

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Treasuries: Net Long in 10Yr Equivalents (in '000)


Figure 11: Short Eurodollar positioning suggests that investors are positioning for a

shift in Fed expectations

0.23%

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3m Eurodollar F&O Positions vs 3m LIBORNet long Contracts (Thous, lhs) 3m LIBOR (rhs, inv)


3 February 2014



Figure 12: Investors have increased positions in longer dated rates

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Net Speculative Futures & Options Positions (in '000)

15+y Treasury futures and options

Source : CFTC Haver, Deutsche Bank

Figure 13: Short interest in HY ETFs is back near peak levels

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US HY Bond ETFs Short Interest

Short Interest ($bn, lhs)

SI % of AUM (rhs)

Source : Factset, Deutsche Bank

3 February 2014



EM positioning turns short

Figure 14: Positioning in the Brazilian Real is nearing extremes

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BRL Futures Positoning vs BRLNet Long Contracts (Thous,lhs) BRL (rhs)

Source : Bloomberg Finance LP , Deutsche Bank

Figure 15: Even the Mexican Peso has seen positioning cut

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MXN F&O Positions vs USDMXNNet Long Contracts (Thous, lhs) USDMXN (inv, rhs)


3 February 2014



Figure 16: The decline in EM bond fund NAVs has tracked EM bond outflows

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EM Bond Flows: Local Currency (cum since 2008, $bn, lhs)NAV of EM Bond Funds (Local Currency, rhs)


Figure 17: Short interest in EM bond ETFs remains elevated

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EM Bond ETFs Short Interest

Short Interest ($bn,lhs)

SI % of AUM (rhs)


3 February 2014



Figure 18: GEM equity funds have reduced exposure to just below average levels

0.30.40.50.60.70.80.91.01.11.21.3

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Rolling 1m beta of EM FundsMedian Beta Average Since 2010: 0.84

Source : Factset, Bloomberg Finance LP, Deutsche Bank

Figure 19: Short interest in EM equity ETFs is back up to post 2009 peak levels

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3 February 2014



Oil positions remain extended and natgas shorts are covered

Figure 20: Oil prices remain vulnerable with positioning just below peak levels

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WTI F&O Positions vs WTI PriceNet Long Contracts (Thous, lhs) WTI ($/Barrel) (rhs)


Figure 21: Natural gas shorts have been covered

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Natural Gas F&O Positions vs Natural Gas PriceNet Long Contracts (Thous, lhs) Natural Gas ($/mmbtu) (rhs)

Source : CBOE, Haver, Deutsche Bank

3 February 2014



Equity Positioning

Overall Equity Positioning

Figure 22: Composite equity beta

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Composite Equity Beta (lhs) S&P 500 (rhs)

Source: Bloomberg Finance LP Reuters, Deutsche Bank

Figure 23: Positioning across fund types – relative to historical average beta exposure

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Hybrid Funds Macro HFs L/S HFs MFs

Positioning by Investor Class (pp)

Source: Bloomberg Finance LP, Reuters, Deutsche Bank

3 February 2014



Equity Positioning by Fund Type

Figure 24: US mutual fund positioning Figure 25: Equity long-short hedge fund positioning

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Large Cap Mutual Funds: Beta to the S&P 500: 1m Rolling

S&P 500 (lhs) Large Cap Mutual Fund Beta (rhs) Beta = 1

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Equity Long-Short Hedge Funds: Beta to the S&P 500:1m rolling

S&P 500 (lhs) Equity Long Short Beta (rhs) Average: 0.28

Source: Bloomberg Finance LP, Reuterst, Deutsche Bank Source: Bloomberg Finance LP, Reuters, Deutsche Bank

Figure 26: Macro hedge fund positioning Figure 27: Hybrid fund positioning

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-0.2

0.0

0.2

0.4

0.6

1000

1100

1200

1300

1400

1500

1600

1700

1800

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Macro Hedge Funds: Beta to the S&P 500:1m rolling

S&P 500 (lhs) Macro HF Beta (rhs) Average: 0.08

0.5

0.5

0.6

0.6

0.7

0.7

0.8

1000

1100

1200

1300

1400

1500

1600

1700

1800

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Hybrid Funds: Beta to the S&P 500:1m rolling

S&P 500 (lhs) Hybrid Funds Beta (rhs) Average: 0.58

Source: Bloomberg Finance LP, Deutsche Bank Source: Bloomberg Finance LP, Deutsche Bank

Note: Beta to the S&P 500 calculated using a rolling 21 day regression of the fund type daily index returns against daily S&P 500 returns. We create an index of the largest mutual funds and hybrid funds with fund weights based on assets under management.

3 February 2014



Sector Positioning

Figure 28: Sector positioning for mutual funds and equity long-short hedge funds

-70%

-50%

-30%

-10%

10%

30%

50%

-70%

-50%

-30%

-10%

10%

30%

50%

Hea

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1m Correlation of Excess Returns

Mutual Funds

Long Short Funds


Figure 29: One month change in sector positioning

-70%

-50%

-30%

-10%

10%

30%

50%

-70%

-50%

-30%

-10%

10%

30%

50%

Hea

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Fina

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Con

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Con

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Change in Correlation of Excess Returns Over Last Month

Mutual Funds

Long Short Funds


Note: We calculate the 21 day correlation of MF or HF daily excess returns (vs. the S&P 500) and the sector

excess daily excess returns (vs. the S&P 500) to get a timely estimate of over or underweight positioning.

3 February 2014



Mutual Fund Betas Across Regions

Figure 30: Mutual fund betas across regions

-0.6

-0.1

0.4

0.9

1.4

1.9

2.4

2.9

3.4

-0.6

-0.1

0.4

0.9

1.4

1.9

2.4

2.9

3.4

EMEA GEM Japan Latam Asia ex Japan Funds

Europe Funds

UK Global US Funds

Regional Mutual Fund PositioningOverweight: Median beta of region to benchmark is higher than avg (Z-score)

Underweight

Overweight


Figure 31: Change in mutual fund betas across regions

-0.7

0.3

1.3

2.3

3.3

4.3

5.3

-0.7

0.3

1.3

2.3

3.3

4.3

5.3

GEM Latam EMEA Japan Europe Funds

Asia ex Japan Funds

Global UK US Funds

1m Change in Regional Mutual Fund Beta (Z-Score)

Increase

Decrease


Note: For each of the largest dedicated mutual funds in each region, we calculate the rolling 21 day beta of daily

fund returns against the daily returns of their stated benchmark. The betas displayed above represent the z-score

of the median for the respective region versus the historical average.

3 February 2014



Skew across regions

Figure 32: Option skew across regional equity indices

-1.40

-1.20

-1.00

-0.80

-0.60

-0.40

-0.20

0.00

-1.40

-1.20

-1.00

-0.80

-0.60

-0.40

-0.20

0.00

LATA

M UK

US

EMEA

Euro

pe

Japa

n

Asi

a Ex

JP

Skew Z-Score

Overweight

Source: Global Equity Derivatives Strategy, Deutsche Bank

Figure 33: Change in option skew across regions

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

EMEA

Japa

n

LATA

M UK

US

Euro

pe

Asi

a Ex

JP

Skew: 1M Chg in Z-Score

Source: Global Equity Derivatives Strategy, Deutsche Bank

Note: Skew is calculated as difference in 3m Implied Volatility for 90% strike minus 110% strike of respective indices. Indices used for region/country: US: S&P 500, Europe: Stoxx 50, UK: FTSE 100, Japan: Nikkei 225, Asia ex Japan: Average of Hang Seng, Kospi, Nifty 50, Straits Times & Taiwan Weighted, LATAM: Brazil Bovespa & Mexico Bolsa, EMEA: MSCI Russia & MSCI South Africa.

3 February 2014



Equity Short Interest

Figure 34: Total short interest as % of S&P 500 market cap

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Jan-

03

Aug

-03

Mar

-04

Oct

-04

May

-05

Dec

-05

Jul-0

6

Feb-

07

Sep

-07

Apr

-08

Nov

-08

Jun-

09

Jan-

10

Aug

-10

Mar

-11

Oct

-11

May

-12

Dec

-12

Jul-1

3

Feb-

14

Futures, Cash Equities & ETFs Shorts % of S&P 500 Mkt Cap

Jun 20, 2008 (3.9%)Sep 16, 2011 (3.8%)

Note: S&P Futures data as of Jan 28. Cash equities and ETF shorts data as of Jan. 15

Source: NYSE, CFTC, Haver, Reuters, Bloomberg Finance LP, Deutsche Bank

Figure 35: S&P 500 net futures speculative positioning

1000

1100

1200

1300

1400

1500

1600

1700

1800

-110

-90

-70

-50

-30

-10

10

30

50

Jan-

10

May

-10

Aug

-10

Dec

-10

Apr

-11

Aug

-11

Dec

-11

Apr

-12

Aug

-12

Dec

-12

Apr

-13

Aug

-13

Dec

-13

Total Net Position (Bigs + Minis) (Thous, lhs) S&P 500 (rhs)

Source: CFTC, Haver, Bloomberg Finance LP, Deutsche Bank

Note: Non-commercial futures positions are open positions held by traders who are in the market for speculative

motives – non-commercial players include individual investors, financial institutions and hedge funds.

3 February 2014



Figure 36: Components of total short interest

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%Ja

n-10

May

-10

Sep-

10

Jan-

11

May

-11

Sep-

11

Jan-

12

May

-12

Sep-

12

Jan-

13

May

-13

Sep-

13

Jan-

14

Shorts % of S&P 500 Market CapFutures Cash Equities ETFs

Source: CFTC, Haver, NYSE, Reuters, Deutsche Bank

Figure 37: Short interest by sector

-0.42%-0.33%-0.32%-0.19%-0.15%

-0.02%-0.02%

0.03%

0.33%

0.63%

1.48%

-0.60%

-0.10%

0.40%

0.90%

1.40%

-0.60%

-0.10%

0.40%

0.90%

1.40%

Fina

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S&P

500

Ener

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Util

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Tele

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S&P 500 mkt value wtd short interest (Deviation from Average Since 2010)

Source: NYSE, Reuters, Deutsche Bank

Figure 38: Change in short interest by sector

-0.11 -0.10 -0.09-0.05 -0.05 -0.04 -0.03 -0.01

0.04

0.190.23

-0.20

-0.10

0.00

0.10

0.20

-0.20

-0.10

0.00

0.10

0.20

Hea

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Con

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Fina

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Mat

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ls IT

S&P

500

Con

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Indu

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Tele

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1m change in S&P 500 mkt value wtd short interest (as % of o/s shares as of Jan 15 2014)

Decrease

Increase

Source: NYSE, Reuters, Deutsche Bank

3 February 2014



Bond Positioning

Bond mutual fund positioning

Figure 39: Broad bond market beta

215

225

235

245

255

265

-0.40

0.10

0.60

1.10

1.60

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13

Bond Funds Beta to Broad MarketBeta (lhs) Average Beta: 0.84 US Broad Market Index (rhs)


Figure 40: Duration beta

120125130135140145150155160

-0.50

-0.30

-0.10

0.10

0.30

0.50

Dec

-09

Mar

-10

Jun-

10

Sep

-10

Dec

-10

Mar

-11

Jun-

11

Sep

-11

Dec

-11

Mar

-12

Jun-

12

Sep

-12

Dec

-12

Mar

-13

Jun-

13

Sep

-13

Dec

-13

Bond Funds Beta to Duration (US 10y - 2y)Beta (lhs) Average Beta: -0.02 US 10y-2y: Rel. Performance (rhs)


Figure 41: Credit beta

106

108

110112

114

116118

-3.00-2.50-2.00-1.50-1.00-0.500.000.501.001.50

Dec

-09

Mar

-10

Jun-

10

Sep-

10

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Dec

-13

Bond Funds Beta to Credit (US Corp BBB-AA)Beta (lhs) Average Beta: -0.09 BBB-AA: Rel. Performance (rhs)


3 February 2014



Rates futures positioning

Figure 42: Non-commercial net long positions in US treasuries

-600-500-400-300-200-1000100200300400

-600-500-400-300-200-100

0100200300400

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Treasuries: Net Long in 10Yr Equivalents (in '000)

Source: CFTC, Haver, Deutsche Bank

Figure 43: Current net speculative positioning in US treasuries

-0.7

-57.7-76.0

90.7

-80

-60

-40

-20

0

20

40

60

80

100

-80

-60

-40

-20

0

20

40

60

80

100

2 Yr 5 Yr 10 Yr 15+ Yrs

Treasuries: Net Long in 10Yr Equivalent (in '000)

Latest 1w ago

Source: CFTC, Haver, Deutsche Bank

3 February 2014



FX & Commodity Positioning Figure 44: USD Positions Figure 45: Euro Positions

67

69

71

73

75

77

79

81

-60

-40

-20

0

20

40

60

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Trade Weighted Dollar F&O Positions vs USD IndexNet Long Contracts (Thous, lhs) US TWI, Major Currencies (rhs)

Trade Weighted Positions in JPY, EUR, GBP,AUD, CHF and CAD are used for calculating USTWI

1.20

1.25

1.30

1.35

1.40

1.45

-250

-200

-150

-100

-50

0

50

100

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Euro F&O Positions vs EURUSDNet Long Contracts (Thous, lhs) EURUSD (rhs)

Source: CFTC, Haver, Deutsche Bank Source: CFTC, Haver, Deutsche Bank

Figure 46: JPY Positions Figure 47: GBP Positions

75

80

85

90

95

100

105-150

-100

-50

0

50

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

JPY F&O Positions vs USDJPYNet Long Contracts (Thous, lhs) USDJPY (rhs, inv)

1.43

1.48

1.53

1.58

1.63

-80

-60

-40

-20

0

20

40

60

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

GBP F&O Positions vs GBPUSDNet Long Contracts (Thous, lhs) GBPUSD (rhs)


Figure 48: AUD positions Figure 49: CAD Positions

0.80

0.85

0.90

0.95

1.00

1.05

1.10

-100-80-60-40-20

020406080

100

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

AUD F&O Positions vs AUDUSDNet Long Contracts (Thous, lhs) AUDUSD (rhs)

0.940.960.981.001.021.041.061.081.101.12-80

-60-40-20

020406080

100120

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

CAD F&O Positions vs USDCADNet Long Contracts (Thous, lhs) USDCAD (inv, rhs)


3 February 2014



Figure 50: Oil Figure 51: Copper

707580859095100105110115

050

100150200250300350400

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

WTI F&O Positions vs WTI PriceNet Long Contracts (Thous, lhs) WTI ($/Barrel) (rhs)

2.72.93.13.33.53.73.94.14.34.5

-35

-25

-15

-5

5

15

25

35

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Copper F&O Positions vs Copper PriceNet Long Contracts (Thous, lhs) Copper ($/Lb) (rhs)


Figure 52: Gold Figure 53: Silver

1000110012001300140015001600170018001900

0

50

100

150

200

250

300

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Gold F&O Positions vs Gold PriceNet Long Contracts (Thous, lhs) Gold ($/Troy oz) (rhs)

15

20

25

30

35

40

45

50

0

10

20

30

40

50Ja

n-10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Silver F&O Positions vs Silver PriceNet Long Contracts (Thous, lhs) Silver ($/Troy oz) (rhs)


Figure 54: Corn Figure 55: Wheat

3

4

5

6

7

8

-200

-100

0

100

200

300

400

500

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Corn F&O Positions vs Corn PriceNet Long Contracts (Thous, lhs) Corn ($/Bu) (rhs)

4

5

6

7

8

9

10

-70

-50

-30

-10

10

30

50

70

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

Wheat F&O Positions vs Wheat Price

Net Long Contracts (Thous, lhs) Wheat ($/Bu) (rhs)


3 February 2014



Fund Flows

Cross Asset Fund Flows

Figure 56: Equity, bond and money market flows

-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.7

-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.7

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

Jul-1

1

Oct

-11

Jan-

12

Apr

-12

Jul-1

2

Oct

-12

Jan-

13

Apr

-13

Jul-1

3

Oct

-13

Jan-

14

4w ma of flows (% of assets)Equities Bonds MM

Source: EPFR Global, Haver, Deutsche Bank

Figure 57: Cumulative equity, bond and money market flows over the last year

-6-5-4-3-2-1012345

-6-5-4-3-2-1012345

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14Cumulative Flows (last 12m, % of assets)

Equities Bonds MM funds


3 February 2014



Figure 58: Fund flows across assets for the last 4 weeks

-1.2-1.0-0.8-0.6-0.4-0.20.00.20.40.60.81.0

-1.2-1.0-0.8-0.6-0.4-0.20.00.20.40.60.81.0

MM Govt Bonds

Corp IG EM Bonds

Corp HY Bal Funds

Div Funds

DM Equity

EM Equity

Cross asset flows as a % of assets (last 4 weeks)Jan-08 Jan-15 Jan-22 Jan-29

Safer Riskier


Figure 59: Bond flows across regions Figure 60: Equity flows across regions

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

-0.8

-0.6

-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

US Europe Japan Latam Asia ex Japan

EMEA

Bond Flows (last 4 weeks, % of assets)Jan-08 Jan-15 Jan-22 Jan-29

2.7

-1.3-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.70.9

-1.3-1.1-0.9-0.7-0.5-0.3-0.10.10.30.50.70.9

US Europe Japan Latam Asia ex Japan

EMEA

Equity flows (last 4 weeks, % of assets)Jan-08 Jan-15 Jan-22 Jan-29

Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank

3 February 2014



Bond Flows – Regions, Sectors

Figure 61: Global bond flows across sectors Figure 62: US and Europe bond flows across sectors

-10

-8

-6

-4

-2

0

2

4

6

-10

-8

-6

-4

-2

0

2

4

6

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Bond Flows (last 12m, % of assets)Govt Bonds Corp IG Corp HY EM Bonds All Bonds

-10

-5

0

5

10

15

20

25

30

-10

-5

0

5

10

15

20

25

30

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Bond Flows (last 12m, % of assets)US HG US HYEurope HG Europe HY


Figure 63: DM bond flows Figure 64: EM bond flows

-6

-4

-2

0

2

4

-6

-4

-2

0

2

4

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Bond Flows (last 12m, % of assets)US Europe Japan

-20

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Cumulative Bond Flows (last 12m, % of assets)EM Bonds Latam Asia ex Japan EMEA


Figure 65: Global bonds flows by tenor Figure 66: EM hard and local currency fund flows

-10

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Cumulative Bond Flows (last 12m, % of assets)Long Term Short TermIntermediate Term Floating rate

-15

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-5

0

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15

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-5

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14

Cumulative EM Bond Flows (last 12m, % of assets)Hard Currency Local Currency


3 February 2014



Equity Flows – Regions, Sectors, Styles

Figure 67: Developed market regions Figure 68: Emerging market regions

-1

4

9

14

19

24

29

34

-1

4

9

14

19

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29

34

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3

Aug

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Nov

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Dec

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Jan-

14

Cumulative Equity Flows (last 12m, % of assets)US Europe Japan

-25

-20

-15

-10

-5

0

5

-25

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-10

-5

0

5

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3

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Oct

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Nov

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Dec

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Jan-

14

Cumulative Equity Flows (last 12m, % of assets)GEM EM Equity Latam Asia ex Japan EMEA

Source: EPFR Global, Haver, Deutsche Bank Source: EPFR Global, Haver ,Deutsche Bank

Figure 69: Cyclical sectors Figure 70: Defensive sectors

-25

-15

-5

5

15

25

35

45

55

-25

-15

-5

5

15

25

35

45

55

Jan-

13

Feb-

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Jul-1

3

Aug

-13

Sep

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Oct

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Nov

-13

Dec

-13

Jan-

14

Cumulative Equity Flows (last 12m, % of assets)Materials Energy Financials Industrials Technology

-8

-3

2

7

12

17

22

-8

-3

2

7

12

17

22

Jan-

13

Feb-

13

Mar

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Jun-

13

Jul-1

3

Aug

-13

Sep

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Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Equity Flows (last 12m, % of assets)Cons Goods Health Care Real Estate Telecom Utilities


Figure 71: Size Figure 72: Style

-1

0

1

2

3

4

5

6

-1

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3

4

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Jan-

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Jul-1

3

Aug

-13

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Oct

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Nov

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Dec

-13

Jan-

14

Cumulative Equity Flows (last 12m, % of assets)Large Cap Mid Cap Small Cap

-3

-2

-1

0

1

2

3

-3

-2

-1

0

1

2

3

Jan-

13

Feb-

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Jul-1

3

Aug

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Sep

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Oct

-13

Nov

-13

Dec

-13

Jan-

14Cumulative Equity Flows (last 12m, % of assets)

Growth Value


3 February 2014



Country-wise Equity Flows

Figure 73: Europe country flows Figure 74: Other developed market country flows

-15

-5

5

15

25

35

45

-15

-5

5

15

25

35

45

Jan-

13

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Jul-1

3

Aug

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13

Oct

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Nov

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Jan-

14

Cumulative Flows (last 12m, % of assets)UK France Germany ItalySpain Switzerland Netherlands

-25-20-15-10-505101520

-25-20-15-10-505

101520

Jan-

13

Feb-

13

Mar

-13

Ap

r-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep

-13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Flows (last 12m, % of assets)Australia Hong Kong Korea (South)New Zealand Singapore Canada


Figure 75: Asian emerging markets country flows Figure 76: Other emerging markets country flows

-18-13-8-327121722

-18-13-8-327

121722

Jan-

13

Feb-

13

Mar

-13

Apr

-13

May

-13

Jun-

13

Jul-1

3

Aug

-13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Flows (last 12m, % of assets)China India IndonesiaMalaysia Taiwan Thailand

-45

-25

-5

15

35

55

75

-45

-25

-5

15

35

55

75

Jan-

13

Feb-

13

Mar

-13

Apr

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May

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Jun-

13

Jul-1

3

Aug

-13

Sep-

13

Oct

-13

Nov

-13

Dec

-13

Jan-

14

Cumulative Flows (last 12m, % of assets)Argentina Brazil ChileMexico Russia South Africa


3 February 2014



Fund Liquidity Ratios Figure 77: Equity funds – US and EM Figure 78: Hybrid funds

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

2.0

2.5

3.0

3.5

4.0

4.5

5.0

5.5

6.0

Dec

-03

Jul-0

4

Feb-

05

Sep-

05

Apr

-06

Nov

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07

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08

Aug

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Mar

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Oct

-09

May

-10

Dec

-10

Jul-1

1

Feb-

12

Sep-

12

Apr

-13

Nov

-13

Liquidity Ratio (%)EM Equity US Equity

5

6

7

8

9

10

11

12

5

6

7

8

9

10

11

12

Dec

-03

Jul-0

4

Feb-

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Sep-

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Apr

-06

Nov

-06

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07

Jan-

08

Aug

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Mar

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Oct

-09

May

-10

Dec

-10

Jul-1

1

Feb-

12

Sep-

12

Apr

-13

Nov

-13

Liquidity Ratio (%)Hybrid Funds

Source: ICI, Haver, Deutsche Bank Source: ICI, Haver, Deutsche Bank

Figure 79: Government bond funds Figure 80: Corporate bond funds

-7

-5

-3

-1

1

3

5

-7

-5

-3

-1

1

3

5

Dec

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Feb-

12

Sep-

12

Apr

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Nov

-13

Liquidity Ratio (%)Govt Bond

-2-10123456789

-2-10123456789

Dec

-03

Jul-0

4

Feb

-05

Sep

-05

Ap

r-06

Nov

-06

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07

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Jul-1

1

Feb

-12

Sep

-12

Ap

r-13

Nov

-13

Liquidity Ratio (%)Corp Bond


Figure 81: High yield bond funds Figure 82: World bond funds

3.5

4.5

5.5

6.5

7.5

8.5

9.5

10.5

11.5

3.5

4.5

5.5

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10.5

11.5

Dec

-03

Jul-0

4Fe

b-0

5S

ep-0

5A

pr-0

6N

ov-0

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n-07

Jan-

08A

ug-0

8M

ar-0

9O

ct-0

9M

ay-1

0D

ec-1

0Ju

l-11

Feb

-12

Sep

-12

Ap

r-13

Nov

-13

Liquidity Ratio (%)

HY Bond

3

5

7

9

11

13

15

17

3

5

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9

11

13

15

17

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1

Feb-

12

Sep-

12

Apr

-13

Nov

-13

Liquidity Ratio (%)World Bond


3 February 2014



Buyback Tracker Figure 83: Recent S&P 500 buyback announcements

Date Ticker Company Name Sector Industry Group $mn % of mcap1/30/14 AN AutoNation Inc Consumer Discretionary Retailing 6,077 250 4.1% 5.0%1/30/14 QEP QEP Resources Inc Energy Energy 5,598 500 8.9% -0.2%1/30/14 CB Chubb Corp/The Financials Insurance 21,843 1,500 6.9% -0.6%1/30/14 BCR CR Bard Inc Health Care Health Care Equipment & 10,205 500 4.9% -0.6%1/29/14 PX Praxair Inc Materials Materials 37,481 1,500 4.0% -0.3%1/29/14 DOW Dow Chemical Co/The Materials Materials 54,251 3,000 5.5% 5.1%1/29/14 BLL Ball Corp Materials Materials 7,097 981 13.8% 6.8%1/28/14 DD EI du Pont de Nemours & Co Materials Materials 55,221 5,000 9.1% 1.2%1/28/14 CMCSA Comcast Corp Consumer Discretionary Media 139,533 1,000 0.7% 1.5%1/27/14 MWV MeadWestvaco Corp Materials Materials 6,438 394 6.1% 0.1%1/27/14 CAT Caterpillar Inc Industrials Capital Goods 58,093 10,000 17.2% 7.2%1/22/14 EBAY eBay Inc Information Technology Software & Services 70,407 5,000 7.1% 2.3%1/22/14 FFIV F5 Networks Inc Information Technology Technology Hardware & E 7,412 500 6.7% 5.2%1/14/14 DLPH Delphi Automotive PLC Consumer Discretionary Automobiles & Componen 19,095 1,000 5.2% 2.1%1/8/14 ADS Alliance Data Systems Corp Information Technology Software & Services 12,555 400 3.2% 1.4%

Mkt Cap ($ mn)

Buyback Programs Excess Ret (-1d to +1d)


Figure 84: Weekly buybacks and rolling 3m sum Figure 85: Sector buyback announcements

30507090110130150170190210230

05

10152025303540455055

Jan-

10

Apr

-10

Jul-1

0

Oct

-10

Jan-

11

Apr

-11

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1

Oct

-11

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12

Apr

-12

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2

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-12

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Apr

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3

Oct

-13

Jan-

14

Weekly Announced Buybacks: S&P 500Amount ($bn, lhs) 3m sum ($bn, rhs)

0510152025303540

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Tele

com

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s

Info

Tec

h

Indu

stria

ls

Announced Buybacks (Last 3m)

$bn (rhs)

% of Mkt Cap (lhs)

Source: Bloomberg Finance LP, Reuters, Deutsche Bank Source: Bloomberg Finance LP, Reuters, Deutsche Bank

Figure 86: Quarterly history of buyback announcements Figure 87: Actual buybacks net of issuance

0

50

100

150

200

250

0%

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3%

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5%

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03D

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11D

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Jun-

13D

ec-1

3Ju

n-14

Buyback Announcements (quarterly, ann)Buybacks $bn (rhs) Buybacks as % of Mkt Cap (ann, lhs)

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

600700800900

100011001200130014001500160017001800

Jan-

96Ja

n-97

Jan-

98Ja

n-99

Jan-

00Ja

n-01

Jan-

02Ja

n-03

Jan-

04Ja

n-05

Jan-

06Ja

n-07

Jan-

08Ja

n-09

Jan-

10Ja

n-11

Jan-

12Ja

n-13

Jan-

14

Actual Net Repurchases vs S&P 500Quarterly net repurchases as % of Mkt Cap (ann, rhs)S&P 500 (lhs)

-11%


3 February 2014



Small Cap Tracker Figure 88: Small cap mutual fund equity positioning Figure 89: Small cap value and growth fund positioning

1400

1600

1800

2000

2200

2400

2600

2800

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

Jan-

10

Apr

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Jul-1

0

Oct

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Jan-

11

Apr

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Apr

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2

Oct

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Apr

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3

Oct

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Jan-

14

Rolling 1m Beta of Small Cap funds to Russell 2000Beta (lhs)Average Since 2010: 0.88Russell 2000 (rhs)

0.60

0.65

0.70

0.75

0.80

0.85

0.90

0.95

1.00

1.05

1.10

0.60

0.65

0.70

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0.95

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Jan-

10

Apr

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Jul-1

0

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Apr

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Jul-1

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Oct

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Jan-

12

Apr

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Jul-1

2

Oct

-12

Jan-

13

Apr

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Jul-1

3

Oct

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Jan-

14

Rolling 1m Beta of Small Cap Growth & Value FundsValue Growth


Figure 90: Small cap fund sector positioning Figure 91: Small cap equity flows

-0.65

-0.45

-0.25

-0.05

0.15

0.35

0.55

-0.65

-0.45

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-0.05

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Util

ities

Tele

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1m Correlation of S&P 600 Sectors Excess Returns

Current 1m Change

-1.0

-0.5

0.0

0.5

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2.0

2.5

3.03.5

-1.0

-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.03.5

Jan-

13

Feb-

13

Mar

-13

Apr

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3

Aug

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Sep

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Oct

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Nov

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Dec

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Jan-

14

Cum. Equity Flows (Smallcap, last 12m, % of assets)

Small Cap Growth Value

Source Bloomberg Finance LP, Reuters, Deutsche Bank Source: EPFR Global, Haver, Deutsche Bank

Figure 92: S&P 600 short interest Figure 93: Russell 2000 net speculative futures

4%5%6%7%8%9%10%11%12%13%14%

4%5%6%7%8%9%

10%11%12%13%14%

Sep

-04

Mar

-05

Sep

-05

Mar

-06

Sep

-06

Mar

-07

Sep

-07

Mar

-08

Sep

-08

Mar

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Sep

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Mar

-10

Sep

-10

Mar

-11

Sep

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Mar

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-12

Mar

-13

Sep

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S&P 600 Mkt cap wtd Short Interest as % of o/s shares

140016001800200022002400260028003000

-80

-60

-40

-20

0

20

40

Jan-

10

May

-10

Sep

-10

Jan-

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May

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Jan-

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Sep

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Jan-

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May

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-13

Jan-

14

Russell 2000 F&O Positions vs Russell 2000Net long Contracts (Thous, lhs) Russell 2000 (rhs)

Source NYSE, Bloomberg Finance LP, Reuters, Deutsche Bank Source: CFTC, Deutsche Bank

3 February 2014



The primary author of this report, Keith Parker, wishes to acknowledge the contributions made by Prakash Chithambaram, Karthik Prabhu, Manish Kothari and Magesh Kumar employees of Irevna, a division of CRISIL Limited, a third-party provider of offshore research support services to Deutsche Bank.

3 February 2014



Appendix 1

Important Disclosures Additional information available upon request For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr Analyst Certification

The views expressed in this report accurately reflect the personal views of the undersigned lead analyst about the subject issuers and the securities of those issuers. In addition, the undersigned lead analyst has not and will not receive any compensation for providing a specific recommendation or view in this report. Keith Parker/Parag Thatte/John Tierney/Binky Chadha Equity rating key Equity rating dispersion and banking relationships

Buy: Based on a current 12- month view of total share-holder return (TSR = percentage change in share price from current price to projected target price plus pro-jected dividend yield ) , we recommend that investors buy the stock. Sell: Based on a current 12-month view of total share-holder return, we recommend that investors sell the stock Hold: We take a neutral view on the stock 12-months out and, based on this time horizon, do not recommend either a Buy or Sell. Notes:

1. Newly issued research recommendations and target prices always supersede previously published research. 2. Ratings definitions prior to 27 January, 2007 were:

Buy: Expected total return (including dividends) of 10% or more over a 12-month period Hold: Expected total return (including dividends) between -10% and 10% over a 12-month period Sell: Expected total return (including dividends) of -10% or worse over a 12-month period

4 5 % 4 9 %

6 %

4 1 % 3 3 %

2 3 %0

200

400

600

800

1000

1200

1400

1600

Buy Hold Sell

Global Universe

Companies Covered Cos. w/ Banking Relationship

3 February 2014



Regulatory Disclosures

1. Important Additional Conflict Disclosures

Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the "Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.

2. Short-Term Trade Ideas

Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the SOLAR link at http://gm.db.com.

3. Country-Specific Disclosures

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David Folkerts-Landau Group Chief Economist

Member of the Group Executive Committee

Guy Ashton Global Chief Operating Officer

Research

Marcel Cassard Global Head

FICC Research & Global Macro Economics

Richard Smith and Steve Pollard Co-Global Heads Equity Research

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