us etf market monthly review€¦ · house view portfolio: 2016 annual rebalance 12 feb 2016of...

Deutsche Bank Markets Research

North America

United States

Synthetic Equity & Index Strategy

US ETF Market Monthly Review

Date

14 March 2016

Massive flow rotation from equities to fixed income and gold in February

ETF Monthly 2.0: Evolving content for an evolving industry

________________________________________________________________________________________________________________

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.MCI (P) 124/04/2015.

Author

Sebastian Mercado, CFA

Strategist

(+1) 212 250-8690

[email protected]

Team Contacts

Hallie Martin

Strategist

(+1) 212 250-7994

[email protected]

Srineel Jalagani

Strategist

(+1) 212 250-2060

[email protected]

Recent research Date

TAARSS says prefer Gold and US Treasuries in March

03 Mar 2016

House View Portfolio: 2016 Annual Rebalance

12 Feb 2016

ETF Annual Review & Outlook 21 Jan 2016

Source: Deutsche Bank

Find out the latest ETF developments in our monthly insights, navigate the markets with our asset allocation dashboards, get ideas for your product strategy from our business intelligence analysis, and get a clean industry picture from our ETF statistics.

Global Equity markets remained soft in February Risky assets kicked off the month on the weak side, extending the January plunge until February 11th, after which markets recovered as they became more hopeful on improving macro data. However, the data surprises were not enough to fully bring Global Equities back from negative territory (-1.25%) last month. US equities ended flat, while DM Intl equities were down by over 3%, and EM equities were slightly negative (0.82%). In the meantime, Safe Haven assets continued their rally with the 10Y US Treasury yield dropping by another 20bps, and Gold advancing over 10% during the same period. The USD, however, weakened against the major currencies (UUP down by 1.43%).

Huge flow rotations, but within the ETP system Equity ETFs experienced significant outflows of $14.7bn in February for a total of $30.5bn outflows YTD, the toughest start for this group ever. However, February’s departure from Equity ETFs seems to have stayed within the “ETP system” given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and Commodity ETPs in February, respectively. Overall, the flat organic growth so far and the weakness among risky assets have industry assets at $2.01 trillion or 4.7% down from the end of 2015. Besides US Treasuries and Gold, Low Risk ETFs such as minimum volatility or low volatility were the biggest winner, among Equity ETFs, hauling a remarkable $3.2bn in new flows last month.

Institutional ETF Ownership nears 60% at the end of 2015 Institutional investors continue to jump into ETFs. As of the end of 2015, we estimate that 59.3% of ETF assets were owned by Institutional Investors up from 58.3% at the end of 2014, and up from 43% ten years ago. Investment advisers continue to dominate ETF usage with 29%, while Mutual Funds, Pension Funds, and Insurance Companies continue to increase their ETF utilization. Over 3,100 institutions had over $1.2 trillion invested in over 1,500 ETFs as of the end of last year. Our detailed ownership analysis reveals significant differences in usage among ETF investors. Look inside for full details on our 2015 Annual ETF Institutional Ownership Analysis.

First ETMF launch and latest Non-Transparent Active ETF developments Last February 26th, 2016 the first Exchange Traded Managed Fund was launched by Eaton Vance. The new product called Eaton Vance Stock NextShares (EVSTC) is an actively-managed product listed in the NASDAQ, and seeks long-term capital appreciation by investing in a diversified portfolio of equity securities. Although not an ETF, this product is the most material development in the quest for Non-Transparent Actively-Managed ETFs to date; therefore we revisit the different models approved and proposed. There are currently three main Non-Transparent Actively-Managed ETF models that seek to provide the benefits of the ETF structure without having the daily disclosure requirements of portfolio positions: (1) Exchange Traded Managed Fund, (2) Agent Model, and (3) Tracking Portfolio model.

14 March 2016



Table Of Contents

ETF Monthly Insights ........................................................... 3 Global Equity markets remained soft in February ............................................... 3 ETF flows: huge rotations, but within the ETP system ....................................... 4 Institutional ETF Ownership nears 60% at the end of 2015 ................................ 5 First ETMF launch and latest Non-Transparent Active ETF developments ....... 12

Asset Allocation dashboard............................................... 16 Global Multi Asset Allocator heatmaps ............................................................ 16 US Equity Allocator heatmaps .......................................................................... 18 International Equity Allocator heatmaps ........................................................... 20 Cross Asset Correlations (3Y) ........................................................................... 22 12-Month Relative Performance Monitor ......................................................... 23 House View Portfolio: Monthly Brief ................................................................ 24

Business Intelligence ......................................................... 25 New Listings ..................................................................................................... 25 Delistings .......................................................................................................... 26 Trends in products launched in the last 12 months .......................................... 27 Popular Product Segments: Smart Beta & Currency Hedged ........................... 28 Average Performance by Product Type and Size (Equity) ................................. 29 Total Expense Ratio X-ray ................................................................................. 31

ETF Statistics ..................................................................... 32 Global ETF Assets and Provider Ranking .......................................................... 32 US Historical ETF trends ................................................................................... 33 ETF Issuer and Index Provider league tables .................................................... 34 Monthly Snapshot ............................................................................................ 36 Top 15 ETFs (includes ETNs) ............................................................................ 42

Appendix A: ETN Snapshot ............................................... 43

Appendix B: ETF List ......................................................... 44

Appendix C: Definitions ..................................................... 47 ETP Universe Definitions .................................................................................. 47 Management Style or Product Strategy Definitions ......................................... 47 Product Type Definitions .................................................................................. 48

14 March 2016



ETF Monthly Insights

Global Equity markets remained soft in February

Risky assets kicked off the month on the weak side, extending the January

plunge until February 11th, after which markets recovered as they became

more hopeful on improving macro data. However, the data surprises were not

enough to fully bring Global Equities back from negative territory (-1.25%) last

month. US equities ended flat, while DM Intl equities were down by over 3%,

and EM equities were slightly negative (0.82%). In the meantime, Safe Haven

assets continued their rally with the 10Y US Treasury yield dropping by another

20bps, and Gold advancing over 10% during the same period. The USD,

however, weakened against the major currencies (UUP down by 1.43%).

ETP flows were mostly consistent with performance during February with most

equity geographies experiencing outflows. The Eurozone, Japan, and Asia

Pacific ex Japan suffered the most significant outflows (5%-10% of assets),

while Latin America was one of the few notable exceptions on the positive side

with inflows of 2% of assets. In the fixed income space US Treasuries and

Investment Grade debt continued to attract inflows, while most of the sectors

in the lower credit space experienced outflows, with the exception of HY

Corporate debt which experienced a notable comeback with inflows consistent

with a strong performance rebound. Commodity flows were mostly positive

across the board, consistent with strong performance in Precious Metals, but

not with Energy returns which were negative.

Within US equities, sectors and industries were mixed. Materials (+7.8%),

Industrials (4.3%), and Telecom (+4.0%) were the strongest, while Financials

(-2.9%) and Energy (-2.8%) were the weakest. The most significant jump was

in Metals and Mining (+20%), while the most significant drop was experienced

by Energy E&P (-13.6%).

In international equity markets, we saw mostly outflows in developed markets,

while emerging markets received a larger number of inflows. Canada was an

exception in the DM with inflows of 16% of assets and returns of 3.4% for

February; while in EM, Chile and Indonesia experienced the most significant

inflows (about 35% of assets each). In general, most countries with strong ties

to mining or natural resources fared better than the rest of their peers.

In terms of correlation trends, we observed that the correlation between US

Real Estate (REITs) and Global equities continues to increase towards +0.8,

while the correlation of US Fixed Income with IG corporate debt has began to

decrease.

For full details please refer to the information contained in Figure 24 through

Figure 42 within the Asset Allocation dashboard section.

14 March 2016



ETF flows: huge rotations, but within the ETP system

Equity ETFs experienced significant outflows of $14.7bn in February for a total

of $30.5bn outflows YTD, the toughest start for this group ever. However, the

departure from Equity ETFs seems to have stayed within the “ETP system”

given the $10.4bn and $5.9bn that flowed into Fixed Income ETFs and

Commodity ETPs in February, respectively. Actually, if we look at ETP flows

YTD the net number is slightly positive, as the $23.7bn received by Fixed

Income ETFs and $8.4bn received by Commodity ETPs slightly offset the

$30.5bn outflows from Equity and $1.6bn outflows from other asset class

products. This suggests that investors may be dumping equities, but not ETFs.

Overall, the flat organic growth so far and the weakness among risky assets

have industry assets at $2.01 trillion or 4.7% down from the end of 2015.

Smart Beta products weren’t able to recover from the previous month

outflows, and added $50m of outflows for a total of $9.4bn in asset departures

YTD. In contrast, Beta, Beta+ (leveraged and inverse), and Active products

have all received positive flows YTD. Within Equity Smart Beta products, Equal

weighted (-$1.7bn), Multi Factor (-$0.64bn), and Style (-$0.6bn) were the main

casualties in February; while Low Risk ETFs such as minimum volatility or low

volatility were the biggest winner hauling a remarkable $3.2bn in new flows

last month.

Equity Currency Hedged ETFs haven’t had that much of a great start either. In

February, this group recorded $2.6bn in outflows, for a $3.6bn outflow total

YTD. ETFs offering currency hedging to EUR-denominated (-$1.4bn) and JPY-

denominated (-$0.8bn) equities suffered the most last month.

In terms of product types, Cash Management and Leveraged and Inverse ETPs

received inflows of $2.1bn and $1.1bn last month, respectively. On the other

hand, Asset Allocation and Pseudo Futures ETPs experienced outflows of

$1.6bn and $0.5bn during the same period, respectively. We believe that this

suggests two things: (1) that buy-and-hold investors continue to invest in their

ETF portfolios, and (2) that short-term traders are trying to benefit from recent

volatility spikes by using leveraged and inverse ETFs.

Total ETP turnover was $1.79 trillion last month, down 14% from the previous

month as volatility was mostly on retreat following VIX Feb 11th’s peak at 28.

Furthermore, ETP turnover represented 27% of all cash equity traded in the US

during February, slightly over its 12-month average of 26.3%.

Through the end of January, organic growth was positive for passive

investments (+$13bn); while it was weak for Active vehicles (-$37bn), Mutual

Funds (-$21bn), and ETFs (-$3.1bn).

Additional details can be found in the Business Intelligence and ETF Statistics

sections.

Low Risk ETFs such as

minimum volatility or low

volatility were the biggest

winner hauling a remarkable

$3.2bn in new flows last

month.

14 March 2016



Institutional ETF Ownership nears 60% at the end of 2015

Institutional investors continue to jump into ETFs. As of the end of 2015, we

estimate that 59.3%1 of ETF assets were owned by Institutional Investors up

from 58.3% at the end of 2014, and up from 43% ten years ago. Similarly,

ETNs also recorded about 60% of institutional ownership; however institutional

investors continued to dispose of ETV positions, probably due to the

Commodities bear market experienced in recent years (Figure 1).

Back to ETFs, Investment Adviser continues to be the major institutional holder

group with 29%, followed by Private Banks with 13.2%, and Brokers with

9.8%. The next group of institutional investors corresponds to a more

traditional group including Mutual Funds (2.5%), Pension Funds (1.7%), Hedge

Funds (1.3%), and Insurance Companies (0.8%). Although most institutional

investors have been increasing their usage of ETFs, in recent years we have

seen a decrease in the relative relevance of Brokers as a holding group. We

believe that this is a combination of new regulation affecting banks’ balance

sheets and investment usage of ETFs growing faster than trading usage.

Overall, we believe that this development is good for the industry as

investment usage tends to be more stable, have better potential for organic

growth, and provides a more sustainable growth path for the industry (Figure

2).

Figure 1: Historical ETP Institutional Ownership Figure 2: Institutional ETF Ownership Summary Q4 ‘15

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ETF ETV ETN

Institutional Investor

Investment Adviser 1,437 599,081 29.0%

Private Banking/WM 1,190 273,174 13.2%

Broker 1,441 203,313 9.8%

Mutual Fund Manager 970 51,923 2.5%

Pension Fund Manager 159 35,635 1.7%

Hedge Fund Manager 835 27,316 1.3%

Other (8 Others) 432 34,644 1.7%

Inst. Investor Total 1,521 1,225,085 59.3%

Retail Investor

Retail Investor Total 1,543 840,173 40.7%

Total ETFs 1,577 2,065,258 100.0%

Investor Type# of ETFs

Q4 2015

ETF AUM $M

Q4 2015

ETF Ownership %

Q4 2015

Source: Deutsche Bank, FactSet, Bloomberg Finance LP


Historically, institutional investments in ETFs continue to grow in line with past

trends. At the end of 2015, over 3,000 institutional investors held over $1.2

trillion distributed across more than 1,500 ETFs. While ten years ago, there

were only about 1,000 institutional investors which held just $130bn

distributed across under 200 ETFs.

1 Ownership data is sourced from FactSet Ownership database based on SEC 13f filings and FactSet’s

definitions of institutional investors. Data as of Q4 2015.

14 March 2016



Figure 3: Historical Institutional ETF Assets and number

of ETFs held by institutions

Figure 4: Historical number of institutional investors

using ETFs

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Who are the major institutional investors holding ETFs?

Some of the largest holders of ETFs are well-known institutional names.

Therefore as a reference for our readers we have included some tables with

the top 20 holders of ETFs, ETVs, and ETFs for each of the major six

institutional categories (Figure 5-Figure 12).

Figure 5: Top 20 Institutional ETF holders Q4 2015 Figure 6: Top 20 Institutional ETV holders Q4 2015

Institution Name Institution Type

ETF

Assets

$MMerrill Lynch, Pierce, Fenner & Smith, Inc. Broker 53,722

Morgan Stanley Smith Barney LLC Broker 50,210

Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 40,261

Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 40,097

Managed Account Advisors LLC Investment Adviser 36,175

JPMorgan Chase Bank, NA (Invest. Management) Investment Adviser 35,819

Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 34,214

UBS Financial Services, Inc. Private Banking/Wealth Mgmt 33,760

BlackRock Fund Advisors Investment Adviser 27,456

LPL Financial LLC Private Banking/Wealth Mgmt 27,401

Wells Fargo Bank, NA (Private Banking) Private Banking/Wealth Mgmt 26,635

Morgan Stanley & Co. LLC Broker 22,250

Citigroup Global Markets, Inc. (Broker) Broker 17,517

PNC Bank, NA (Investment Management) Investment Adviser 16,935

Northern Trust Investments, Inc. Investment Adviser 15,633

Edward D. Jones & Co. LP (Investment Management) Investment Adviser 15,552

Envestnet Asset Management, Inc. Investment Adviser 14,779

Strategic Advisers, Inc. Investment Adviser 13,765

Susquehanna Financial Group LLLP Broker 12,082

Columbia Management Investment Advisers LLC Mutual Fund Manager 11,226

Institution Name Institution Type

ETV

Assets

$MPaulson & Co., Inc. Hedge Fund Manager 587

Morgan Stanley Smith Barney LLC Broker 554

BlackRock Advisors LLC Investment Adviser 544

First Eagle Investment Management LLC Investment Adviser 489

Bank of America, NA (Private Banking) Private Banking/Wealth Mgmt 480

Merrill Lynch, Pierce, Fenner & Smith, Inc. Broker 460

Morgan Stanley & Co. LLC Broker 459

Windhaven Investment Management, Inc. Investment Adviser 429

Wells Fargo Advisors LLC Private Banking/Wealth Mgmt 335

BlackRock Asset Management Canada Ltd. Fund of Funds Manager 325

Goldman Sachs & Co. (Private Banking) Private Banking/Wealth Mgmt 307

Citigroup Global Markets, Inc. (Broker) Broker 306

Jane Street Capital LLC Investment Adviser 278

Susquehanna Financial Group LLLP Broker 250

UBS Financial Services, Inc. Private Banking/Wealth Mgmt 244

FIAM (Canada) ULC Investment Adviser 243

Charles Schwab Investment Advisory, Inc. Investment Adviser 219

BlackRock Investment Management (UK) Ltd. Investment Adviser 209

Orbis Investment Management Ltd. Hedge Fund Manager 197

Barclays Capital, Inc. Broker 191 Source: Deutsche Bank, FactSet, Bloomberg Finance LP


14 March 2016



Figure 7: Top 20 ETF Holders -

Investment Adviser Q4 2015


Private Banking Q4 2015


Broker Q4 2015

Institution Name ETF Assets

$MManaged Account Advisors LLC 36,175

JPMorgan Chase Bank, NA (Investment 35,819

BlackRock Fund Advisors 27,456

PNC Bank, NA (Investment Management) 16,935

Northern Trust Investments, Inc. 15,633

Edward D. Jones & Co. LP (Investment 15,552

Envestnet Asset Management, Inc. 14,779

Strategic Advisers, Inc. 13,765

Windhaven Investment Management, Inc. 11,107

Milliman Financial Risk Management LLC 9,555

Creative Planning, Inc. 8,864

Raymond James & Associates, Inc. (Invt Mgmt) 8,630

TIAA-CREF Trust Co., FSB 8,300

Charles Schwab Investment Advisory, Inc. 8,083

BlackRock Financial Management, Inc. 6,802

Edelman Financial Services LLC 6,632

US Bancorp Asset Management, Inc. 6,125

First Trust Advisors LP 5,834

USAA Investment Management Co. 5,563

Commonwealth Equity Services, Inc. 5,494


$MGoldman Sachs & Co. (Private Banking) 40,261

Wells Fargo Advisors LLC 40,097

Bank of America, NA (Private Banking) 34,214

UBS Financial Services, Inc. 33,760

LPL Financial LLC 27,401

Wells Fargo Bank, NA (Private Banking) 26,635

SunTrust Banks, Inc. (Wealth Management) 3,391

Nomura Securities Co., Ltd. (Private Banking) 3,296

First Republic Investment Management, Inc. 2,911

Veritable LP 2,444

Robert W. Baird & Co., Inc. (Private Wealth 2,059

Brinker Capital, Inc. 1,033

Pinnacle Advisory Group, Inc. 1,030

Ballentine Partners LLC 952

Homrich & Berg, Inc. 828

Aspiriant LLC 739

Wharton Business Group LLC 725

Tiedemann Wealth Management LLC 721

Bingham Osborn & Scarborough LLC 709

Banque Pictet & Cie SA 669


$MMerrill Lynch, Pierce, Fenner & Smith, Inc. 53,722

Morgan Stanley Smith Barney LLC 50,210

Morgan Stanley & Co. LLC 22,250

Citigroup Global Markets, Inc. (Broker) 17,517

Susquehanna Financial Group LLLP 12,082

UBS Securities LLC 10,229

JPMorgan Securities LLC 9,987

Credit Suisse Securities (USA) LLC (Broker) 5,549

Barclays Capital, Inc. 5,106

SG Americas Securities LLC 3,444

Commerzbank AG (Broker) 2,803

BMO Capital Markets (Canada) 1,295

Goldman Sachs International 1,042

D. A. Davidson & Co. 982

NPC of America 725

KCG Americas LLC 702

Maple Securities USA, Inc. 663

Cetera Advisor Networks LLC 611

Timber Hill LLC 584

Old Mission Capital LLC 522 Source: Deutsche Bank, FactSet, Bloomberg Finance LP




Pension Fund Q4 2015


Mutual Fund Q4 2015


Hedge Fund Q4 2015


$MAFP Provida SA (Investment Management) 4,100

AFP Integra SA (Investment Management) 3,620

Prima AFP SA 2,767

Keskinainen tyoelakevakuutusyhtio Varma 2,685

Clal Gemel Ltd. 2,315

Tennessee Consolidated Retirement System 2,023

New Jersey Division of Investment 2,000

Keskinainen Elakevakuutusyhtio Ilmarinen 1,442

The Public Sector Pension Investment Board 1,194

Amitim Senior Pension Funds 1,091

Lockheed Martin Investment Management Co. 961

Ontario Teachers' Pension Plan Board 880

The Dow Chemical Co. Pension Fund 815

Keskinainen Tyoelakevakuutusyhtio Elo 776

The Retirement Systems of Alabama 705

Employees Retirement System of Texas 657

National Pension Service of Korea 646

Sampension Administrationsselskab A/S 610

Michigan Department of Treasury (Investment

Management)

600

Coordinating Investment Fiduciary of Raytheon

Master Pension

560


$MColumbia Management Investment Advisers LLC 11,226

JPMorgan Investment Management, Inc. 7,154

SSgA Funds Management, Inc. 6,808

The Vanguard Group, Inc. 4,365

AllianceBernstein LP 3,412

Wilmington Trust Investment Advisors, Inc. 2,630

Psagot Mutual Funds Ltd. 2,120

Thrivent Investment Management, Inc. 1,228

Franklin Templeton Investments Corp. 1,019

Wellington Management Co. LLP 1,012

Franklin Advisers, Inc. 837

Neuberger Berman LLC 832

American Century Investment Management, Inc. 828

AGF Investments, Inc. 792

Voya Investment Management Co. LLC 691

FIL Investment Advisors (UK) Ltd 467

Harel-Pia Mutual Funds Ltd. 458

Invesco Canada Ltd. 405

Operadora Valmex de Sociedades de Inversion 349

Arrow Investment Advisors LLC 341


$MBridgewater Associates LP 6,052

SCS Capital Management LLC 2,227

Citadel Advisors LLC 1,459

IndexIQ Advisors LLC 1,284

York Capital Management Global Advisors LLC 806

Lumina Fund Management LLC 756

JBF Capital, Inc. 700

Millennium Management LLC 591

Parallax Volatility Advisers LP 572

Main Management LLC 563

Two Sigma Advisers LLC 523

NWI Management LP 420

BlueCrest Capital Management (UK) LLP 324

Broadmark Asset Management LLC 305

Hutchin Hill Capital LP 300

AQR Capital Management LLC 298

D. E. Shaw & Co. LP 292

Quantitative Investment Management LLC 279

Makena Capital Management LLC 264

Capital Fund Management SA 247




How are institutional investors using ETFs?

In addition, not every type of investor uses ETFs for the same purposes. Some

institutional investors use ETFs as a core investment, others use them as a

liquidity or hedging tool, and others may use them as a short-term access

product to gain quick exposure or equitize cash. Thus for the purpose of

illustrating the different usage by specific type of investors we have provided a

table with the top 20 ETFs/ETVs held by each of the seven major institutional

investor groups (Figure 13).

14 March 2016



Figure 13: Top 20 ETF/ETV holdings by institutional investor

Rank Inv. Adviser Priv. Bank Broker Mutual Fund Hedge Fund Pension Fund Insurance Comp.

1 SPY ($51,391m) SPY ($30,986m) SPY ($45,064m) SPY ($7,834m) SPY ($6,177m) SPY ($5,882m) SPY ($2,735m)

2 EFA ($26,794m) EFA ($8,293m) IWM ($7,706m) EFA ($3,535m) VWO ($2,621m) EEM ($2,265m) LQD ($1,802m)

3 IVV ($21,523m) IVV ($7,429m) QQQ ($4,512m) VOO ($1,563m) EEM ($1,777m) IWM ($1,815m) IVV ($1,484m)

4 AGG ($16,050m) VNQ ($6,927m) XLV ($3,245m) DXJ ($1,309m) GLD ($1,238m) IVV ($1,802m) VOO ($1,361m)

5 BND ($14,466m) VEA ($6,747m) XLE ($2,914m) VWO ($1,241m) IWM ($969m) EWJ ($1,536m) EFA ($553m)

6 IJH ($11,376m) IWM ($6,297m) EFA ($2,648m) JNK ($1,220m) IWV ($811m) QQQ ($1,530m) VWO ($426m)

7 IWD ($11,331m) IWF ($5,722m) TLT ($2,576m) VEA ($1,029m) XLF ($737m) XLF ($1,089m) VEA ($343m)

8 IWF ($10,945m) VWO ($5,689m) IYR ($2,416m) DBEF ($986m) HYG ($675m) VNQ ($1,057m) IJH ($334m)

9 VOO ($10,470m) VTI ($5,381m) LQD ($2,405m) HYG ($931m) AGG ($670m) VOO ($954m) IJR ($268m)

10 LQD ($9,475m) IJH ($4,544m) VUG ($2,320m) VTI ($926m) XLE ($619m) EFA ($912m) XLV ($261m)

11 IWM ($9,447m) QQQ ($4,181m) IWF ($2,280m) IWD ($758m) XOP ($608m) XLK ($888m) IWB ($243m)

12 VTI ($9,269m) DBEF ($4,069m) DXJ ($1,943m) VNQ ($742m) EFA ($604m) XLY ($788m) BND ($241m)

13 VEA ($9,010m) IJR ($4,051m) XLF ($1,928m) AGG ($741m) QQQ ($555m) XLV ($743m) EEM ($241m)

14 VUG ($8,147m) IWD ($3,743m) XLP ($1,906m) IVV ($741m) LQD ($549m) EWG ($734m) DIA ($212m)

15 IWB ($7,812m) MDY ($3,437m) IBB ($1,897m) IWM ($734m) FXI ($468m) EWY ($674m) AGG ($211m)

16 VWO ($7,406m) AGG ($2,935m) VTV ($1,891m) TIP ($731m) GDX ($396m) VWO ($633m) VNQ ($208m)

17 VTV ($6,974m) BND ($2,882m) DIA ($1,862m) BIL ($708m) VOO ($330m) DXJ ($607m) VGK ($204m)

18 BSV ($6,759m) HEDJ ($2,872m) EWJ ($1,831m) XLK ($687m) XLU ($302m) VTV ($561m) QQQ ($196m)

19 EEM ($5,792m) IWR ($2,835m) VTI ($1,823m) HEDJ ($662m) VEA ($287m) HEDJ ($533m) CSJ ($189m)

20 IWR ($5,608m) EEM ($2,621m) XLY ($1,821m) XLV ($652m) XLV ($283m) HYG ($497m) XHB ($185m)


As we examine the top holdings for each institutional investor group presented

on Figure 13, we can extract the following insights about each group’s ETF

usage:

Investment Adviser: mostly use ETFs as core investment, the top 20

holdings includes very cheap products which usually track plain-vanilla

equity and bond indices tracking major model portfolio building blocks.

The presence of many Vanguard and iShares Core ETFs supports this

observation. Investment Advisers tend to run simple asset allocation model

portfolios which tend to be very scalable, and don’t experience significant

turnover, therefore clean asset class exposure and cost tend to be key on

the selection of products.

Private Bank: like Investment Advisers, they also use ETFs mostly as core

investments; however management of ETF model portfolios may be less

concentrated and therefore less scalable. Usually they have some more

room for customization and more flexibility on asset class selection.

Besides the presence of multiple Vanguard and iShares Core products, the

presence of Real Estate, Currency Hedged, and sector-tilt (QQQ) ETFs

support the above views. Portfolio turnover is probably slightly higher than

investment advisers, but still relatively low. Clean asset class exposure and

cost continue to be key on the selection of products, but the investable

ETF universe is broader.

Broker: mostly use ETFs for market making (lead, inventory and hedging),

security lending, and seeding. However, all of these activities have become

more limited recently due to the new capital requirements and more

restricted use of banks’ balance sheet. The list of top 20 products held by

Brokers is dominated by ETFs that are characterized for being not only the

most liquid in the industry, but also in the whole market such as SPY,

IWM, and QQQ. Moreover, most of these ETFs tend to have the most

competitive shorting metrics for their respective asset class or benchmark.

And we also see a more diverse sample of ETFs including broad,

concentrated, sector, industry, currency hedged, and even Credit and US

Treasury. Cost is not as relevant for Brokers as it is liquidity both on the

long and short side. There is no portfolio as such; therefore turnover is

probably the highest among institutional investors.

14 March 2016



Mutual Fund: we see a mix of product usage among Mutual Funds. We

believe that the most common usages of ETFs by Mutual Funds, in order

of relevance, are: cash equitization, liquidity management, and core

investment. Our top 20 product sample includes commonly-used active

manager benchmarks such as the S&P 500, MSCI EAFE, Russell 2000, etc;

as well as less liquid asset classes such as High Yield Credit, and short

term cash management vehicles (BIL). Apparently a combination of

underlying index exposure, liquidity, and cost seems more relevant than

just one of them on their own. ETFs, unless part of a fund of funds

portfolio, don’t play a structural role in the mutual fund manager portfolio

and therefore their usage tends to be more tactical with relatively high

turnover of ETF positions.

Hedge Fund: this group of investors uses ETFs for gaining quick and

efficient access both on the long and short side to their desired asset class,

similar to futures contracts. Some can hold ETFs for very long periods (>1

year), while many others may hold them for less than 1 day. The main

requirement is enough liquidity (on the long and short side) and size to be

able to execute large trades without major market impact, particularly on

those asset classes that may be harder to access. Cost is usually not the

main criteria for product selection. The presence of highly liquid products

covering diverse asset classes such as equities, fixed income, and

commodities support these views. Particularly, high positions on Gold,

Gold miners, High Yield Credit, EM countries, sectors and industries

further confirm the efficient access product thesis.

Pension Fund: ETFs are usually seen as a way to obtain access to different

asset classes in an efficient way. However, unlike Hedge Funds, ETFs tend

to play a more strategic role in pension portfolios. The better way to

describe Pension Fund usage of ETFs is completion. Usually pension funds

use ETFs as building blocks for more efficient financial markets, or markets

that are difficult to access. For example, it is common to see non-US based

pension funds use ETFs for accessing the US market (either via broad or

sector exposures), and countries outside their own region (e.g. Latin

American pension using Asian country ETFs), or US-based pension funds

using ETFs for accessing Emerging Markets, or specific factor exposures.

Although Pension Funds have focused mostly on using equity ETFs, we

have recently seen some pick up in the usage of Fixed Income ETFs such

as High Yield credit. Given the more strategic nature of ETFs in pension

portfolios, turnover tends to be somewhere in between Investment Adviser

and Mutual Fund. A combination of factors including exposure, liquidity,

size, and cost is usually more important than any single selection criterion

on its own.

Insurance Company: this group is relatively newer compared to the other

groups previously reviewed. However, ETFs are used in a similar way than

by Mutual Fund Managers. We believe that cash equitization and core

investment tend to be the most common usage. Exposure, size, cost, and

liquidity combined tend to be the main selection criteria. Turnover of ETF

positions is probably similar to that of Mutual Fund Managers. Fixed

Income ETFs also seem a more relevant segment to this group compared

to the other groups.

In addition to the insights we have already discussed, we can also understand

institutional investor usage of ETFs by looking at the product concentration

curve of each of these different groups. For example, Investment Adviser and

Private Bank have the lowest product concentration compared to the other

14 March 2016



groups; this characteristic is consistent with their usage of products as core

investment, but also suggests a very broad selection universe and satellite

investment usage. The Broker concentration curve has two clearly defined

patterns; first their usage is highly concentrated on a handful of ETFs, most

likely those highly liquid ETFs used for hedging; while the second pattern

shows less concentration suggesting Broker ownership in a broader universe

most likely due to other Broker activities such as seeding, leading, and

inventory for market making. The Mutual Fund concentration curve displays a

higher level of concentration than the investors groups discussed so far, a

possible sign of their narrower selection universe, and non-investment usage

such as cash equitization. The remaining groups (Hedge Fund, Pension Fund,

and Insurance Company) all show highly concentrated curves with a high

focus on just a few ETFs/ETVs suggesting traits of limited selection universe,

early adoption, non-investment usage, and satellite access or completion

investment (Figure 14).

Figure 14: Concentration of ETF/ETV holdings per institutional investor Q4 ‘15

0%

20%

40%

60%

80%

100%

1 25 49 73 97

% o

f E

TF

/ET

V I

nst

itu

tio

na

l

as

sets

Top 100 ETFs/ETVs used by institutional investors

Inv. Adviser Priv. BankBroker Mutual FundHedge Fund Pension FundInsurance Comp.


Where are institutional investors allocating their ETF assets?

In addition to the insights we have discussed about institutional ETF usage, we

also examine some key allocations among the seven major institutional

investor groups. Most institutional investors allocate about 80% of their assets

to Equity products, and the rest mostly to Fixed Income. However, Pension

Funds allocate almost their entire ETF assets to Equity, while Hedge Funds

have the most significant Commodity allocation relative to the other investor

groups (Figure 15).

Within institutional equity ETF allocations, the majority of the assets are in Beta

vehicles, with Private Banks and Investment Adviser displaying the most

significant allocations to Smart Beta products. Furthermore, institutional

investors don’t show any significant allocation to Beta+ (i.e. leveraged and

inverse) or Active funds. We believe that the almost-inexistent allocation to

Beta+ ETFs can be a combination of two reasons: (1) institutional investors

don’t use these products as much as other ETFs, and (2) those that are using

them may be properly using them for the short term and therefore do not need

to report them (Figure 16).

14 March 2016



Figure 15: Institutional Investor ETF/ETV allocation by

Asset Class – Q4 2015

Figure 16: Institutional Investor ETF allocation by

Management Style – Q4 2015 (Equity)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Inv. Adviser

Priv. Bank

Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.%

of

Inst

itu

tio

na

l E

TF

/ET

V a

sse

ts

Equity Fixed Income Commodity Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Inv. Adviser

Priv. Bank

Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.%

of

Inst

itu

tio

na

l E

TF

/ET

V a

sse

ts

Beta Smart Beta Beta+ Active



From a market and regional equity allocation perspective, institutional

investors prefer US-focused products. However, Mutual Funds seem to use

them for international developed market allocations relatively more than other

groups of investors; while Hedge Funds and Pension Funds stand out for their

significant usage of emerging market focused funds. Furthermore, Pension

Funds have a higher interest in specific regional allocations among institutions

(Figure 17-Figure 18).

Figure 17: Institutional Investor ETF allocation by Market

focus – Q4 2015 (Equity)

Figure 18: Institutional Investor ETF allocation by Region

– Q4 2015 (Equity)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Inv. Adviser

Priv. Bank

Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.%

of

Inst

itu

tio

na

l E

TF

/ET

V a

sse

ts

US DM EM Global

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Inv. Adviser

Priv. Bank

Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.%

of

Inst

itu

tio

na

l E

TF

/ET

V a

sse

ts

North America Global Europe Japan Asia Pacific ex JP Other



In terms of sector and style allocations within US-focused equity funds,

Brokers and Pension Funds have the highest allocations to sector ETFs, while

in the case of style investing Investment Advisers and Private Banks have the

most significant allocations to Style ETFs. We believe that these allocations are

a clear reflection of these investors’ investment strategies and product usage

(Figure 19-Figure 20).

14 March 2016



Figure 19: Institutional Investor ETF allocation by US

Sector – Q4 2015 (US Equity)

Figure 20: Institutional Investor ETF allocation by US

Style – Q4 2015 (US Equity)

0%

5%

10%

15%

20%

25%

% o

f In

stit

uti

on

al E

TF

/ET

V a

sse

ts Theme

Utilities

Real Estate

Cons. Stpls

Industrials

Cons. Discr.

Materials

Healthcare

Financials

Energy

0%

3%

6%

9%

12%

15%

Inv. Adviser

Priv. Bank Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.%

of

Inst

itu

tio

na

l E

TF

/ET

V a

sse

ts

Growth Value Dividend



Lastly we looked at the ETF allocation by Equity index provider and all ETF/ETV

allocations by issuer. On the index provider side, Pension Funds called our

attention the most by displaying a significantly higher allocation to MSCI

compared to the other institutional investors in the group, suggesting higher

relevance attributed to the benchmark as a selection criterion among Pension

Funds (Figure 21). On the issuer side we found a high concentration on the top

3 providers (over 90% in some cases). Furthermore, the dichotomy exhibited

by State Street ETFs/ETVs was another finding worth highlighting; Brokers and

Hedge Funds allocated each about 40% to their products compared to the

much lower allocation of around 20% each allotted by Investment Advisers

and Private Banks; most likely driven by product usage and the high liquidity

profile of many of the State Street ETPs.

Figure 21: Institutional Investor ETF allocation by Index

Provider – Q4 2015 (Equity)

Figure 22: Institutional Investor ETF/ETV allocation by

Issuer – Q4 2015

0%

20%

40%

60%

80%

100%

Inv. Adviser

Priv. Bank

Broker Mutual Fund

Hedge Fund

Pension Fund

Insurance Comp.

% o

f In

stit

uti

on

al E

TF

/ET

V a

sse

ts

S&P Dow Jones MSCI FTSE Russell

CRSP Nasdaq OMX Other

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

% o

f In

stit

uti

on

al E

TF

/ET

V a

sse

ts

Other

Van Eck

Guggenheim

Deutsche AWM

Charles Schwab

First Trust

WisdomTree

PowerShares

Vanguard

State Street

BlackRock



First ETMF launch and latest Non-Transparent Active ETF developments

Last February 26th, 2016 the first Exchange Traded Managed Fund was

launched by Eaton Vance. The new product called Eaton Vance Stock

NextShares (EVSTC) is an actively-managed product listed in the NASDAQ,

and seeks long-term capital appreciation by investing in a diversified portfolio

of equity securities. The investment process is overseen by Charles Gaffney

and is grounded in hands-on fundamental research, which involves finding

14 March 2016



companies with consistent earnings growth and leading business franchises.

EVSTC will disclose on its website its portfolio holdings approximately one

month after such month end. The fund carries a net expense ratio of 65bps

and will trade using the new NAV-based trading protocol. Although not an ETF,

this product is the most material development in the quest for Non-

Transparent Actively-Managed ETFs to date; therefore we believe this is a

good time to revisit the different models approved and proposed.

The road to Active ETFs

Even though back in the early 90s ETFs were envisioned and developed as

vehicles to offer passive or index-based strategies, the benefits of this new

fund structure technology such as tax efficiency, shareholder protection, lower

cost, secondary market trading, and intraday liquidity eventually attracted the

attention of the supporters of active management. Thus on November 8, 2001

the SEC issued a Concept Release on Active ETFs to assist them in the

consideration of sponsor’s potential proposals of Active ETFs. On the Concept

Release the SEC highlighted some specific concerns that could impact their

approval of Active ETFs. One of them was whether effective arbitrage of ETF

shares would exist, given that according to them an efficient arbitrage of

Shares depended on portfolio transparency and liquidity of the respective

components. Another concern was the potential that significant deviations

between the secondary market price and the NAV could hurt Active ETF

shareholders. Eventually, the first Active ETFs would be approved and

launched on the first half of 2008; however these ETFs would be fully

transparent disclosing their portfolio holdings on a daily basis.

Based on the current minimal ETF market share ($23bn or about 1%) of Active

ETFs, it is fair to say that the first round Active ETFs hasn’t been as successful

as expected. In fact, the daily disclosure of portfolio holdings has held back

many active managers from testing the ETF waters, despite all the known

benefits of the fund structure. Therefore, active managers have been exploring

different ways to overcome the transparency issue, while still keeping the ETF

technology benefits. Hence, the Non-Transparent Actively-Managed ETF

concept was born.

Non-Transparent Actively-Managed ETF models

There are currently three main Non-Transparent Actively-Managed ETF models

that seek to provide the benefits of the ETF structure without having the daily

disclosure requirements of portfolio positions.

Exchange Traded Managed Fund (ETMF): The first model is not even an

ETF. This is the model proposed by Eaton Vance under the NextShares

brand. The Eaton Vance model creates a new type of Investment Company

under the Investment Company Act of 1940 called Exchange Traded

Managed Fund. The ETMF is a hybrid between an ETF and a Mutual Fund.

It maintains the tax efficiency, cost savings, shareholder protection, and

secondary market trading common to ETFs; while at the same time,

offering active management and maintaining the privacy of the portfolio

holdings. Furthermore, because ETMFs trade at NAV +/- a

premium/discount using the new NAV-based trading protocol, intraday

pricing and arbitrage activities are not relevant; and premium and

discounts are expected to be minimal. So far this model is the only one

that has been approved by the SEC, and the only one under which a

product has been launched already. We do not believe that ETMFs will

develop significant secondary market liquidity; however we believe that

14 March 2016



this is not very relevant because ETMFs are more probable to be used like

Active Mutual Funds rather than ETFs. Therefore we see ETMFs as direct

competitors of traditional Active Mutual Funds.

Agent Model: this model proposes an ETF structure, but adds a Trusted

Agent-Confidential Account figure, and the calculation of a Verified

Intraday Indicative Value (VIIV). Authorized Participants (AP) and Non-

Authorized Participant Market Makers can establish Confidential Accounts

managed by a Trusted Agent in order to engage in: in-kind creation and

redemption activity, in the case of the AP, and arbitrage of shares in the

case of both. The Fund Custodian will transmit a Constituent file to the

Trusted Agent on a daily basis. The Trusted Agent-Confidential Account

figure is intended to protect the privacy of the portfolio holdings, while at

the same time allowing equal access to arbitrage of shares. The VIIV is

intended to be a real time, primary and centralized pricing signal that

should allow equal-opportunity and efficient arbitrage of shares; it also

proposes a halt feature triggered in the case of mispricing events to

protect shareholders from possible price deviations from NAV. This model

is being proposed independently by Precidian and BlackRock, and is still

under review. We believe that the latest iteration of this model has

addressed many of the initial concerns stated by the SEC, and in our

opinion is the most likely to be approved from those models still under

review. However addressing the SEC concerns is just one of the hurdles

faced for the success of this model; implementation of the model and

investor interest, would still remain uncertain.

Tracking Portfolio Model: the third model being proposed removes the

requirement of disclosing a Creation Basket that resembles a pro rata slice

of the portfolio holdings, and introduces the concept of a Tracking

Portfolio which can be utilized as a hedging vehicle for arbitrage activities.

The Tracking Portfolio is not equivalent to the actual portfolio holdings, but

is expected to be highly correlated to them. In fact, in addition to the

tracking portfolio the fund will provide specific metrics such as daily

deviation, and tracking error to help understand the quality of the tracking

portfolio as a hedging vehicle. The model also proposes the calculation of

an Intraday Indicative Value as a centralized pricing source signal. Similar

versions of this model are being proposed by T. Rowe Price, Fidelity, and

Cohen & Steers. All proposals are still under review. We believe that this

model is most likely to fall short from satisfying the concerns of the SEC

regarding Price-NAV premium/discounts; more specifically we think that

the 15 second dissemination period, the lack of safeguards against large

premium/discounts, and the INAV calculations based on the tracking

portfolios may not be sufficient to meet the desired standards of the

Commission. We think that INAVs calculated based on actual portfolio

holdings, disseminated as close to real time as possible (e.g. every 1

second), and in-built safeguards to trigger halts in the event of significant

price-NAV premium/discounts could come closer to ease the concerns of

the Commission.

We present a comparison summary of the different Active ETF and ETMF

models on Figure 23.

US

ETF M

ark

et M

on

thly

Revie

w

14

Marc

h 2

01

6

Deu

tsch

e B

an

k S

ecu

rities In

c.

Pag

e 1

5

Figure 23: Comparison Summary of major Active ETF and ETMF models

Vehicle Description Fully Transparent ETF Exchange Traded Managed Fund Non-Transparent Active ETF - Agent

Investment Company Type ETF ETMF Actively-managed ETF Actively-managed ETF Actively-managed ETF Actively-managed ETF

Fund Sponsor Multiple (e.g. BlackRock,

Vanguard, State Street GA,

PowerShares, Deutsche Asset

Management)

Eaton Vance and others (e.g. ALPS

Advisors, American Beacon,

Columbia Threadneedle

Investments, Gabelli Funds)

Precidian / BlackRock T. Rowe Price Fidelity Cohen & Steers

Status Over 2,000 vehicles in over 23

years

First ETMF launched on Feb 26,

2016

Yet to be approved Yet to be approved Yet to be approved Yet to be approved

Management Style Passive and Active Active Active Active Active Active

Portfolio Disclosure Daily At least quarterly with a lag Quarterly with a lag Quarterly with a lag Monthly with a 30-day lag Quarterly with a lag

Intraday Pricing Yes No Yes Yes Yes Yes

End of Day Pricing Yes, for creation units at NAV Yes, at NAV Yes, for creation units at NAV Yes, for creation units at

NAV

Yes, for creation units and

Fund Small Allotment

Redemption at NAV

exception.

Yes, for creation units at NAV

Arbitrage Vehicle Portfolio transparency

(Creation/Redemption baskets) and

availability of liquid hedging

vehicles (e.g. futures and other

ETFs) allow efficient arbitrage

necessary to keep price in line

with NAV.

ETMF Shares utilize NAV-Based

Trading and therefore arbitrage is

not a relevant feature. ETMFs trade

at NAV +/- premium/discount

determined by market factors

rather than pricing differences

between Price and NAV.

Authorized Participants and Non-Authorized

Participant Market Makers need to establish a

Confidential Account with a Trusted Agent. The Fund

Custodian will provide a daily Fund Constituent file to

each Trusted Agent. As a fiduciary, the Trusted Agent

may purchase or sell securities in the portfolio for

arbitrage purposes, and/or in-kind creation and

redemption activity. The APs and Non-AP Market

Makers are responsible for all order instructions and

associated profit and loss.

Hedge Portfolio with

daily deviation, tracking

error, and empirical

percentiles.

Daily optimized Tracking

basket comprised of recent

disclosed holdings and

representative ETFs.

Daily Tracking Portfolio with

Daily deviation and Tracking

Error data. Tracking Portfolio:

Proxy Portfolio optimized from

Selection Universe, Partial

Portfolio with representative

sample and minimal tracking

error, or Hedge Portfolio based

on an index or recently

disclosed portfolio holdings.

Primary Pricing Signal Calculated on real time by each

market maker, authorized

participant, or liquidity provider

based on the portfolio holdings

provided by the fund. Intraday

Indicative Value (IIV) is calculated

by third party agent, but it is not

very relevant as primary pricing

signal.

Not relevant. Provides Intraday

Indicative Value (IIV) only as a

reference for calculating the

number of shares to buy, for

example.

Verified Intraday Indicative Value (VIIV) calculated

using midpoint quotes derived from at leat two

independent pricing sources computed by one or more

independent pricing agents, verified by another

Independent Pricing Agent. If the prices from the

independent pricing sources are out of line by more

than 25bps for 60 seconds, the Sponsor can request

the trading halt of the fund on the Exchange.

Self-calculated based on

Hedge Portfolio or

Indicative Net Asset

Value (INAV), calculated

by the INAV provider

who will know the

portfolio holdings and

would be under

confidentiality

agreement.


Tracking Basket or

Indicative Net Asset Value

(INAV) of the Tracking

Basket calculated by INAV

provider


Tracking Portfolio or Intraday

Indicative Value (IIV) calculated

by Agent receiving portfolio

holding information from the

Fund in a secure and

confidential manner.

IIV Dissemination Every 15 secs Not more than every 15 minutes Every second Every 15 secs Every 15 secs Every 15 secs

Creation Basket Based on pro rata slice of portfolio

holdings

Creation Basket is not a pro rata

slice of the portfolio holdings. Buys

will be excluded and sells may not

be removed until the execution is

over.

Based on pro rata Portfolio Holdings. Same for

Creation and Redemptions. Creation Basket

information is provided daily to Trusted Agent.

Based on Hedge

Portfolio, issued at next

determined NAV. Deposit

and Redemption baskets

are the same.

Based on Tracking Basket.

Used for Deposit

Instruments and

Redemption Instruments.

Deposit basket published daily,

same for creation and

redemptions. Based on

Tracking Portfolio

Creation Unit Size 10k-600k Shares (50K most

common)

5k-50K Shares. At least 25k Shares. At least 25k Shares. At least 25k Shares. Not specified

In-kind Create/Redeem Yes Yes Yes Yes Yes Yes

Non-Transparent Active ETF - Tracking Portfolio

Source: Deutsche Bank, NextShares, SEC

14 March 2016



Asset Allocation dashboard

Global Multi Asset Allocator heatmaps

Figure 24: Global Multi Asset Performance and Net ETF Cash Flow Trends

1M Chg 3M Chg 6M Chg 1Y Chg 3Y Ann 5Y Ann 1M 3M 6M 1Y 3Y Ann 5Y Ann

ACWI Global Equities -1.25% -8.46% -5.35% -12.18% 3.86% 3.70% -1.0% 0.3% 3.5% 8.3% 13.9% 13.7%

VTI US Total Market -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7%

SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%

MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% -10.24% 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0%

IWM Russell 2000 (SM Cap) -0.22% -13.37% -10.18% -14.96% 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6%

EFA Intl DM -3.33% -10.80% -9.79% -15.49% 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7%

VGK Europe -3.23% -10.99% -10.76% -15.96% 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1%

EZU Eurozone -4.22% -12.83% -11.52% -16.77% 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2%

EWJ Japan -5.30% -11.40% -9.49% -10.73% 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3%

EPP Pacific ex JP -0.62% -7.35% -4.76% -20.63% -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1%

EEM EM -0.82% -9.42% -9.02% -23.86% -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3%

ILF Latin America 1.61% -7.24% -13.45% -32.59% -19.46% -14.41% 2.0% 5.4% 8.3% -11.2% -11.0% -6.9%

EEMA EM Asia -0.62% -8.78% -4.97% -21.47% -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3%

GUR EM Europe 2.41% -7.11% -10.28% -20.15% -16.07% -12.95% 0.9% 0.1% 4.5% 0.7% 16.5% 6.3%

MES Middle East 7.65% -2.22% -14.14% -20.15% 1.49% 3.10%

AFK Africa 3.21% -6.77% -15.17% -32.39% -15.40% -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0%

FM Frontier Market 4.18% -4.99% -9.43% -19.98% -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5%

BKF BRIC -1.80% -13.93% -13.26% -27.92% -10.74% -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9%

AGG Fixed Income (Broad) 0.89% 1.94% 2.44% 1.47% 2.18% 3.52% 2.8% 7.4% 14.3% 18.7% 16.1% 22.1%

GOVT US Treasury 0.92% 2.83% 3.06% 2.83% 2.06% 8.3% 31.6% 31.6% 44.2% 33.9% 21.2%

SHV Very Short 0.04% 0.10% 0.08% 0.08% 0.05% 0.04% 2.9% 69.3% 57.2% 31.9% 31.5% 11.8%

SHY Short 0.11% 0.61% 0.51% 0.86% 0.59% 0.71% 2.5% 13.3% 9.2% 64.8% 23.3% 13.0%

IEI Intermediate 0.55% 2.42% 2.61% 3.41% 1.80% 3.08% 10.9% 26.7% 26.3% 42.4% 38.3% 33.1%

TLT Long 3.09% 8.50% 9.23% 3.70% 6.34% 10.47% 18.3% 51.0% 66.2% 31.0% 40.5% 28.1%

TIP US Inflation 1.22% 1.77% 1.39% -0.88% -1.33% 2.75% 2.1% 5.8% 8.7% 15.9% -1.5% 0.9%

MUB Municipal 0.02% 1.82% 3.58% 3.25% 2.62% 4.97% 3.1% 10.0% 17.5% 26.8% 15.0% 21.7%

MBB Securitized 0.38% 1.63% 2.08% 2.19% 2.36% 2.97% 3.8% 4.5% 8.8% 27.5% 14.0% 30.5%

LQD IG Corporates 1.05% 0.08% 1.69% -2.32% 2.02% 4.92% 2.4% 3.6% 11.3% 15.6% 14.1% 24.4%

HYG HY Corporates 1.50% -2.12% -4.42% -7.86% 0.31% 3.40% 4.6% -0.1% 11.0% -2.2% 9.6% 20.4%

FLOT Corp. Floater -0.19% -0.25% -0.40% -0.27% 0.19% -1.7% 2.5% 0.3% 4.9% 69.0%

BKLN Senior Loans 0.11% -1.40% -3.31% -4.77% 0.01% -6.0% -12.1% -16.1% -20.0% 30.2%

PFF Preferred 0.06% -1.02% 1.10% 0.99% 4.64% 5.72% 0.3% 3.6% 13.0% 23.1% 10.7% 17.3%

CWB Convertible 0.80% -5.85% -4.64% -7.45% 5.88% 4.78% -5.5% -10.0% -13.7% -9.8% 33.8% 28.0%

BWX Intl DM Debt 3.30% 4.82% 3.24% -0.71% -2.04% -0.30% -1.6% 1.0% -1.1% -15.5% 0.8% 12.9%

WIP Intl Inflation 0.38% -1.40% -2.53% -8.27% -4.79% -0.81% -1.5% -9.3% -23.3% -20.3% -22.7% -2.8%

EMB EM Gov Debt USD 1.76% 0.25% 1.89% 0.00% 1.07% 5.06% -2.7% -7.3% 5.4% 9.7% -1.5% 20.1%

EMLC EM Gov Debt Local 1.69% -0.73% -1.61% -12.22% -9.63% -3.39% -3.1% -10.4% -8.7% 2.5% -10.8% 29.5%

EMCB EM Corp USD 0.75% -2.82% -2.92% -5.24% -1.93% -2.7% -17.1% -33.5% -34.3% 24.1%

HYEM EM HY Corp USD 0.90% -2.81% -0.71% 1.87% -0.52%

DBC Commodities -0.23% -10.15% -18.74% -29.83% -22.25% -15.57% 12.5% 17.2% 15.4% 6.9% -6.5% -2.6%

DBE Energy Cmdty -3.91% -21.72% -33.47% -43.55% -29.57% -19.96% 10.0% 38.9% 58.2% 85.7% 41.0% 11.0%

USO Crude Oil WTI -6.74% -30.39% -43.36% -50.28% -35.19% -25.49% 10.0% 44.3% 65.4% 105.5% 61.3% 21.1%

UNG Natural Gas -29.09% -30.96% -52.60% -56.19% -32.04% -32.55% 13.0% 12.6% 31.9% 23.2% -5.8% -6.2%

DBA Agriculture -0.10% -2.63% -4.36% -13.44% -8.88% -10.60% -2.0% -16.6% -19.9% -11.2% -14.5% -14.2%

DBB Industrial Metals 5.12% 6.95% -6.25% -18.58% -12.70% -13.45%

DBP Precious Metals 9.88% 14.11% 7.25% -1.33% -11.52% -6.65% 14.3% 17.1% 12.6% 2.4% -9.4% -3.9%

GLD Gold Physical 10.93% 16.41% 9.02% 2.13% -8.13% -2.93% 16.7% 20.7% 15.8% 3.7% -10.6% -4.5%

SLV Silver Physical 4.49% 5.65% 1.50% -10.52% -19.81% -15.58% 0.7% -1.8% -4.1% -3.4% -1.7% -1.1%

PPLT Platinum Physical 7.53% 12.69% -7.54% -21.62% -16.58% -12.84% 4.6% 3.7% -4.7% -4.5% -1.8% 2.2%

PALL Palladium Physical -1.12% -9.42% -18.11% -40.14% -12.76% -9.77% 0.0% -9.4% -17.4% -25.1% -24.0% -17.6%

UUP Bull USD -1.43% -2.26% 1.72% 1.15% 4.45% 2.90% -6.5% -18.5% -24.1% -25.7% 16.7% 2.0%

FXY JPYUSD 7.34% 9.07% 7.30% 5.66% -6.71% -6.59%

FXE EURUSD 0.38% 2.78% -3.34% -3.41% -6.35% -4.95%

Ticker Asset ClassTotal Return ETF Net Cash Flows as % of Initial AUM

Source: Deutsche Bank, FactSet, Bloomberg Finance LP. Note: Data as of the end of last month; performance is Total Returns; Cash flows are based on US-listed ETFs and ETVs excluding leveraged, inverse products, and ETNs. Asset Classes that had less than $500 million in AUM at the beginning of all periods are excluded from the Net Cash Flow calculations. Green cells correspond to largest values, while red cells correspond to lowest values. Figures over 1Y are annualized. The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.

14 March 2016



Figure 25: Global Multi Asset Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

ACWI Global Equities 19.6% 20.5% 18.9% 17.1% 13.8% 17.1% -19.4% -19.4% -24.1% (0.7) 0.3 0.2

VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) 0.7 0.6

SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) 0.8 0.6

MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) 0.5 0.4

IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) 0.4 0.3

EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) 0.0 0.0

VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) 0.1 0.0

EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0)

EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) 0.2 0.0

EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1)

EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3)

ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6)

EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2)

GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5)

MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) 0.1 0.1

AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5)

FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1)

BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4)

AGG Fixed Income (Broad) 2.9% 3.2% 3.2% 3.6% 3.4% 3.3% -2.8% -5.1% -5.1% 0.4 0.6 1.1

GOVT US Treasury 4.6% 4.2% 3.9% 4.1% 3.6% -2.8% -4.6% 0.7 0.6

SHV Very Short 0.2% 0.2% 0.2% 0.2% 0.1% 0.2% -0.1% -0.1% -0.1% 0.5 0.3 0.3

SHY Short 1.1% 1.0% 1.0% 1.0% 0.8% 0.8% -0.7% -0.7% -0.7% 0.9 0.7 0.9

IEI Intermediate 3.1% 3.1% 3.1% 3.3% 3.2% 3.1% -2.0% -4.2% -4.2% 1.0 0.6 1.0

TLT Long 15.1% 14.7% 13.6% 15.1% 13.4% 15.1% -12.6% -17.0% -20.5% 0.2 0.5 0.7

TIP US Inflation 4.4% 4.4% 4.4% 5.3% 5.4% 5.6% -5.2% -10.6% -11.1% (0.2) (0.2) 0.5

MUB Municipal 2.3% 2.3% 2.4% 2.8% 4.1% 4.5% -2.2% -9.2% -9.7% 1.2 0.6 1.1

MBB Securitized 1.8% 2.2% 2.2% 2.6% 3.1% 2.7% -1.7% -4.8% -4.8% 0.9 0.8 1.1

LQD IG Corporates 5.5% 5.6% 5.3% 5.8% 5.6% 5.5% -5.4% -8.6% -8.6% (0.4) 0.4 0.9

HYG HY Corporates 11.1% 12.0% 9.7% 7.7% 6.6% 8.1% -13.4% -13.4% -13.4% (1.0) 0.0 0.4

FLOT Floater 1.0% 1.1% 0.9% 1.0% 0.8% -0.6% -0.6% (0.3) 0.2

BKLN Senior Loans 3.6% 5.3% 4.2% 3.7% 3.0% -7.1% -7.1% (1.3) 0.0

PFF Preferred 14.7% 10.3% 7.7% 6.5% 5.5% 8.3% -6.8% -8.7% -15.2% 0.2 0.8 0.7

CWB Convertible 15.0% 14.0% 12.4% 11.2% 10.0% 10.7% -15.9% -15.9% -17.1% (0.7) 0.6 0.4

BWX Intl DM Debt 9.5% 7.0% 7.0% 8.2% 7.4% 7.4% -6.4% -15.4% -15.4% (0.1) (0.3) (0.0)

WIP Intl Inflation 8.1% 6.3% 6.8% 8.4% 7.4% 7.6% -12.5% -19.1% -19.1% (1.0) (0.7) (0.1)

EMB EM Gov Debt USD 5.1% 6.6% 6.3% 6.2% 7.6% 7.1% -6.4% -14.5% -14.5% 0.0 0.1 0.7

EMLC EM Gov Debt Local 11.7% 10.7% 10.8% 10.5% 9.8% 10.2% -17.7% -32.0% -32.0% (1.2) (1.0) (0.3)

EMCB EM Corp USD 6.2% 7.1% 7.7% 7.9% 7.9% -11.9% -13.3% (0.7) (0.2)

HYEM EM HY Corp USD 6.9% 7.0% 6.4% 6.4% 7.7% -8.8% -14.0% 0.3 (0.1)

DBC Commodities 22.5% 21.1% 18.9% 18.4% 14.5% 15.8% -35.6% -56.9% -62.8% (1.6) (1.5) (1.0)

DBE Energy Cmdty 43.9% 40.6% 35.5% 32.9% 24.5% 23.7% -51.2% -71.4% -73.4% (1.3) (1.2) (0.8)

USO Crude Oil WTI 64.2% 56.8% 48.0% 44.4% 32.7% 31.0% -61.8% -79.8% -82.4% (1.1) (1.1) (0.8)

UNG Natural Gas 46.7% 52.0% 42.8% 38.5% 37.6% 38.6% -59.6% -78.3% -87.8% (1.5) (0.9) (0.8)

DBA Agriculture 7.0% 10.0% 10.3% 11.6% 11.0% 12.5% -15.9% -33.2% -44.6% (1.2) (0.8) (0.8)

DBB Industrial Metals 21.0% 21.1% 20.7% 19.3% 16.8% 19.3% -34.2% -40.5% -57.0% (1.0) (0.8) (0.7)

DBP Precious Metals 24.1% 19.7% 17.2% 15.7% 19.3% 20.1% -16.7% -41.6% -53.9% (0.1) (0.6) (0.3)

GLD Gold Physical 23.9% 19.0% 16.5% 14.8% 17.6% 17.7% -14.5% -35.7% -45.6% 0.1 (0.5) (0.2)

SLV Silver Physical 24.6% 23.7% 22.0% 21.7% 26.7% 31.5% -22.7% -53.7% -72.4% (0.5) (0.7) (0.5)

PPLT Platinum Physical 26.1% 26.9% 24.0% 20.9% 18.9% 19.3% -31.3% -49.7% -58.2% (1.0) (0.9) (0.7)

PALL Palladium Physical 26.9% 32.3% 34.1% 31.2% 25.3% 27.5% -43.6% -48.4% -48.4% (1.3) (0.5) (0.4)

UUP Bull USD 9.5% 9.4% 8.5% 9.5% 7.6% 7.7% -7.9% -7.9% -8.4% 0.1 0.6 0.4

FXY JPYUSD 12.7% 10.6% 8.9% 8.7% 9.6% 9.2% -5.5% -26.9% -40.6% 0.6 (0.7) (0.7)

FXE EURUSD 11.1% 11.3% 10.5% 11.9% 9.0% 9.4% -9.0% -25.1% -30.1% (0.3) (0.7) (0.5)

Sharpe (TR / Vol)Ticker Asset Class

Annualized Volatility Max Drawdown

Source: Deutsche Bank Factset. Note: Data as of the end of last month; Calculations based on total returns; Volatility based on daily total returns annualized using a 252 day factor; Sharpe ratio calculation assumes Risk Free rate equal to zero. For Max DD and Sharpe calculations, green cells correspond to largest values, while red cells correspond to lowest values. For Volatility calculations, green cells are the least volatile (lowest values), while red cells are the most volatile (highest values). The ETFs mentioned in this figure are provided as reference and have been selected as investable and representative vehicles for each asset class considering the product’s asset class representation, liquidity, size, cost, and ease to borrow for tactical or risk hedging purposes; however, they should not be seen as the only or best alternative for each asset class as finding the right product will depend on the specific investor’s objective and intended usage. Please refer to “Product Type Definitions” on Appendix C for further details on product selection criteria depending on product usage.

14 March 2016



US Equity Allocator heatmaps

Figure 26: US Equity Performance and Net ETF Cash Flow Trends


VTI US Total Market -0.01% -7.74% -2.77% -8.02% 10.00% 9.56% -0.8% 0.3% 3.9% 4.8% 13.0% 12.7%

SPY S&P 500 (Large Cap) -0.08% -6.69% -0.97% -6.20% 10.67% 10.00% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%

DIA DJI 0.73% -6.30% 1.11% -6.76% 7.97% 8.74% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%

QQQ NASDAQ-100 -1.57% -9.82% -1.19% -4.48% 16.60% 13.46% -0.9% 1.1% 5.0% 3.1% 10.3% 10.0%

IWF Russell 1000 Growth 0.00% -7.11% -1.36% -5.26% 12.35% 10.71% -1.0% -1.0% 3.4% 8.0% 14.1% 10.9%

IWD Russell 1000 Value 0.00% -7.37% -3.04% -9.61% 8.09% 8.56% 0.6% 2.1% 6.5% 7.6% 15.8% 13.7%

MDY S&P 400 (Mid Cap) 1.24% -8.38% -5.13% -10.24% 7.92% 7.99% -1.3% -1.5% 1.9% 6.8% 13.5% 10.0%

IWM Russell 2000 (SM Cap) -0.22% -13.37% -10.18% -14.96% 5.76% 6.13% -2.1% -2.4% 2.8% 6.6% 11.8% 8.6%

VIG Div. Growth 1.13% -2.05% 2.91% -5.03% 8.65% 9.21% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%

DVY Div. Yield 2.89% 0.47% 6.16% -0.21% 11.45% 12.11% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%

VYM Div. Yield 0.51% -3.34% 3.38% -3.86% 10.28% 11.41% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%

SDY Div. Yield & Growth 3.03% -0.34% 6.12% -0.26% 10.95% 11.32% 2.2% 4.1% 4.6% -1.7% 11.8% 25.0%

XLY Cons. Discretionary 0.45% -7.46% 0.08% -0.58% 15.07% 15.26% -2.6% -10.1% -7.4% 5.2% 11.8% 19.1%

PEJ Hotels, Rest & Leisure 4.68% -6.30% -1.56% -7.58% 12.32% 13.78%

XHB Home Builders 1.15% -14.92% -14.56% -14.64% 3.41% 12.35% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6%

ITB Household Durables 0.66% -14.16% -11.60% -11.10% 3.17% 13.44% -2.3% -13.2% -14.9% -14.2% -15.2% 4.6%

PBS Media -2.79% -11.80% -4.52% -12.79% 9.05% 9.27%

XRT Retail 5.56% -2.46% -6.88% -11.18% 9.86% 13.17% 7.4% -25.2% -34.8% -37.8% -20.0% -18.1%

XLP Cons. Staples 0.32% 3.81% 9.14% 4.52% 13.02% 14.44% 1.8% 8.1% 13.7% -2.2% 17.1% 23.6%

PBJ Food Products 0.16% -2.82% 0.23% 2.03% 14.31% 12.67%

XLE Energy -2.80% -16.05% -13.39% -26.21% -7.93% -4.41% -0.7% 7.6% 10.9% 21.1% 25.4% 13.8%

OIH Energy Eq. & Serv. -0.82% -20.72% -21.57% -29.22% -15.85% -13.75% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%

XES Energy Eq. & Serv. -3.03% -26.73% -30.10% -42.54% -26.43% -18.03% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%

IEZ Energy Eq. & Serv. -1.82% -21.43% -23.00% -32.26% -16.16% -12.34% -4.3% -6.7% 7.3% 18.5% -3.2% -4.6%

XOP Energy E&P -13.65% -33.42% -34.98% -50.74% -23.93% -15.81% -7.7% 14.0% 11.6% 36.1% 36.9% 11.2%

IEO Energy E&P -9.15% -28.44% -25.92% -39.09% -13.07% -8.29% -7.7% 14.0% 11.6% 36.1% 36.9% 11.2%

AMLP MLPs 0.77% -14.52% -25.76% -34.75% -9.60% -2.89% 2.4% 9.6% 16.1% 16.8% 28.8% 70.6%

XLF Financials -2.90% -13.58% -8.95% -11.68% 8.11% 6.43% -3.7% -7.4% -5.5% 6.0% 11.8% 13.4%

KBWB Large Banks -5.30% -20.20% -16.21% -15.19% 5.44% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7%

KRE Regional Banks -4.34% -22.74% -13.74% -11.20% 6.67% 7.49% -4.9% -10.9% -4.8% 20.1% 9.1% 8.7%

KCE Capital Markets -1.83% -22.29% -19.03% -26.46% -0.27% 0.19% -31.3% -40.8% -53.3% -41.4% 6.0% -6.5%

KIE Insurance -0.85% -9.56% -3.98% -0.71% 11.79% 9.31% -6.4% -18.7% -5.2% 56.7% 22.3% 8.7%

XLV Healthcare -0.36% -6.46% -5.29% -7.01% 16.85% 17.20% -7.5% -8.8% -12.4% -0.3% 24.6% 25.7%

IBB Biotech & Pharma -4.85% -24.00% -25.69% -24.69% 19.89% 22.01% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7%

BBH Large Biotech -1.16% -19.06% -20.05% -21.28% 19.26% 27.15% -12.2% -15.2% -15.2% -5.5% 27.6% 21.7%

IHI HC Eq. & Supplies 1.11% -4.32% -0.99% -1.03% 17.15% 13.51% 0.0% 16.4% 4.1% 15.7% 18.8% 6.8%

IHF HC Providers & Serv 0.11% -5.86% -12.31% -8.81% 17.10% 14.44% -6.9% -12.5% -19.9% 4.9% 31.6% 29.7%

PPH Large Pharma -4.68% -11.02% -14.97% -15.48% 12.52% 14.64% -5.5% -7.3% -20.6% -16.5% 14.1% 10.4%

XLI Industrials 4.26% -4.20% 2.81% -7.40% 10.52% 9.34% 1.3% -9.2% -4.3% -19.1% 3.5% 6.0%

ITA Aerospace & Def 2.51% -6.31% -0.74% -8.10% 17.79% 13.79% -6.8% 3.3% 24.6% 25.6% 90.7% 29.2%

IYT Transportation 6.63% -9.24% -5.94% -17.71% 8.41% 8.65% -4.6% -24.3% -24.6% -55.4% -9.7% -2.1%

XLB Materials 7.82% -7.90% -2.31% -17.05% 5.01% 3.38% 3.3% 2.3% -0.4% -12.1% -10.3% -6.6%

XME Metals & Mining 19.99% 4.86% -17.30% -41.71% -24.26% -24.13% 28.5% 46.0% 50.3% 27.9% -0.1% -0.6%

VNQ Real Estate -0.36% -2.04% 6.10% -4.27% 7.77% 9.21% -1.5% 1.0% 5.9% 1.0% 8.5% 15.7%

VGT Technology -0.97% -9.36% -0.04% -6.33% 13.76% 10.24% -3.7% -7.4% 1.6% 0.2% 9.5% 7.5%

IGN Comm. Equipment 6.91% -7.89% -4.31% -8.70% 6.70% -0.51%

FDN Int. Software & Serv. -1.12% -14.35% -4.53% -1.21% 15.33% 12.99% -16.4% -22.9% -3.3% 28.3% 41.1% 37.7%

SMH Semiconductors 1.43% -7.70% 3.95% -9.59% 14.64% 10.13% -3.7% -22.7% -21.5% -23.1% -7.8% -20.0%

IGV Software -2.08% -11.89% -2.25% -5.25% 11.83% 9.00% -15.4% -17.9% -11.1% -36.2% -14.5% -6.3%

VOX Telecom 3.97% 4.83% 9.37% 3.34% 10.89% 9.58% 7.2% 15.8% 26.0% 12.0% 22.9% 9.8%

XLU Utilities 1.94% 9.26% 11.23% 6.20% 11.36% 11.80% 24.8% 38.1% 25.6% 6.6% 10.6% 14.4%



14 March 2016



Figure 27: US Equity Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

VTI US Total Market 19.4% 20.3% 18.5% 16.6% 13.5% 16.1% -15.1% -15.1% -20.3% (0.5) 0.7 0.6

SPY S&P 500 (Large Cap) 18.8% 20.1% 18.4% 16.7% 13.4% 15.7% -13.0% -13.0% -18.6% (0.4) 0.8 0.6

DIA DJI 18.2% 19.8% 18.0% 16.5% 13.0% 14.7% -13.9% -13.9% -16.0% (0.4) 0.6 0.6

QQQ NASDAQ-100 23.5% 24.4% 21.8% 19.8% 15.7% 17.5% -16.1% -16.1% -16.1% (0.2) 1.1 0.8

IWF Russell 1000 Growth 19.7% 20.4% 18.6% 16.9% 13.8% 16.0% -13.8% -13.8% -18.3% (0.3) 0.9 0.7

IWD Russell 1000 Value 19.4% 20.6% 18.8% 16.7% 13.4% 16.1% -16.2% -16.2% -21.4% (0.6) 0.6 0.5

MDY S&P 400 (Mid Cap) 20.0% 20.8% 18.9% 16.6% 14.5% 18.2% -19.3% -19.3% -26.2% (0.6) 0.5 0.4

IWM Russell 2000 (SM Cap) 21.1% 22.7% 21.1% 18.1% 16.5% 20.5% -25.7% -25.7% -28.9% (0.8) 0.4 0.3

VIG Div. Growth 15.5% 17.3% 16.2% 15.2% 12.4% 14.4% -12.1% -12.1% -16.9% (0.3) 0.7 0.6

DVY Div. Yield 12.4% 16.5% 15.7% 14.3% 12.1% 13.6% -10.4% -12.0% -15.6% (0.0) 0.9 0.9

VYM Div. Yield 16.0% 18.6% 17.3% 15.8% 12.6% 13.9% -13.0% -13.0% -15.1% (0.2) 0.8 0.8

SDY Div. Yield & Growth 14.2% 17.1% 16.0% 14.7% 12.2% 14.2% -10.6% -10.8% -16.1% (0.0) 0.9 0.8

XLY Cons. Discretionary 22.7% 21.2% 19.4% 17.6% 14.8% 16.9% -15.8% -15.8% -18.4% (0.0) 1.0 0.9

PEJ Hotels, Rest & Leisure 28.8% 26.2% 23.1% 20.9% 17.4% 19.6% -21.7% -21.7% -23.9% (0.4) 0.7 0.7

XHB Home Builders 26.4% 25.5% 23.7% 20.5% 19.7% 24.2% -28.2% -28.2% -33.8% (0.7) 0.2 0.5

ITB Household Durables 29.4% 28.7% 26.5% 23.2% 23.4% 27.7% -26.4% -26.4% -37.7% (0.5) 0.1 0.5

PBS Media 27.4% 24.4% 21.2% 18.3% 16.8% 19.3% -23.2% -23.2% -27.7% (0.7) 0.5 0.5

XRT Retail 24.4% 23.3% 22.2% 19.2% 16.5% 19.7% -24.2% -24.2% -24.2% (0.6) 0.6 0.7

XLP Cons. Staples 12.3% 15.8% 15.3% 14.3% 12.0% 12.2% -10.1% -10.1% -11.9% 0.3 1.1 1.2

PBJ Food Products 16.4% 17.1% 17.4% 15.5% 13.6% 14.8% -11.0% -11.0% -15.7% 0.1 1.1 0.9

XLE Energy 32.4% 36.6% 32.1% 27.4% 21.3% 23.1% -36.1% -46.7% -46.7% (1.0) (0.4) (0.2)

OIH Energy Eq. & Serv. 41.4% 42.1% 39.1% 35.5% 27.4% 29.4% -44.0% -61.3% -61.3% (0.8) (0.6) (0.5)

XES Energy Eq. & Serv. 59.3% 54.1% 50.2% 43.8% 32.5% 33.6% -55.8% -72.8% -72.8% (1.0) (0.8) (0.5)

IEZ Energy Eq. & Serv. 42.3% 43.1% 40.1% 35.5% 27.4% 30.0% -46.1% -61.8% -61.8% (0.9) (0.6) (0.4)

XOP Energy E&P 51.1% 55.9% 49.5% 42.9% 34.7% 35.4% -57.0% -71.0% -71.0% (1.2) (0.7) (0.4)

IEO Energy E&P 44.3% 46.5% 39.8% 33.4% 26.4% 28.4% -46.5% -56.8% -56.8% (1.2) (0.5) (0.3)

AMLP MLPs 68.0% 70.1% 55.1% 40.3% 25.4% 21.1% -49.2% -53.1% -53.1% (0.9) (0.4) (0.1)

XLF Financials 27.7% 25.2% 22.1% 19.4% 15.9% 20.8% -22.3% -22.3% -32.4% (0.6) 0.5 0.3

KBWB Large Banks 37.9% 31.5% 27.6% 23.5% 19.0% -29.1% -29.1% (0.6) 0.3

KRE Regional Banks 35.3% 29.2% 26.8% 22.7% 19.6% 23.9% -28.0% -28.0% -31.5% (0.5) 0.3 0.3

KCE Capital Markets 34.4% 32.0% 28.4% 23.0% 19.9% 24.1% -36.4% -36.4% -39.0% (1.2) (0.0) 0.0

KIE Insurance 17.6% 18.6% 16.9% 15.6% 13.7% 18.8% -15.2% -15.2% -32.7% (0.0) 0.9 0.5

XLV Healthcare 18.8% 20.6% 21.2% 19.3% 15.8% 15.8% -17.1% -17.1% -17.3% (0.4) 1.1 1.1

IBB Biotech & Pharma 33.3% 35.5% 35.8% 31.2% 26.6% 25.0% -38.7% -38.7% -38.7% (0.8) 0.7 0.9

BBH Large Biotech 29.3% 31.9% 31.9% 28.7% 26.0% 23.8% -33.8% -33.8% -33.8% (0.7) 0.7 1.1

IHI HC Eq. & Supplies 21.2% 21.3% 20.4% 18.0% 14.8% 17.9% -14.2% -14.2% -22.0% (0.1) 1.2 0.8

IHF HC Providers & Serv 26.3% 23.7% 25.1% 21.3% 16.8% 18.8% -26.3% -26.3% -27.2% (0.4) 1.0 0.8

PPH Large Pharma 20.4% 21.0% 21.4% 18.8% 15.0% 14.9% -23.8% -23.8% -23.8% (0.8) 0.8 1.0

XLI Industrials 20.4% 20.3% 19.0% 17.2% 14.9% 18.1% -15.5% -15.7% -25.8% (0.4) 0.7 0.5

ITA Aerospace & Def 20.9% 20.3% 18.9% 17.2% 15.5% 18.2% -17.2% -17.2% -23.2% (0.5) 1.2 0.8

IYT Transportation 24.4% 24.9% 22.1% 19.9% 17.6% 20.1% -26.8% -27.3% -28.1% (0.9) 0.5 0.4

XLB Materials 29.0% 27.1% 23.8% 20.5% 16.7% 20.4% -26.5% -26.9% -29.5% (0.8) 0.3 0.2

XME Metals & Mining 49.1% 45.1% 41.8% 36.9% 29.2% 32.2% -58.2% -71.8% -83.1% (1.1) (0.8) (0.7)

VNQ Real Estate 20.4% 20.3% 18.5% 17.9% 15.4% 18.4% -15.7% -18.0% -22.6% (0.2) 0.5 0.5

VGT Technology 23.8% 24.1% 21.5% 19.6% 15.7% 18.0% -16.4% -16.4% -18.6% (0.3) 0.9 0.6

IGN Comm. Equipment 31.9% 27.0% 23.2% 20.2% 17.9% 22.4% -24.9% -24.9% -39.2% (0.4) 0.4 (0.0)

FDN Int. Software & Serv. 38.4% 30.5% 26.0% 22.4% 19.9% 21.7% -25.8% -25.8% -26.0% (0.1) 0.8 0.6

SMH Semiconductors 28.5% 27.3% 25.3% 23.8% 19.5% 21.7% -23.7% -23.7% -25.1% (0.4) 0.8 0.5

IGV Software 36.7% 28.2% 23.8% 20.8% 17.6% 20.8% -21.5% -21.5% -26.3% (0.3) 0.7 0.4

VOX Telecom 15.3% 20.1% 18.4% 16.6% 14.0% 15.5% -12.3% -12.3% -19.8% 0.2 0.8 0.6

XLU Utilities 16.3% 16.7% 16.6% 16.6% 14.8% 14.3% -10.7% -15.7% -15.7% 0.4 0.8 0.8

Ticker Asset ClassMax DrawdownAnnualized Volatility Sharpe (TR / Vol)


14 March 2016



International Equity Allocator heatmaps

Figure 28: International Equity Performance and Net ETF Cash Flow Trends


EFA Intl DM -3.33% -10.80% -9.79% -15.49% 0.19% 0.31% -1.8% 1.3% 5.2% 32.2% 33.2% 25.7%

EWC Canada 3.44% -5.79% -9.67% -21.15% -6.40% -6.44% 15.7% 10.1% 12.6% 1.9% -17.3% -9.0%

EIS Israel -0.65% -8.30% -7.76% -1.62% 3.78% -1.86%

VGK Europe -3.23% -10.99% -10.76% -15.96% 0.92% 0.79% -2.3% -1.6% 1.5% 32.5% 45.5% 34.1%

EDEN Denmark -2.25% -4.03% -1.98% 5.21% 16.35%

NORW Norway 0.83% -10.78% -11.93% -22.56% -12.23% -7.70%

EWD Sweden 0.26% -9.27% -9.46% -18.11% -1.76% 0.57%

EWL Switzerland -2.85% -8.29% -10.97% -12.95% 1.75% 4.37% -3.0% 0.0% 0.2% 30.1% 21.3% 20.7%

EWU UK -3.13% -11.66% -11.04% -19.09% -1.88% -0.17% -4.6% -10.4% -23.9% -3.4% 27.6% 17.3%

EZU Eurozone -4.22% -12.83% -11.52% -16.77% 1.08% -1.07% -6.6% -5.7% -2.1% 49.1% 75.9% 60.2%

EWO Austria -0.98% -9.79% -8.74% -11.91% -5.52% -6.74%

EWK Belgium -4.60% -7.45% -2.97% -3.68% 7.98% 7.15%

EFNL Finland -6.55% -9.26% -4.83% -11.81% 5.89%

EWQ France -2.53% -9.56% -8.94% -12.57% 1.51% -0.60%

EWG Germany -3.99% -14.28% -11.31% -19.98% 0.00% 0.06% -11.4% -8.1% -22.1% 18.0% 27.4% 23.5%

EIRL Ireland -3.69% -6.86% -7.23% -0.52% 13.59% 13.38%

EWI Italy -6.55% -21.38% -23.55% -22.62% -0.99% -6.99% -4.6% -25.6% -8.5% 18.4% 25.6% 50.9%

EWN Netherlands -2.70% -7.48% -6.50% -9.54% 5.95% 2.50%

PGAL Portugal -6.67% -8.24% -11.03% -18.91%

EWP Spain -5.01% -16.24% -20.37% -25.89% -2.18% -5.19% -4.3% -20.4% -23.8% 1.3% 78.8% 40.9%

EWJ Japan -5.30% -11.40% -9.49% -10.73% 3.43% 0.40% -5.8% -8.6% -7.2% 20.2% 45.4% 38.3%

EPP Pacific ex JP -0.62% -7.35% -4.76% -20.63% -6.93% -1.57% -9.1% -13.1% -16.9% -16.6% -14.3% -8.1%

EWA Australia -2.04% -6.95% -4.76% -23.17% -9.36% -3.18% 0.2% -3.7% 3.9% -4.2% -9.7% -9.1%

EWH Hong Kong 0.67% -8.97% -5.15% -14.66% -0.52% 2.30% -19.4% -27.1% -34.2% -23.1% -13.2% 0.4%

ENZL New Zealand 3.02% 2.94% 14.28% -7.76% 4.47% 10.03%

EWS Singapore 3.30% -5.44% -6.07% -21.39% -7.45% -2.09% -6.7% -11.9% -15.6% -19.9% -22.4% -18.0%

EEM EM -0.82% -9.42% -9.02% -23.86% -9.15% -5.98% -0.6% -1.8% -2.1% -4.4% -4.3% 3.3%

ILF Latin America 1.61% -7.24% -13.45% -32.59% -19.46% -14.41% 2.0% 5.4% 8.3% -11.2% -11.0% -6.9%

EWZ Brazil 3.33% -7.99% -16.72% -40.34% -25.83% -20.42% 0.0% 11.0% 8.8% -11.2% -12.9% -7.8%

ECH Chile 1.72% 2.68% -4.92% -18.18% -19.28% -12.51% 35.0% 18.7% 10.8% 34.4% -5.8% -7.2%

GXG Colombia 7.56% 8.67% -6.51% -29.17% -26.39% -15.03%

EWW Mexico 0.19% -8.20% -6.91% -17.71% -10.47% -2.98% 0.2% -0.3% 1.9% -26.0% -5.4% 4.4%

EPU Peru 11.89% 2.43% -4.62% -25.46% -20.03% -12.43% 0.0% 0.0% -8.9% -16.1% -18.6% -11.7%

EEMA EM Asia -0.62% -8.78% -4.97% -21.47% -4.16% -0.4% -3.2% -9.1% -2.8% 4.5% 5.3%

FXI China H -2.95% -17.39% -13.85% -28.94% -5.43% -4.07% -1.8% 0.5% -4.7% 11.7% -3.2% 4.9%

ASHR China A -1.85% -21.41% -11.86% -22.34% 7.1% 5.8% -5.1% -52.7% 90.3% 71.7%

INDA India -7.54% -11.89% -13.86% -27.41% -0.54% -0.9% -8.5% -9.3% 3.0% 45.6% 26.3%

EIDO Indonesia 4.80% 11.33% 14.06% -16.49% -11.40% -2.42% 36.7% 32.8% 28.5% -20.8% -3.0% 4.2%

EWM Malaysia -3.45% 0.74% 4.79% -20.28% -7.48% -2.66% 7.1% 11.0% 10.1% -9.6% -20.4% -13.8%

EPHE Philippines 1.02% -4.69% -6.19% -21.13% -5.67% 9.12%

EWY South Korea -2.41% -9.70% -0.30% -15.78% -7.42% -3.00% -0.3% 1.9% -3.9% -5.6% 8.3% -0.1%

EWT Taiwan 4.14% -2.17% -0.92% -17.27% 0.56% -0.17% -3.1% -15.5% -26.5% -18.0% -2.2% -3.5%

THD Thailand 3.31% -0.23% -0.88% -20.13% -8.64% 3.14% 4.3% 5.5% 2.7% -30.6% -23.3% -15.6%

GUR EM Europe 2.41% -7.11% -10.28% -20.15% -16.07% -12.95% 0.9% 0.1% 4.5% 0.7% 16.5% 6.3%

GREK Greece -8.77% -24.85% -28.85% -49.45% -29.21%

EPOL Poland 3.26% -4.97% -18.67% -24.30% -10.94% -9.57%

RSX Russia 0.28% -9.95% -10.64% -15.66% -17.73% -16.28% 0.9% 2.0% 10.7% 6.0% 21.0% 5.1%

TUR Turkey 0.78% -2.14% -1.96% -22.61% -15.53% -6.77% -5.2% -12.1% -23.3% -26.2% -10.3% 0.8%

MES Middle East 7.65% -2.22% -14.14% -20.15% 1.49% 3.10%

QAT Qatar 6.77% -0.36% -14.20% -20.22%

UAE UAE 12.18% 1.72% -13.18% -14.49%

AFK Africa 3.21% -6.77% -15.17% -32.39% -15.40% -9.67% 10.7% -8.7% -3.1% -8.6% -2.8% -3.0%

EGPT Egypt -0.91% -3.68% -13.03% -40.80% -8.77% -10.31%

EZA South Africa -2.25% -14.60% -20.70% -32.83% -9.21% -5.83% 14.2% -8.7% 3.9% -7.4% -4.1% -4.8%

FM Frontier Market 4.18% -4.99% -9.43% -19.98% -1.16% -7.4% -9.7% -11.6% -8.3% 29.1% 25.5%

ARGT Argentina 7.90% -1.14% 3.49% -7.00% 3.80%

NGE Nigeria -1.32% -16.27% -24.30% -27.30%

PAK Pakistan 1.79% -3.40% -13.25%

VNM Vietnam 0.00% -6.86% -10.98% -26.17% -10.48% -8.13% -3.9% -11.1% -10.0% -6.9% 8.1% 16.1%

BKF BRIC -1.80% -13.93% -13.26% -27.92% -10.74% -9.29% -0.4% -6.0% -10.6% -23.5% -28.1% -17.9%



14 March 2016



Figure 29: International Equity Risk and Risk-adjusted Performance Measures

1M 3M 6M 1Y 3Y 5Y 1Y 3Y 5Y 1Y 3Y 5Y

EFA Intl DM 20.4% 21.0% 19.5% 18.2% 15.0% 19.4% -23.0% -23.1% -25.9% (0.9) 0.0 0.0

EWC Canada 28.5% 28.4% 24.9% 21.2% 16.6% 18.8% -35.5% -41.4% -41.4% (1.0) (0.4) (0.3)

EIS Israel 17.6% 15.8% 16.3% 16.4% 14.4% 19.2% -20.9% -20.9% -38.9% (0.1) 0.3 (0.1)

VGK Europe 22.5% 21.8% 19.9% 18.9% 15.9% 22.3% -23.2% -24.9% -30.2% (0.8) 0.1 0.0

EDEN Denmark 26.3% 21.8% 18.1% 18.2% 16.7% -14.1% -17.2% 0.3 1.0

NORW Norway 34.2% 32.5% 28.3% 26.6% 22.6% 27.5% -38.3% -50.9% -50.9% (0.8) (0.5) (0.3)

EWD Sweden 27.6% 26.0% 23.0% 21.1% 18.8% 26.5% -23.4% -25.6% -36.2% (0.9) (0.1) 0.0

EWL Switzerland 17.0% 18.2% 16.6% 16.0% 13.9% 17.5% -21.4% -21.4% -25.5% (0.8) 0.1 0.2

EWU UK 25.5% 24.7% 23.1% 20.5% 16.1% 19.6% -25.9% -29.3% -29.3% (0.9) (0.1) (0.0)

EZU Eurozone 24.1% 22.0% 20.2% 20.3% 17.8% 24.9% -23.0% -27.1% -37.6% (0.8) 0.1 (0.0)

EWO Austria 27.0% 24.1% 20.9% 20.1% 18.1% 25.0% -23.8% -32.6% -45.9% (0.6) (0.3) (0.3)

EWK Belgium 20.6% 19.2% 17.1% 17.3% 15.3% 20.5% -13.5% -15.0% -33.3% (0.2) 0.5 0.3

EFNL Finland 23.4% 22.3% 20.1% 20.0% 18.5% -16.7% -19.2% (0.6) 0.3

EWQ France 23.3% 22.0% 20.5% 20.5% 17.9% 25.1% -20.7% -25.8% -36.2% (0.6) 0.1 (0.0)

EWG Germany 22.0% 21.8% 21.0% 21.1% 18.1% 25.2% -24.0% -26.6% -37.8% (0.9) (0.0) 0.0

EIRL Ireland 24.3% 19.6% 17.3% 17.5% 16.5% 21.6% -15.4% -22.7% -27.3% (0.0) 0.8 0.6

EWI Italy 35.8% 28.8% 25.4% 25.2% 23.6% 31.0% -32.0% -39.2% -51.1% (0.9) (0.0) (0.2)

EWN Netherlands 22.4% 21.6% 19.9% 19.6% 16.5% 22.1% -19.6% -19.6% -33.9% (0.5) 0.4 0.1

PGAL Portugal 26.9% 27.3% 25.2% 25.8% -29.3% (0.7)

EWP Spain 30.5% 26.4% 22.8% 22.8% 21.7% 29.0% -32.0% -40.8% -50.9% (1.1) (0.1) (0.2)

EWJ Japan 23.2% 24.3% 22.6% 20.4% 18.7% 19.3% -21.6% -21.6% -23.4% (0.5) 0.2 0.0

EPP Pacific ex JP 21.7% 24.2% 23.1% 22.3% 17.5% 21.0% -28.0% -30.4% -30.4% (0.9) (0.4) (0.1)

EWA Australia 25.9% 28.8% 26.9% 26.2% 20.4% 23.5% -29.8% -35.4% -35.4% (0.9) (0.5) (0.1)

EWH Hong Kong 19.1% 20.0% 21.0% 22.7% 18.1% 19.3% -29.5% -29.5% -29.5% (0.6) (0.0) 0.1

ENZL New Zealand 19.9% 19.1% 17.4% 17.8% 15.7% 18.6% -22.9% -23.2% -23.2% (0.4) 0.3 0.5

EWS Singapore 22.8% 22.3% 21.2% 18.9% 15.5% 18.5% -32.1% -32.5% -32.5% (1.1) (0.5) (0.1)

EEM EM 26.5% 26.1% 24.9% 22.9% 19.6% 22.6% -34.4% -36.1% -37.5% (1.0) (0.5) (0.3)

ILF Latin America 40.8% 35.0% 32.0% 28.7% 25.2% 25.2% -43.2% -56.1% -61.8% (1.1) (0.8) (0.6)

EWZ Brazil 53.6% 44.9% 43.7% 38.0% 31.8% 30.1% -52.0% -67.0% -74.9% (1.1) (0.8) (0.7)

ECH Chile 22.8% 22.6% 22.1% 21.0% 20.0% 21.6% -31.8% -53.5% -59.1% (0.9) (1.0) (0.6)

GXG Colombia 31.1% 36.3% 33.6% 30.3% 23.5% 22.1% -47.6% -67.2% -68.3% (1.0) (1.1) (0.7)

EWW Mexico 30.4% 28.5% 23.7% 21.3% 20.1% 21.9% -26.0% -39.2% -39.2% (0.8) (0.5) (0.1)

EPU Peru 27.4% 23.7% 21.1% 21.2% 18.8% 22.3% -42.0% -58.1% -60.6% (1.2) (1.1) (0.6)

EEMA EM Asia 21.2% 23.9% 23.6% 23.6% 18.7% -31.5% -31.5% (0.9) (0.2)

FXI China H 29.4% 29.7% 29.8% 31.3% 25.0% 26.2% -44.6% -44.6% -44.6% (0.9) (0.2) (0.2)

ASHR China A 45.2% 44.9% 45.9% 54.5% -50.2% (0.4)

INDA India 23.8% 22.8% 22.0% 22.8% 23.4% -28.7% -28.7% (1.2) (0.0)

EIDO Indonesia 31.1% 30.0% 34.0% 31.3% 30.5% 29.9% -40.0% -52.1% -52.1% (0.5) (0.4) (0.1)

EWM Malaysia 26.5% 27.7% 28.7% 25.5% 19.7% 18.9% -32.9% -40.2% -40.2% (0.8) (0.4) (0.1)

EPHE Philippines 19.1% 22.9% 23.0% 22.0% 23.1% 22.1% -31.1% -31.8% -31.8% (1.0) (0.2) 0.4

EWY South Korea 22.4% 24.7% 23.9% 21.2% 18.4% 23.4% -29.0% -32.8% -34.7% (0.7) (0.4) (0.1)

EWT Taiwan 24.0% 25.8% 24.1% 23.0% 18.6% 20.7% -31.3% -31.3% -31.3% (0.8) 0.0 (0.0)

THD Thailand 22.5% 24.4% 24.2% 22.1% 24.3% 24.8% -32.7% -38.0% -38.0% (0.9) (0.4) 0.1

GUR EM Europe 34.3% 31.5% 27.8% 27.2% 25.2% 28.1% -37.8% -51.8% -60.4% (0.7) (0.6) (0.5)

GREK Greece 51.5% 40.2% 38.9% 51.9% 47.2% -55.6% -77.4% (1.0) (0.6)

EPOL Poland 25.6% 26.6% 24.3% 24.4% 23.4% 29.4% -39.5% -47.0% -52.8% (1.0) (0.5) (0.3)

RSX Russia 47.6% 45.3% 40.7% 38.6% 35.8% 35.3% -39.4% -55.1% -67.2% (0.4) (0.5) (0.5)

TUR Turkey 36.3% 32.1% 34.1% 33.3% 32.0% 32.5% -33.3% -53.9% -53.9% (0.7) (0.5) (0.2)

MES Middle East 29.2% 27.4% 24.0% 23.6% 21.8% 20.8% -33.0% -42.4% -42.4% (0.9) 0.1 0.1

QAT Qatar 18.8% 26.2% 24.2% 23.1% -32.8% (0.9)

UAE UAE 26.9% 32.3% 28.1% 27.8% -36.5% (0.5)

AFK Africa 20.6% 22.6% 21.3% 19.6% 17.0% 18.4% -43.6% -54.0% -54.0% (1.6) (0.9) (0.5)

EGPT Egypt 25.5% 36.4% 32.1% 31.4% 27.8% 29.6% -47.4% -55.7% -55.7% (1.3) (0.3) (0.3)

EZA South Africa 43.1% 46.6% 40.8% 33.9% 28.4% 29.2% -45.0% -45.0% -45.0% (1.0) (0.3) (0.2)

FM Frontier Market 12.9% 17.1% 16.4% 15.5% 14.4% -28.9% -36.6% (1.3) (0.1)

ARGT Argentina 27.4% 27.2% 27.5% 26.5% 24.4% -31.1% -34.0% (0.3) 0.2

NGE Nigeria 22.3% 28.2% 24.9% 30.0% -45.8% (0.9)

PAK Pakistan 18.7% 17.7% 15.3%

VNM Vietnam 28.4% 27.3% 26.3% 26.2% 23.4% 26.9% -33.0% -42.9% -42.9% (1.0) (0.4) (0.3)

BKF BRIC 28.7% 27.0% 26.2% 25.9% 21.6% 23.8% -39.4% -39.4% -46.7% (1.1) (0.5) (0.4)

Ticker Asset ClassAnnualized Volatility Max Drawdown Sharpe (TR / Vol)


US

ETF M

ark

et M

on

thly

Revie

w

14

Marc

h 2

01

6

Pag

e 2

2

Deu

tsch

e B

an

k S

ecu

rities In

c.

Cross Asset Correlations (3Y)

Figure 30: 3-Year Cross Asset Class Correlations of Weekly Total Returns

3Y - Cross Asset Class Correlation of Weekly Total Returns

Category Ticker ACWI VTI EFA EEM AGG GOVT TIP MUB MBB LQD HYG FLOT BKLN PFF CWB BWX WIP EMB EMLC EMCB DBC DBE DBA DBB DBP UUP FXY FXE

Global Equities ACWI 0.96 0.96 0.84 -0.13 -0.26 0.02 0.02 -0.07 0.03 0.67 0.09 0.57 0.42 0.89 0.00 0.25 0.52 0.59 0.48 0.51 0.49 0.23 0.37 -0.08 0.06 -0.35 -0.08

US Total Market VTI 0.96 0.87 0.72 -0.17 -0.31 -0.03 -0.04 -0.11 0.00 0.67 0.09 0.57 0.42 0.91 -0.09 0.13 0.43 0.47 0.41 0.45 0.45 0.17 0.28 -0.13 0.13 -0.38 -0.14

Intl DM EFA 0.96 0.87 0.79 -0.10 -0.23 0.04 0.03 -0.07 0.02 0.61 0.09 0.52 0.39 0.82 0.08 0.31 0.52 0.59 0.46 0.50 0.47 0.24 0.40 -0.03 -0.04 -0.31 0.01

EM EEM 0.84 0.72 0.79 -0.01 -0.13 0.12 0.11 0.05 0.10 0.57 0.10 0.48 0.35 0.69 0.10 0.35 0.59 0.71 0.52 0.49 0.43 0.27 0.40 0.02 0.03 -0.22 -0.08

US Agg Bond IG AGG -0.13 -0.17 -0.10 -0.01 0.95 0.88 0.76 0.91 0.92 0.13 -0.07 0.01 0.35 -0.08 0.63 0.60 0.45 0.31 0.27 -0.19 -0.22 -0.07 -0.10 0.28 -0.29 0.45 0.21

US Treasury GOVT -0.26 -0.31 -0.23 -0.13 0.95 0.81 0.69 0.83 0.85 -0.04 -0.13 -0.14 0.22 -0.23 0.61 0.55 0.29 0.20 0.13 -0.29 -0.32 -0.13 -0.17 0.32 -0.29 0.49 0.22

US Inflation TIP 0.02 -0.03 0.04 0.12 0.88 0.81 0.71 0.83 0.85 0.25 -0.09 0.10 0.41 0.04 0.59 0.65 0.54 0.45 0.36 -0.01 -0.03 -0.01 0.04 0.27 -0.27 0.34 0.20

Municipal MUB 0.02 -0.04 0.03 0.11 0.76 0.69 0.71 0.77 0.75 0.22 0.03 0.08 0.39 0.05 0.51 0.52 0.54 0.35 0.28 -0.12 -0.15 -0.06 -0.03 0.21 -0.20 0.32 0.15

MBS MBB -0.07 -0.11 -0.07 0.05 0.91 0.83 0.83 0.77 0.83 0.19 -0.03 0.05 0.40 -0.01 0.59 0.57 0.51 0.34 0.36 -0.16 -0.17 -0.08 -0.08 0.24 -0.27 0.42 0.20

IG Corporates LQD 0.03 0.00 0.02 0.10 0.92 0.85 0.85 0.75 0.83 0.34 -0.04 0.19 0.49 0.10 0.53 0.56 0.58 0.38 0.38 -0.09 -0.09 -0.04 -0.08 0.20 -0.18 0.34 0.10

HY Corporates HYG 0.67 0.67 0.61 0.57 0.13 -0.04 0.25 0.22 0.19 0.34 0.13 0.75 0.57 0.69 0.12 0.27 0.68 0.58 0.60 0.47 0.47 0.17 0.25 0.03 0.01 -0.13 -0.05

Floater FLOT 0.09 0.09 0.09 0.10 -0.07 -0.13 -0.09 0.03 -0.03 -0.04 0.13 0.07 0.02 0.03 0.02 0.05 -0.01 0.07 0.07 0.08 0.06 0.13 0.04 0.08 -0.08 0.01 0.05

Senior Loans BKLN 0.57 0.57 0.52 0.48 0.01 -0.14 0.10 0.08 0.05 0.19 0.75 0.07 0.51 0.62 -0.04 0.11 0.52 0.42 0.51 0.37 0.38 0.14 0.23 -0.07 0.16 -0.25 -0.18

Preferred PFF 0.42 0.42 0.39 0.35 0.35 0.22 0.41 0.39 0.40 0.49 0.57 0.02 0.51 0.51 0.13 0.28 0.53 0.38 0.44 0.15 0.17 0.10 0.09 -0.01 0.06 -0.08 -0.10

Convertible CWB 0.89 0.91 0.82 0.69 -0.08 -0.23 0.04 0.05 -0.01 0.10 0.69 0.03 0.62 0.51 -0.06 0.13 0.50 0.44 0.44 0.41 0.41 0.13 0.26 -0.10 0.13 -0.33 -0.15

Intl DM Debt BWX 0.00 -0.09 0.08 0.10 0.63 0.61 0.59 0.51 0.59 0.53 0.12 0.02 -0.04 0.13 -0.06 0.90 0.38 0.49 0.24 0.14 0.04 0.16 0.18 0.50 -0.86 0.66 0.77

Intl Inflation WIP 0.25 0.13 0.31 0.35 0.60 0.55 0.65 0.52 0.57 0.56 0.27 0.05 0.11 0.28 0.13 0.90 0.56 0.70 0.41 0.27 0.16 0.24 0.28 0.45 -0.73 0.43 0.63

EM Gov Debt USD EMB 0.52 0.43 0.52 0.59 0.45 0.29 0.54 0.54 0.51 0.58 0.68 -0.01 0.52 0.53 0.50 0.38 0.56 0.73 0.74 0.28 0.26 0.11 0.19 0.10 -0.11 0.00 0.04

EM Gov Debt Local EMLC 0.59 0.47 0.59 0.71 0.31 0.20 0.45 0.35 0.34 0.38 0.58 0.07 0.42 0.38 0.44 0.49 0.70 0.73 0.61 0.40 0.31 0.27 0.35 0.22 -0.31 0.07 0.26

EM Corp USD EMCB 0.48 0.41 0.46 0.52 0.27 0.13 0.36 0.28 0.36 0.38 0.60 0.07 0.51 0.44 0.44 0.24 0.41 0.74 0.61 0.25 0.26 0.08 0.18 -0.01 -0.04 -0.01 -0.02

Commodities DBC 0.51 0.45 0.50 0.49 -0.19 -0.29 -0.01 -0.12 -0.16 -0.09 0.47 0.08 0.37 0.15 0.41 0.14 0.27 0.28 0.40 0.25 0.93 0.47 0.57 0.19 -0.22 -0.04 0.17

Energy Cmdty DBE 0.49 0.45 0.47 0.43 -0.22 -0.32 -0.03 -0.15 -0.17 -0.09 0.47 0.06 0.38 0.17 0.41 0.04 0.16 0.26 0.31 0.26 0.93 0.27 0.43 -0.01 -0.11 -0.12 0.07

Agriculture DBA 0.23 0.17 0.24 0.27 -0.07 -0.13 -0.01 -0.06 -0.08 -0.04 0.17 0.13 0.14 0.10 0.13 0.16 0.24 0.11 0.27 0.08 0.47 0.27 0.24 0.11 -0.22 0.03 0.20

Industrial Metals DBB 0.37 0.28 0.40 0.40 -0.10 -0.17 0.04 -0.03 -0.08 -0.08 0.25 0.04 0.23 0.09 0.26 0.18 0.28 0.19 0.35 0.18 0.57 0.43 0.24 0.15 -0.23 -0.05 0.23

Precious Metals DBP -0.08 -0.13 -0.03 0.02 0.28 0.32 0.27 0.21 0.24 0.20 0.03 0.08 -0.07 -0.01 -0.10 0.50 0.45 0.10 0.22 -0.01 0.19 -0.01 0.11 0.15 -0.46 0.50 0.36

Bull USD UUP 0.06 0.13 -0.04 0.03 -0.29 -0.29 -0.27 -0.20 -0.27 -0.18 0.01 -0.08 0.16 0.06 0.13 -0.86 -0.73 -0.11 -0.31 -0.04 -0.22 -0.11 -0.22 -0.23 -0.46 -0.56 -0.96

JPYUSD FXY -0.35 -0.38 -0.31 -0.22 0.45 0.49 0.34 0.32 0.42 0.34 -0.13 0.01 -0.25 -0.08 -0.33 0.66 0.43 0.00 0.07 -0.01 -0.04 -0.12 0.03 -0.05 0.50 -0.56 0.40

EURUSD FXE -0.08 -0.14 0.01 -0.08 0.21 0.22 0.20 0.15 0.20 0.10 -0.05 0.05 -0.18 -0.10 -0.15 0.77 0.63 0.04 0.26 -0.02 0.17 0.07 0.20 0.23 0.36 -0.96 0.40 Source: Deutsche Bank, FactSet. Data as of the end of last month. Green cells denote highest correlations, while red cells denote lowest correlations.

Figure 31: 26W Rolling Correlation for Global

Equities vs. Other Asset Classes (5Y)

Figure 32: 26W Rolling Correlation for US

Equities vs. Other Equities (5Y)

Figure 33: 26W Rolling Correlation for US Fixed

Income vs. Other Fixed Income segments (5Y)

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1

Mar-11 Mar-12 Mar-13 Mar-14 Mar-15

Global Equities - 26W Rolling Correlation

US Agg Bond IG Commodities Real EstateBull USD Gold

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1


US Equities - 26W Rolling Correlation

DM Intl EM Japan Pacific ex JP Europe

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1


US Fixed Income - 26W Rolling Correlation

US Treasury IG Corp HY Corp Sr Loans

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: Global Equities (ACWI), US Agg Bond IG (AGG), Commodities (DBC), Real Estate (VNQ), and Gold (GLD).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Equity (VTI), DM Intl (EFA), EM (EEM), Japan (EWJ), Pacific ex JP (EPP), and Europe (VGK).

Source: Deutsche Bank, FactSet. Correlations based on weekly total returns of US-listed ETFs: US Fixed Income (AGG), US Treasury (GOVT), IG Corp (LQD), HY Corp (HYG), and Sr Loans (BKLN)

14 March 2016



12-Month Relative Performance Monitor2

Figure 34: Cross Asset Class Figure 35: Global Equities Figure 36: US Equity Size and Style

0.80

0.90

1.00

1.10

1.20

1.30

1.40

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

Global Equities/Fixed Income (Broad)

Global Equities/Commodities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

1.30

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

US Total Market/Intl DM

US Total Market/EM

0.90

0.95

1.00

1.05

1.10

1.15

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

S&P 500/Russell 2000 (SM Cap)

Russell 1000 Growth/Russell 1000 Value

Source: Deutsche Bank, FactSet.



Figure 37: US Equity Sectors Figure 38: Intl DM Equities Figure 39: EM Equities

0.80

0.90

1.00

1.10

1.20

1.30

1.40

1.50

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

Healthcare/EnergyTechnology/IndustrialsFinancials/Real EstateFinancials/Utilities

0.90

0.95

1.00

1.05

1.10

1.15

1.20

1.25

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

Eurozone/Europe

Japan/Pacific ex JP

0.60

0.70

0.80

0.90

1.00

1.10

1.20

1.30

1.40

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

EM Asia/Latin America

China H/China A




Figure 40: Fixed Income Credit

Figure 41: Fixed Income duration

and EM debt

Figure 42: Precious Metals

0.80

0.85

0.90

0.95

1.00

1.05

1.10

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

HY Corporates/US Treasury

HY Corporates/IG Corporates

0.80

0.90

1.00

1.10

1.20

1.30

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

UST Short/UST Long

EM Gov Debt USD/EM Gov Debt Local

0.800.901.001.101.201.301.401.501.601.701.80

Feb

-15

Mar-

15

Ap

r-1

5

May-1

5

Ju

n-1

5

Ju

l-1

5

Au

g-1

5

Sep

-15

Oct-

15

No

v-1

5

Dec-1

5

Jan

-16

Feb

-16

Gold/SilverGold/PlatinumGold/Palladium




2 Performance for each asset class is based on the ETFs mentioned in the heatmaps presented earlier in

this section. Total return data is as of the end of last month.

14 March 2016



House View Portfolio: Monthly Brief

Our House View Portfolio (HVP) was down by 4.28% in February

underperforming Global Equities (ACWI) and its benchmark which were down

by 1.25% and 0.39% during the same period, respectively. We performed our

annual rebalance on February 9th, full details of the annual rebalance are found

in our US ETF Model Portfolios report published on February 12th.

Figure 43: House View Portfolio

Direction Type

USMV 0.15% 15% 15.3% Long Core Equity US LC Min Vol

KBWB 0.35% 5% 5.0% Long Satellite Equity US Banks

XLU 0.14% 10% 9.8% Long Satellite Equity US Utilities

EFAV 0.20% 25% 25.0% Long Core Equity DM Intl

LQD 0.15% 10% 9.9% Long Core Credit Inv. Grade

IEF 0.15% 20% 19.6% Long Core Rates Intermediate UST

IAU 0.25% 10% 10.3% Long Core Comdty Gold

UUP 0.80% 5% 5.0% Long Core FX Long USD

ETF TERActual

Weight

Position Asset

ClassExposure

Target

Weight

Source: Deutsche Bank. Actual weights as of the end of last month. Last rebalance as of 7-Oct-15.

Figure 44: Portfolio performance vs. Global Equities and

Benchmark since inception (10/01/2012)

Figure 45: Monthly* performance of portfolio and

benchmark positions

90

100

110

120

130

140

150

Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15

No

rmalize

d L

evel (1

00

)

House View Port. ACWI Bnchmk

-15% -10% -5% 0% 5% 10%

Fixed Income (BND)

Comdty (DBC)

Equity (ACWI)

FX Long USD (UUP)

Gold (IAU)

Intermediate UST (IEF)

Inv. Grade (LQD)

Eq. DM Intl (EFAV)

Eq. US Utilities (XLU)

Eq. US Banks (KBWB)

Eq. US LC Min Vol (USMV)

Eq. US Large Caps (QQQ)

Eq. Japan (DXJ)

Eq. Europe (DBEU)

Eq. India (EPI)

Eq. China (FXI)

Performance

Ho

use V

iew

Po

rt.

Bnchm

k

Source: Deutsche Bank, FactSet. Benchmark is 50% Global Equities (ACWI), 30% Fixed Income (BND), and 20% Commodities (DBC) rebalanced at the end of each calendar quarter.

Source: Deutsche Bank, FactSet. Data as of last month. *Based on Total Returns. FXI, EPI, DBEU, DXJ, and QQQ returns from Jan 31 to Feb 9. USMV, KBWB, EFAV, IAU returns from Feb 9 to Feb 29. Other returns are full month returns.

Figure 46: Asset Class allocation Figure 47: Global Equity Allocation Figure 48: Regional Equity Allocation

0%

10%

20%

30%

40%

50%

60%

Equity Fixed Income Alternatives

Target Actual

0%

5%

10%

15%

20%

25%

30%

35%

US DM Intl EM

Target Actual

0%

5%

10%

15%

20%

25%

30%

35%

North America

Europe Japan Asia ex JP

Target Actual




http://pull.db-gmresearch.com/cgi-bin/pull/DocPull/1102-35A2/29857170/0900b8c08ac3ee7d.pdf

14 March 2016



Business Intelligence

New Listings

There were seven new ETFs and six new ETNs listed during the previous

month; nine of these were listed in the NYSE Arca, two were listed in the

NASDAQ, while the remaining funds were listed in the BATS. The new

products offer exposure to Global IG bonds, Global Sovereign HY bonds; Small

Cap and Small/Mid Cap companies selected by a Smart Growth methodology,

respectively; Global companies with a high free cash flow yield and a high

dividend yield, an alternative actively managed strategy offering exposure to

futures, a Putwrite strategy, and notes offering exposure to Crude Oil, and 2x

leveraged exposure to Europe, Global high dividend yield stocks, and MLPs.

Figure 49: Products listed during last month

Ticker NameAsset Class &

Structure

Listing

DateTER

AUM

$MM

OIIL Credit Suisse X-Links WTI Crude Oil Index ETN Commodity ETN 9-Feb-16 0.55% 26

MLPZ ETRACS 2xMonthly Leveraged S&P MLP Index ETN Series B Equity ETN 9-Feb-16 0.95% 33

MLPQ ETRACS 2xMonthly Leveraged Alerian MLP Infrastructure Index ETN Series B Equity ETN 9-Feb-16 0.85% 33

GTO Guggenheim Total Return Bond ETF Fixed Income ETF 10-Feb-16 0.50% 20

FIEE UBS AG FI Enhanced Europe 50 ETN Equity ETN 16-Feb-16 0.95% 26

FUT ProShares Managed Futures Strategy ETF Alternative ETF 18-Feb-16 0.75% 4

OILX ETRACS S&P GSCI Crude Oil Total Return Index ETN Commodity ETN 18-Feb-16 0.50% 26

FIHD UBS AG FI Enhanced Global High Yield ETN Equity ETN 22-Feb-16 0.80% 25

PGHD Pacer Global High Dividend ETF Equity ETF 23-Feb-16 0.60% 2

SOVB Cambria Sovereign High Yield Bond ETF Fixed Income ETF 23-Feb-16 0.59% 2

PUTW WisdomTree Cboe S&P 500 Putwrite Strategy Fund Alternative ETF 24-Feb-16 0.38% 3

JSMD Janus Small/Mid Cap Growth ETF Equity ETF 25-Feb-16 0.50% 3

JSML Janus Small Cap Growth Alpha ETF Equity ETF 25-Feb-16 0.50% 3 Source: Deutsche Bank, Bloomberg Finance LP

Equity UBS listed four new equity ETNs during February. Two of them offer 2x

leveraged exposure to MLPs, the first (MLPZ) tracks the S&P MLP index,

while the second one (MLPQ) tracks the Alerian MLP Infrastructure Index.

The remaining two notes offer 2x leveraged exposure to Global high

dividend yielding stocks (FIHD) tracking the MSCI World High Dividend

Yield Index, and European markets (FIEE) tracking the STOXX Europe 50

USD (Gross Return) Index. MLPZ and FIEE come with an annual expense

ratio of 0.95%; meanwhile, MLPQ and FIHD with an annual expense ratio

of 0.85% and 0.80%, respectively.

Janus Capital launched two new ETFs during last month. One of them

(JSMD) offers exposure to US Small/Mid cap companies tracking the

Janus Small/Mip Cap Growth Alpha Index; while, the second fund (JSML)

offers exposure to US Small cap stocks tracking the Janus Small cap

Growth Alpha Index. Both funds use a “Smart Growth“ methodology that

evaluates every stock on different fundamental factors such as growth,

profitability, and capital efficiency to identify companies poised for long-

run sustainable growth from the top 10% of the eligible universe. Both

ETFs come with an annual expense ratio of 0.50%.

14 March 2016



Pacer Advisors listed one new ETF (PGHD), which is designed to provide

exposure to the Top 100 Global companies with the highest free cash flow

yield and the highest dividend yield weighted by the highest trailing 12-

month dividends. PGHD tracks the Pacer Global Cash Cows Dividends 100

Index and comes with an annual expense ratio of 0.60%.

Fixed Income Guggenheim Investment listed one new actively managed ETF (GTO),

which offers exposure to a Global IG fixed income portfolio that seeks

maximum total return. The fund comes with a total expense ratio of 0.50%.

Cambria Funds listed one new actively managed ETF (SOVB), offering

exposure to Global Sovereign and Semi-Sovereign HY bonds. SOVB comes

with an annual expense ratio of 0.59%.

Commodities UBS also listed one new Commodity ETN during February. The note (OILX)

offers exposure to WTI Crude Oil, through front-month futures contracts

rolled over monthly, according to the methodology of the S&P GSCI Crude

Oil Total Return Index and comes with an annual expense ratio of 0.50%.

Credit Suisse listed one new Commodity ETN (OIIL) which offers exposure

to Crude Oil futures contracts, tracking the Bloomberg WTI Crude Oil Total

Return Index. The note comes with an annual expense ratio of 0.55%.

Alternative: ProShares launched one new actively managed alternative ETF (FUT),

which offers exposure to Commodity, Currency and Treasury futures via a

managed futures strategy weighted by risk and taking long/short positions

in each contract. FUT comes with an annual expense ratio of 0.75%

WisdomTree listed one new ETF (PUTW), which tracks the CBOE S&P 500

PutWrite Index, a collateralized put-write strategy on the S&P 500 Index,

offering long exposure to 1-Month and 3-Month Treasury-bills while selling

S&P 500 Index put options. PUTW come with an annual expense ratio of

0.38%.

Delistings

Figure 50: Delisted products during last month

Ticker NameAsset Class &

Structure

Delisting

dateTER

AUM at

Delisting $MM

MLPL ETRACS 2xMonthly Leveraged Long Alerian MLP Infrastructure Index Equity ETN 1-Feb-16 0.85% 127

MLPV ETRACS 2xMonthly Leveraged S&P MLP Index ETN Equity ETN 1-Feb-16 0.95% 45

ERW Janus Equal Risk Weighted Large Cap ETF Equity ETF 25-Feb-16 0.65% 2 Source: Deutsche Bank, Bloomberg Finance LP.

14 March 2016



Trends in products launched in the last 12 months

Figure 51: Main trends among those products launched in the last 12 months

Product

segment

Net Cash

Flows

12M $MM

AUM

Feb '16 $MM

New Funds

last 12MAsset Class Focus

Net Cash

Flows

12M $MM

AUM

Feb '16

$MM

New

Funds

last 12M

Total (All) 8,974 8,307 258 Top 5 by Geographic Focus (Equities)

By Asset Class US - US 3,587 3,178 83

Equity 7,605 6,977 212 Global - Global (reg) 1,017 923 20

Fixed Income 1,192 1,191 28 DM - North America (reg) 728 779 2

Commodities - - - EM - Global (reg) 640 602 11

Currency - - - DM - Eurozone (Reg) 512 472 9

Multi Asset 102 95 5 Top 5 by Category (Fixed Income)

Alternative 75 44 13 Broad 457 458 5

By Management Strategy Corporates 410 408 13

Beta 1,704 1,715 58 Municipal 281 285 4

Beta+ 757 472 26 Convertible 25 22 2

Smart Beta 6,042 5,680 154 EM debt 11 11 3

Active 472 440 20 Source: Deutsche Bank, Bloomberg Finance LP

Figure 52: Top 20 products by net cash flow raised in the last 12

months

Figure 53: Top 20 Issuers by inflows to

products launched in the last 12 months

Ticker Name TER

Net CF

12M

$MM

XT iShares Exponential Technologies ETF 0.47% 715

NANR SPDR S&P North American Natural Resources ETF 0.35% 701

GEM Goldman Sachs ActiveBeta Emerging Markets Equity ETF 0.45% 590

PTLC Pacer Trendpilot 750 ETF 0.60% 385

GSLC Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF 0.09% 358

ONEV SPDR Russell 1000 Low Volatility Focus ETF 0.20% 340

ONEO SPDR Russell 1000 Momentum Focus ETF 0.20% 340

ONEY SPDR Russell 1000 Yield Focus ETF 0.20% 338

LABU Direxion Daily S&P Biotech Bull 3X Shares 0.95% 322

EUSC WisdomTree Europe Hedged SmallCap Equity Fund 0.58% 286

VTEB Vanguard Tax-Exempt Bond Index ETF 0.12% 213

FXEU PowerShares Europe Currency Hedged Low Volatility Portfolio 0.25% 179

NFLT Virtus Newfleet Multi-Sector Unconstrained Bond ETF 0.80% 178

IAGG iShares Core International Aggregate Bond ETF 0.15% 174

DWTR PowerShares DWA Tactical Sector Rotation Portfolio 0.15% 152

PTMC Pacer Trendpilot 450 ETF 0.60% 140

IDLB PowerShares FTSE International Low Beta Equal Weight Portfolio 0.45% 129

USLB PowerShares Russell 1000 Low Beta Equal Weight Portfolio 0.35% 126

CHAU Direxion Daily CSI 300 China A Share Bull 2X Shares 0.95% 120

XRLV PowerShares S&P 500 Ex-Rate Sensitive Low Volatility Portfolio 0.25% 112

Top 20 Issuers

Net Cash

Flows

12M $MM

AUM

Nov '15

$MM

New

Funds

last 12M

State Street 1,850 1,858 14

BlackRock 1,727 1,602 45

Goldman Sachs 1,030 985 3

PowerShares 706 662 9

DirexionShares 677 440 22

Pacer Advisors 630 578 6

WisdomTree 524 492 22

Etfis Capital 218 213 3

Vanguard 213 216 1

ProShares 168 119 15

First Trust 113 92 3

IndexIQ Advisors 108 95 6

John Hancock Inv. 106 100 6

O'Shares Investments 96 96 5

Deutsche AWM 92 82 19

ETC 74 69 5

Compass EMP 72 68 5

Global X Funds 64 57 10

JPMorgan 56 54 2

Innovator Mgmt 56 40 1 Source: Deutsche Bank, Bloomberg Finance LP

Source: Deutsche Bank, Bloomberg Finance LP

14 March 2016



Popular Product Segments: Smart Beta & Currency Hedged

Figure 54: Summary statistics for Smart Beta Equity ETFs

Smart Beta

(Equities)

Feb '16

$MM

YTD

$MM

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

All

Mkt

Shr

YTD

New

Dividend (160) (2,965) 25,928 -10% 20% 118,418 0% 28% 113 21% 3

Equal (1,703) (3,620) 40,927 -8% 32% 26,954 -7% 6% 68 13% 1

ESG (9) (18) 126 -26% 0% 1,738 -1% 0% 15 3% -

Fundamental (237) (217) 3,516 -30% 3% 14,597 -2% 3% 59 11% 2

Low Risk 3,248 4,552 10,324 18% 8% 30,295 13% 7% 46 8% -

Multi-factor (636) (2,355) 8,700 15% 7% 27,556 -3% 7% 126 23% -

Single-factor (172) (606) 2,386 -12% 2% 8,230 -2% 2% 41 8% -

Style (606) (4,845) 36,677 -28% 29% 191,692 0% 46% 63 12% -

Other (30) (20) 94 -44% 0% 526 -5% 0% 13 2% 8

Total (306) (10,094) 128,678 -13% 100% 420,005 0% 100% 544 100% 14

Net Cash Flows Turnover AUM # of Funds


Figure 55: Summary statistics for Currency-Hedged Equity ETFs

Currency Hedged

(Equities)

Feb '16

$MM

YTD

$MM

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

All

Mkt

Shr

YTD

New

Multiple (316) 425 5,909 -18% 27% 22,846 -5% 44% 43 47% 3

AUD 6 6 0 481% 0% 12 89% 0% 2 2% -

BRL - (0) 0 -71% 0% 3 4% 0% 1 1% -

CAD 5 5 8 5134% 0% 8 167% 0% 1 1% -

CHF - (2) 0 -72% 0% 2 -5% 0% 1 1% -

CNY - 1 1 -66% 0% 4 -3% 0% 2 2% -

EUR (831) (1,645) 6,480 -9% 30% 16,180 -7% 31% 16 17% 2

GBP (3) (5) 10 111% 0% 37 -8% 0% 3 3% -

JPY (1,403) (2,307) 9,033 5% 42% 12,291 -20% 24% 18 20% 2

KRW (24) (33) 63 -30% 0% 140 -14% 0% 3 3% -

MXN - - 0 77% 0% 6 0% 0% 2 2% -

Total (2,566) (3,555) 21,506 -7% 100% 51,529 -10% 100% 92 100% 7



Figure 56: Top 10 Issuers in Equity Smart Beta Figure 57: Top 10 Issuers in Equity Currency hedged

Top 10 Issuers

(Equity Smart Beta)

AUM

Feb '16

$MM

Net Cash

Flows

12M $MM

# of Funds

Feb '16

BlackRock 167,628 15,582 64

Vanguard 91,727 9,692 20

WisdomTree 41,632 6,383 62

State Street 29,381 1,686 56

First Trust 25,427 2,426 70

PowerShares 25,421 518 82

Guggenheim Inv. 14,858 (1,942) 27

Charles Schwab 10,473 4,229 9

FlexShares 3,309 605 14

ALPS 1,664 (309) 14

Top 10 Issuers

(Equity Currency Hedged)

AUM

Feb '16

$MM

Net Cash

Flows

12M $MM

# of Funds

Feb '16

WisdomTree 26,136 8,316 23

Deutsche AWM 17,320 13,507 25

BlackRock 7,720 6,628 25

PowerShares 173 182 3

IndexIQ Advisors 90 102 3

ProShares 42 51 2

State Street 18 21 3

FlexShares 18 19 2

O'Shares Investments 5 5 2

DirexionShares 3 4 2 Source: Deutsche Bank, Bloomberg Finance LP


14 March 2016



Average Performance by Product Type and Size (Equity)

1 Month Comparisons

Figure 58: US Equity ETFs - 1 Month Total Returns Figure 59: US Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 0.1% 1.2% 1.0% 1.0%

Mid Cap 1.2% 1.7% 1.6%

Small Cap 0.4% 1.5% 3.6% 1.4%

Broad 0.3% 1.2% 1.4% 1.1%

All 0.4% 1.3% 1.4% 1.2%

US Equity, Broad sector,

non levered, 1M Total

Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 19 89 9 117

Mid Cap 7 29 - 36

Small Cap 11 39 2 52

Broad 10 64 10 84

All 47 221 21 289


non levered, # of funds by

Product Type

Siz

e

Source: Deutsche Bank, FactSet. Total Return corresponds to last month.


Figure 60: DM Equity ETFs - 1 Month Total Returns Figure 61: DM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap -3.7% -1.3% -2.3% -2.6%

Mid Cap 0.2% -1.2% -0.7%

Small Cap -1.9% -2.0% 0.3% -1.8%

Broad -3.0% -1.8% -3.7% -2.2%

All -2.8% -1.8% -1.9% -2.1%

DM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 7 6 1 14

Mid Cap 1 2 - 3

Small Cap 8 7 1 16

Broad 27 69 1 97

All 43 84 3 130


regional, non levered, # of

funds by

Product Type

Siz

e



Figure 62: EM Equity ETFs - 1 Month Total Returns Figure 63: EM Equity ETFs - # of Funds in 1M sample

BetaSmart

BetaActive All

Large Cap 0.2% 2.1% 0.8%

Mid Cap

Small Cap 0.0% 3.0% 1.5%

Broad 1.5% 0.4% 0.9%

All 1.3% 0.6% 1.0%

EM Equity, Broad sector,

regional, non levered, 1M

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 2 - 6

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 29 32 - 61

All 35 36 - 71



funds by

Product Type

Siz

e



14 March 2016



1 Year Comparisons

Figure 64: US Equity ETFs - 1 Year Total Returns Figure 65: US Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -6.1% -7.3% -6.0% -7.0%

Mid Cap -10.6% -10.7% -10.7%

Small Cap -13.1% -12.6% -9.3% -12.6%

Broad -9.0% -6.9% -11.1% -7.6%

All -9.3% -8.8% -8.3% -8.8%

Product Type

Siz

e


non levered, 1Y Total

Return by

BetaSmart

BetaActive All

Large Cap 15 66 9 90

Mid Cap 7 27 - 34

Small Cap 11 36 1 48

Broad 10 51 7 68

All 43 180 17 240


non levered, # of funds by

Product Type

Siz

e



Figure 66: DM Equity ETFs - 1 Year Total Returns Figure 67: DM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -17.0% -17.5% -9.7% -16.4%

Mid Cap -9.2% -10.8% -10.3%

Small Cap -8.6% -7.7% -5.0% -7.9%

Broad -14.4% -14.0% -14.2%

All -13.9% -13.6% -7.4% -13.5%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 6 3 1 10

Mid Cap 1 2 - 3

Small Cap 5 4 1 10

Broad 22 38 - 60

All 34 47 2 83



funds by

Product Type

Siz

e



Figure 68: EM Equity ETFs - 1 Year Total Returns Figure 69: EM Equity ETFs - # of Funds in 1Y sample

BetaSmart

BetaActive All

Large Cap -23.3% -22.3% -23.0%

Mid Cap

Small Cap -18.8% -19.4% -19.1%

Broad -24.1% -24.1% -24.1%

All -23.7% -23.6% -23.7%


regional, non levered, 1Y

Total Return by

Product Type

Siz

e

BetaSmart

BetaActive All

Large Cap 4 2 - 6

Mid Cap - - - -

Small Cap 2 2 - 4

Broad 28 22 - 50

All 34 26 - 60



funds by

Product Type

Siz

e



14 March 2016



Total Expense Ratio X-ray

Figure 70: Average TER analysis by asset class and product type

TER By Beta Beta+ Smart Beta Active All Beta Beta+ Smart Beta Active All

Equity 0.46% 0.93% 0.48% 0.87% 0.54% 0.21% 0.94% 0.29% 0.91% 0.24%

Fixed Income 0.27% 0.88% 0.30% 0.56% 0.37% 0.21% 0.94% 0.30% 0.49% 0.23%

Commodity 0.80% 0.95% 0.80% 0.76% 0.83% 0.41% 0.95% 0.82% 0.64% 0.46%

Currency 0.45% 0.95% 0.75% 0.49% 0.59% 0.57% 0.95% 0.75% 0.48% 0.64%

Multi Asset 0.53% 0.69% 0.90% 0.73% 0.46% 0.77% 0.86% 0.55%

Alternative 1.88% 0.95% 0.79% 1.01% 1.13% 2.74% 0.95% 0.71% 0.96% 1.11%

All 0.45% 0.93% 0.48% 0.74% 0.54% 0.22% 0.94% 0.29% 0.56% 0.25%

Simple Average AUM-Weighted Average

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month

Figure 71: Selected TER averages for the top 15 Issuers by AUM

BetaSmart

BetaBeta Active Beta

Smart

BetaBeta Active

BlackRock 790,675 0.46% 0.30% 0.23% 0.32% 0.36% 0.30% 0.23% 0.21% 0.25% 0.27%

Vanguard 468,159 0.12% 0.15% 0.12% 0.13% 0.10% 0.10% 0.10% 0.10%

State Street 401,108 0.34% 0.30% 0.28% 0.48% 0.33% 0.14% 0.33% 0.28% 0.56% 0.19%

PowerShares 87,628 0.43% 0.51% 0.42% 0.51% 0.25% 0.45% 0.52% 0.39%

WisdomTree 43,405 0.46% 0.49% 0.33% 0.54% 0.50% 0.43% 0.52% 0.42% 0.55% 0.52%

Charles Schwab 39,107 0.09% 0.27% 0.08% 0.16% 0.07% 0.16% 0.00% 0.09%

First Trust 33,607 0.61% 0.69% 0.79% 0.71% 0.60% 0.62% 0.00% 0.64%

Guggenheim Inv. 25,549 0.63% 0.50% 0.39% 0.47% 0.54% 0.42% 0.28% 0.40%

ProShares 24,451 0.29% 0.47% 0.51% 0.50% 0.88% 0.32% 0.35% 0.48% 0.50% 0.89%

Van Eck Funds 20,669 0.63% 0.53% 0.35% 0.71% 0.53% 0.49% 0.34% 0.51%

Deutsche AWM 17,740 0.54% 0.43% 0.30% 0.50% 0.39% 0.43% 0.30% 0.39%

PIMCO 10,967 0.27% 0.51% 0.39% 0.37% 0.43% 0.41%

ALPS 8,993 0.56% 0.59% 0.22% 0.57% 0.84% 0.49% 0.22% 0.74%

DirexionShares 8,391 0.57% 0.85% 0.62% 0.93%

FlexShares 7,959 0.48% 0.46% 0.20% 0.25% 0.39% 0.48% 0.39% 0.20% 0.25% 0.36%

Equity Fixed IncomeAll

Simple Average AUM-Weighted Average

AllEquity Fixed IncomeAUM Feb

'16 $MMTop 15 Issuers


14 March 2016



ETF Statistics

Global ETF Assets and Provider Ranking

Figure 72: Historical Growth of Global ETP Assets*

'06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16*

Asia Pacific ($) 49 62 53 67 84 91 136 169 202 251 237

Europe ($) 91 132 145 244 309 297 368 416 459 507 487

US ($) 427 612 535 783 997 1,046 1,333 1,678 1,979 2,113 2,015

US, Europe & Asia Pacific ($) 567 804 733 1,094 1,390 1,435 1,838 2,262 2,640 2,872 2,739

Europe (€) 69 90 104 170 231 229 279 302 379 467 448

Number of ETPs** 737 1,213 1,666 2,041 2,580 3,124 3,492 3,711 4,019 4,420 4,480

0

500

1,000

1,500

2,000

2,500

3,000

3,500

4,000

4,500

5,000

0

500

1,000

1,500

2,000

2,500

3,000

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

Source: Deutsche Bank, Bloomberg Finance LP. *These figures don’t include the ETF markets in the Americas ex US and in the Middle East and Africa regions. Data as of the end of last month.

Figure 73: Top 10 Global ETP Provider Ranking and Summary Statistics

Rank IssuerCurrent

AUM

Mkt.

Share2015 AUM

2015 Mkt.

ShareNu.

Current

Month CF

Current

Month TOYTD CF

1 BlackRock 1,021,949 37.3% 1,071,580 37.3% 641 2,426 494,133 3,372

2 Vanguard 488,562 17.8% 504,808 17.6% 108 2,671 93,139 6,952

3 State Street 428,819 15.7% 443,216 15.4% 266 1,419 857,276 2,522

4 PowerShares 89,411 3.3% 99,777 3.5% 165 -2,063 108,793 -4,252

5 Deutsche AWM 77,857 2.8% 83,073 2.9% 269 -610 12,786 354

6 Nomura Asset Management 61,733 2.3% 63,783 2.2% 49 1,444 54,045 5,468

7 Lyxor 48,515 1.8% 51,862 1.8% 245 -47 15,888 315

8 WisdomTree 43,893 1.6% 52,387 1.8% 115 -1,942 16,912 -3,706

9 Charles Schwab 39,107 1.4% 39,712 1.4% 21 494 7,411 1,350

10 First Trust 33,728 1.2% 42,877 1.5% 104 -2,413 14,189 -5,380

Total Top 10 2,333,573 85.2% 2,453,076 85.4% 1,983 1,379 1,674,572 6,996Others 404,996 14.8% 418,466 14.6% 2,497 7,590 330,871 13,728

Global Total 2,738,570 100.0% 2,871,542 100.0% 4,480 8,969 2,005,443 20,724 Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.

14 March 2016



US Historical ETF trends

Figure 74: Annual ETP historical growth in AUM and # of

funds

Figure 75: Monthly ETF Volume $ growth vs. VIX and

ETF Volume

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

-

200

400

600

800

1,000

1,200

1,400

1,600

1,800

2,000

2,200

Nu

mb

er

of

ET

Ps

AU

M $

billio

n

Others

Fixed Income

Equity

# Funds

0%

10%

20%

30%

40%

50%

60%

70%

-

500

1,000

1,500

2,000

2,500

3,000

3,500

Jan

-05

Au

g-0

5

Mar-

06

Oct-

06

May-0

7

Dec-0

7

Ju

l-0

8

Feb

-09

Sep

-09

Ap

r-1

0

No

v-1

0

Ju

n-1

1

Jan

-12

Au

g-1

2

Mar-

13

Oct-

13

May-1

4

Dec-1

4

Ju

l-1

5

Feb

-16

ET

F t

rad

ing

as %

of

all U

S C

ash

Eq

uit

y

trad

ing

an

d V

IX L

evel (

en

d o

f m

on

th)

Mo

nth

ly E

TF T

urn

over

$b

illio

n

ETF Turnover ETF % Cash Eqty VIX

Source: Deutsche Bank, Bloomberg Finance LP. ETPs include ETFs and ETVs; ETVs represent about 2% of ETP assets and track mostly non-Equity and non-Fixed Income exposures. *YTD data as of the end of last month.

Source: Deutsche Bank, Bloomberg Finance LP. ETF Turnover excludes ETVs and ETNs. Data as of the end of last month.

Figure 76: Net Cash Flows and AUM historical

comparison between Mutual Funds and ETFs*

Figure 77: Net Cash Flows and AUM historical

comparison between Active and Passive mgmt style*

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

*

ET

F A

UM

as %

of

Mu

tual F

un

d A

UM

Net

Cash

Flo

ws $

billio

n

MF CF ETF CF ETF/MF % AUM

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

-400,000

-300,000

-200,000

-100,000

0

100,000

200,000

300,000

400,000

500,000

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

20

16

*

Passi

ve A

UM

as %

of

Acti

ve A

UM

Net

Cash

Flo

ws $

billio

n

Active MF+ETF Passive MF+ETF

Passive / Active %

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January 2016. Mutual Funds only include Long Term Mutual Funds.

Source: Deutsche Bank, ICI, Bloomberg Finance LP. *Data as of the end of January 2016. Mutual Funds only include Long Term Mutual Funds.

14 March 2016



ETF Issuer and Index Provider league tables

Figure 78: ETP Issuer league table (excludes ETN assets)

Top 50 Issuers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Feb '16

$MM

YTD

$MMFeb '16

$MM

Mkt

ShrFeb '16

YTD

New

BlackRock 790,675 39.2% 570,486 205,197 13,052 1,939 1,983 1,699 456,185 25.5% 328 3

Vanguard 468,159 23.2% 380,619 87,539 - - 2,682 6,909 90,681 5.1% 68 0

State Street 401,108 19.9% 331,028 38,893 30,851 336 1,245 1,881 852,216 47.6% 158 1

PowerShares 87,628 4.3% 66,850 15,222 3,674 1,883 (2,028) (4,259) 108,463 6.1% 143 0

WisdomTree 43,405 2.2% 41,816 613 207 768 (1,914) (3,729) 16,875 0.9% 93 5

Charles Schwab 39,107 1.9% 34,094 5,013 - - 494 1,350 7,411 0.4% 21 0

First Trust 33,607 1.7% 30,451 2,108 160 888 (2,412) (5,380) 14,170 0.8% 97 0

Guggenheim Inv. 25,549 1.3% 16,838 7,116 - 1,596 (448) (1,463) 6,893 0.4% 74 1

ProShares 24,451 1.2% 17,340 3,436 1,438 2,236 966 1,017 105,861 5.9% 152 2

Van Eck Funds 20,669 1.0% 14,641 5,855 99 74 (10) 54 51,647 2.9% 58 1

Deutsche AWM 17,740 0.9% 17,695 45 - - (281) (252) 4,722 0.3% 35 0

PIMCO 10,967 0.5% - 10,967 - - (400) 56 2,932 0.2% 14 0

ALPS 8,993 0.4% 8,453 538 - 2 227 146 3,470 0.2% 21 0

DirexionShares 8,391 0.4% 7,914 476 - - 124 266 51,031 2.9% 78 0

FlexShares 7,959 0.4% 5,518 2,441 - - 238 496 996 0.1% 22 0

US Commodity Funds 5,082 0.3% 5 - 5,077 - 468 1,381 11,079 0.6% 12 0

Fidelity Investments 3,496 0.2% 3,031 466 - - (40) (55) 948 0.1% 15 0

Global X Funds 2,758 0.1% 2,500 226 - 32 (103) (143) 573 0.0% 47 0

ETF Securities 1,977 0.1% 10 - 1,966 - 44 36 342 0.0% 10 0

ETC 1,839 0.1% 1,318 408 - 113 49 54 213 0.0% 17 0

IndexIQ Advisors 1,491 0.1% 237 - - 1,254 2 (33) 226 0.0% 17 0

Millington Securities 1,375 0.1% 856 - - 519 (14) (57) 71 0.0% 10 0

AdvisorShares Trust 1,097 0.1% 459 542 26 70 43 18 355 0.0% 21 0

Goldman Sachs 985 0.0% 985 - - - 95 169 217 0.0% 3 0

EGShares 789 0.0% 789 - - - (1) (46) 169 0.0% 9 0

ETFMG 714 0.0% 714 - - - (66) (161) 213 0.0% 8 0

Pacer Advisors 578 0.0% 578 - - - 34 82 103 0.0% 6 1

Compass EMP 370 0.0% 370 - - - (26) 18 95 0.0% 10 0

Etfis Capital 343 0.0% 138 177 - 29 23 27 84 0.0% 7 0

JPMorgan 301 0.0% 301 - - - 51 90 61 0.0% 5 0

Highland Capital 290 0.0% - 283 - 6 (19) (28) 42 0.0% 4 0

Cambria Funds 269 0.0% 222 2 - 45 (6) (23) 32 0.0% 7 1

Franklin Templeton 193 0.0% - 193 - - 5 5 110 0.0% 1 0

KraneShares 179 0.0% 160 19 - - (3) (22) 163 0.0% 5 0

John Hancock Inv. 100 0.0% 100 - - - - 0 4 0.0% 6 0

ArrowShares 98 0.0% 4 - - 94 (1) (11) 31 0.0% 3 0

O'Shares Investments 96 0.0% 96 - - - 28 49 58 0.0% 5 0

Teucrium Trading 94 0.0% - - 94 - (3) (3) 23 0.0% 5 0

Empowered Funds 80 0.0% 80 - - - (7) 1 17 0.0% 4 0

Lattice Strategies 73 0.0% 73 - - - 3 3 13 0.0% 4 0

QuantShares 69 0.0% - - - 69 1 43 25 0.0% 5 0

U.S. Global Investors 51 0.0% 51 - - - 0 0 20 0.0% 1 0

Recon Capital 49 0.0% 49 - - - 2 4 10 0.0% 3 0

Reality Shares 47 0.0% 42 - - 5 - 9 2 0.0% 4 3

Precidian 42 0.0% 42 - - - - - 16 0.0% 1 0

Innovator Mgmt 40 0.0% 40 - - - (5) (15) 20 0.0% 1 0

ARK Inv. Mgmt 36 0.0% 36 - - - - - 1 0.0% 4 0

Principal Financial Group 27 0.0% - - - 27 (2) (2) 4 0.0% 1 0

Calamos Investments 25 0.0% 25 - - - - - 0 0.0% 1 0

AlphaMark Advisors 23 0.0% 23 - - - (3) (7) 1 0.0% 1 0

Other 1,046 0.1% 1,010 33 - 3 (27) (83) 118 0.0% 34 2

Total 2,014,531 100% 1,558,088 387,809 56,646 11,988 993 97 1,789,012 100% 1,659 20

Net Cash FlowsAssets Under Management Feb '16 $MM # of FundsTurnover


14 March 2016



Figure 79: Index Provider league table (excludes ETN assets)

Turnover

Top 20 Index Providers TotalMkt

ShrEquity

Fixed

IncomeCmdty Other

Feb '16

$MM

YTD

$MMFeb '16

$MM

Mkt

ShrFeb '16

YTD

New

S&P Dow Jones 680,023 33.8% 647,701 27,635 1,701 2,986 (6,818) (11,997) 976,452 54.6% 383 -

MSCI 290,939 14.4% 290,939 - - - (1,262) (1,525) 169,446 9.5% 224 4

FTSE Russell 276,950 13.7% 276,228 694 - 28 (2,772) (6,695) 185,359 10.4% 138 -

Barclays 266,777 13.2% - 266,777 - - 7,800 19,713 88,415 4.9% 114 -

CRSP 141,757 7.0% 141,757 - - - 1,049 925 19,030 1.1% 13 -

Nasdaq OMX 73,673 3.7% 72,706 218 - 748 (1,396) (3,532) 137,692 7.7% 47 -

Commodity - Physical 49,953 2.5% - - 49,953 - 5,627 7,850 52,492 2.9% 21 -

Markit iBoxx 44,814 2.2% - 44,814 - - 2,423 2,175 34,043 1.9% 15 -

WisdomTree 41,838 2.1% 41,813 5 - 21 (1,823) (3,711) 16,503 0.9% 70 4

Active 23,493 1.2% 2,977 18,317 699 1,500 455 1,629 5,421 0.3% 132 4

NYSE Euronext 22,550 1.1% 22,077 473 - - (1,358) (2,599) 57,330 3.2% 39 -

Morningstar 13,734 0.7% 13,413 84 - 237 394 477 2,157 0.1% 26 -

BofA Merrill Lynch 10,058 0.5% 126 9,894 - 38 127 627 2,387 0.1% 24 -

Market Vectors 7,797 0.4% 7,625 97 - 74 (182) (315) 17,848 1.0% 35 -

Dorsey Wright 7,086 0.4% 7,086 - - - (828) (1,834) 2,502 0.1% 17 -

Deutsche Bank 7,055 0.4% - 2,661 3,418 976 (69) (314) 2,254 0.1% 15 -

Alerian 6,597 0.3% 6,597 - - - 178 186 3,062 0.2% 2 -

Accretive AM 6,434 0.3% - 6,434 - - 184 398 1,014 0.1% 18 -

J.P. Morgan 5,450 0.3% - 5,428 - 22 (109) (418) 2,652 0.1% 4 -

STOXX 3,949 0.2% 3,949 - - - (358) (398) 2,572 0.1% 6 -

Other 33,604 1.7% 23,093 4,280 874 5,358 (269) (547) 10,379 44.4% 316 8

Total 2,014,531 100% 1,558,088 387,809 56,646 11,988 993 97 1,789,012 100% 1,659 20

Assets Under Management Feb '16 $MM Net Cash Flows # of Funds


14 March 2016



Monthly Snapshot

Figure 80: ETP Summary Statistics by Asset Class

Asset ClassFeb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Equity (14,719) (30,532) 1,551,819 -16% 87% 1,558,088 -1% 77% 1,218 73% 15

Fixed Income 10,440 23,749 141,563 -4% 8% 387,809 3% 19% 287 17% 2

Commodities 5,884 8,362 59,228 56% 3% 56,646 19% 3% 53 3% -

Currency (264) (459) 3,098 -25% 0% 3,354 -8% 0% 25 2% -

Multi Asset (146) (777) 631 -51% 0% 5,013 -3% 0% 35 2% -

Alternative (205) (336) 32,673 -18% 2% 3,622 -4% 0% 41 2% 3

Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20

AUMTurnover Net Cash Flows # of Funds

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of the end of last month.

Figure 81: ETP Summary Statistics by Management Style (Active-Passive)

Passive-->ActiveFeb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Beta (366) 6,672 1,495,960 -14% 84% 1,524,852 0% 76% 692 42% 1

Beta+ 1,081 1,334 155,685 -8% 9% 30,627 3% 2% 195 12% -

Smart Beta (50) (9,422) 132,028 -13% 7% 435,374 0% 22% 637 38% 16

Active 325 1,422 5,340 0% 0% 23,678 1% 1% 135 8% 3

Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20

Turnover AUMNet Cash Flows # of Funds


Figure 82: ETP Summary Statistics by Product Type

Product TypeFeb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Asset Allocation (1,758) (5,866) 171,862 -11% 10% 664,616 -1% 33% 1,359 82% 20

Cash Management 2,138 9,402 244,343 -18% 14% 805,661 0% 40% 64 4% -

Pseudo Futures (470) (4,864) 1,217,122 -14% 68% 513,628 1% 25% 41 2% -

Leveraged & Inverse 1,081 1,334 155,685 -8% 9% 30,627 3% 2% 195 12% -

Total 991 7 1,789,012 -14% 100% 2,014,531 0% 100% 1,659 100% 20

Turnover AUMNet Cash Flows # of Funds


14 March 2016



Equity Breakdowns

Figure 83: ETP Summary Statistics by Geographic Focus – Global and Developed Market Equities

Geographic Focus

(Equities)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Global Markets Equities

Global (reg) (290) (714) 60,403 87% 4% 34,380 8% 2% 117 10% 1

Global ex US (reg) (531) (1,017) 5,542 -30% 0% 26,977 -4% 2% 30 2% -

Asia Pacific (reg) (1) (1) 1 34% 0% 19 -10% 0% 1 0% -

Asia Pacific ex JP (reg) (65) (283) 1,018 -33% 0% 2,516 -3% 0% 7 1% -

Total GME (888) (2,014) 66,964 60% 4% 63,893 2% 4% 155 13% 1

Developed Market Equities

Global (reg) (86) (35) 2,035 -9% 0% 9,884 -2% 1% 24 2% 1

Global ex US (reg) 977 3,020 53,555 -16% 3% 145,749 -1% 9% 89 7% 3

Global ex JP (reg) (9) (19) 51 176% 0% 252 -4% 0% 1 0% -

Europe & Middle East

Europe (reg) (475) (373) 8,294 -10% 1% 22,553 -4% 1% 31 3% -

Denmark (5) (5) 57 -22% 0% 77 -8% 0% 1 0% -

Norway (2) (0) 23 23% 0% 74 0% 0% 2 0% -

Sweden - (34) 111 -52% 0% 308 1% 0% 1 0% -

Switzerland (40) (5) 672 -35% 0% 1,270 -4% 0% 3 0% -

UK (112) (146) 1,318 -22% 0% 2,303 -6% 0% 8 1% -

Eurozone (Reg) (2,176) (2,379) 15,194 -12% 1% 32,957 -9% 2% 16 1% 2

Austria 6 6 21 -21% 0% 57 11% 0% 1 0% -

Belgium (14) (32) 92 -12% 0% 185 -10% 0% 1 0% -

Finland - - 8 -7% 0% 23 -5% 0% 1 0% -

France - - 584 -34% 0% 362 -1% 0% 1 0% -

Germany (833) (761) 4,450 -5% 0% 6,276 -14% 0% 8 1% -

Ireland (2) 8 48 -12% 0% 166 -2% 0% 1 0% -

Israel 13 21 34 -53% 0% 162 9% 0% 3 0% -

Italy (40) (143) 497 -35% 0% 793 -10% 0% 3 0% -

Netherlands 23 9 132 -13% 0% 165 15% 0% 1 0% -

Portugal (0) (1) 3 -45% 0% 23 -7% 0% 1 0% -

Spain (47) (254) 665 -46% 0% 992 -8% 0% 4 0% -

North America

North America (reg) 38 36 179 -25% 0% 1,717 9% 0% 4 0% -

Canada 267 235 1,362 9% 0% 2,039 20% 0% 6 0% -

US (8,098) (20,425) 1,260,514 -18% 81% 1,127,213 -1% 72% 610 50% 5

Asia Pacific

Pacific (reg) (2) 74 844 -39% 0% 3,465 -3% 0% 5 0% -

Japan (2,052) (2,340) 21,505 -8% 1% 30,934 -12% 2% 34 3% 2

Pacific ex JP (reg) (73) (73) 403 -4% 0% 1,736 -4% 0% 4 0% -

Australia 3 6 1,138 -20% 0% 1,227 -1% 0% 7 1% -

Hong Kong (415) (614) 1,943 -24% 0% 1,707 -20% 0% 2 0% -

New Zealand (2) (9) 30 -36% 0% 61 1% 0% 1 0% -

Singapore (32) (42) 316 -19% 0% 465 -3% 0% 1 0% -

Total DME (13,188) (24,274) 1,376,079 -18% 89% 1,395,192 -1% 90% 875 72% 13

Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15



14 March 2016



Figure 84: ETP Summary Statistics by Geographic Focus – Emerging Market Equities

Geographic Focus

(Equities)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Emerging Market Equities

Global (reg) (581) (2,798) 61,620 -9% 4% 69,305 -1% 4% 62 5% 1

BRIC (reg) (1) (16) 20 -44% 0% 282 -2% 0% 3 0% -

Asia

Asia (reg) (27) (44) 112 -11% 0% 627 -6% 0% 4 0% -

China (135) (198) 20,087 -21% 1% 7,814 -5% 1% 26 2% -

China A (21) (67) 1,065 -34% 0% 638 -5% 0% 12 1% -

India (49) (367) 2,961 -30% 0% 5,456 -9% 0% 10 1% -

Indonesia 128 114 406 41% 0% 502 43% 0% 3 0% -

Malaysia 15 15 351 -3% 0% 228 5% 0% 1 0% -

Philippines 16 (12) 185 16% 0% 229 8% 0% 1 0% -

South Korea (8) (68) 2,993 -18% 0% 3,099 -3% 0% 8 1% -

Taiwan (69) (494) 2,429 -24% 0% 2,229 1% 0% 3 0% -

Thailand 9 3 223 -7% 0% 236 8% 0% 1 0% -

Europe

Europe (reg) (2) (2) 6 2% 0% 34 -4% 0% 1 0% -

Poland 16 2 84 -16% 0% 170 15% 0% 2 0% -

Russia 22 (14) 4,568 -3% 0% 2,140 1% 0% 6 0% -

Turkey (15) (36) 254 20% 0% 281 -2% 0% 1 0% -

Greece 5 (3) 44 -15% 0% 203 -4% 0% 1 0% -

Middle East & Africa

ME & Africa (reg) (5) (5) 4 -65% 0% 24 -14% 0% 1 0% -

Middle East (reg) - (4) 1 -35% 0% 27 8% 0% 2 0% -

Africa (reg) (1) (4) 7 -59% 0% 52 1% 0% 1 0% -

Egypt - - 2 -2% 0% 23 0% 0% 1 0% -

South Africa 36 17 633 3% 0% 295 14% 0% 1 0% -

Qatar 2 2 7 35% 0% 44 13% 0% 1 0% -

UAE 2 2 7 108% 0% 28 19% 0% 1 0% -

Latin America

Latin America (reg) 10 (24) 233 46% 0% 565 4% 0% 7 1% -

Brazil 11 (71) 7,435 10% 0% 2,008 6% 0% 10 1% -

Chile 62 44 217 80% 0% 245 38% 0% 1 0% -

Colombia 4 4 19 -5% 0% 83 13% 0% 2 0% -

Mexico 2 (117) 2,338 -5% 0% 1,129 1% 0% 6 0% -

Peru - - 32 -4% 0% 114 12% 0% 1 0% -

Frontier Markets

Frontier (reg) (62) (86) 343 106% 0% 503 -8% 0% 3 0% -

Argentina 5 9 14 38% 0% 34 28% 0% 1 0% -

Nigeria - - 8 -52% 0% 17 -2% 0% 1 0% -

Pakistan - - 0 -55% 0% 5 1% 0% 1 0% -

Saudi Arabia - - 0 -80% 0% 4 4% 0% 1 0% -

Vietnam (13) (24) 68 -50% 0% 330 -4% 0% 1 0% -

Total EME (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1

Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15



14 March 2016



Figure 85: ETP Summary Statistics by Size and Market – Equities

Market Cap Segment

(Equities)

Feb '16

$MM

YTD

$MM

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

$MM

MoM

Chg %

Mkt

Shr

Feb '16

All

Mkt

Shr

YTD

New

US Equities

Large Cap (4,480) (8,567) 976,717 -18% 63% 586,532 -1% 38% 176 14% 2

Mid Cap (1,289) (3,297) 20,969 -38% 1% 97,754 0% 6% 43 4% -

Small Cap (1,863) (3,364) 111,190 -22% 7% 89,581 -2% 6% 76 6% 1

Broad (465) (5,196) 151,637 -15% 10% 353,346 0% 23% 315 26% 2

Total US Equities (8,098) (20,425) 1,260,514 -18% 81% 1,127,213 -1% 72% 610 50% 5

DM Intl Equities

Large Cap (432) (448) 2,880 -18% 0% 6,566 -8% 0% 23 2% 1

Mid Cap 4 11 60 -29% 0% 329 1% 0% 3 0% -

Small Cap (178) (14) 1,809 -29% 0% 9,754 -2% 1% 24 2% 1

Broad (4,485) (3,399) 110,817 -13% 7% 251,330 -4% 16% 215 18% 6

Total DM Intl Equities (5,090) (3,850) 115,565 -14% 7% 267,979 -4% 17% 265 22% 8

EM Equities

Large Cap (49) (98) 19,166 -21% 1% 5,919 -4% 0% 15 1% -

Mid Cap - - 0 -25% 0% 3 6% 0% 1 0% -

Small Cap (23) (54) 336 -24% 0% 1,687 -1% 0% 14 1% -

Broad (572) (4,092) 89,274 -9% 6% 91,394 -1% 6% 158 13% 1

Total EM Equities (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1

Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15



Figure 86: ETP Summary Statistics by Style and Market – Equities

Style

(Equities)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

US Equities

Growth (1,062) (4,030) 18,410 -26% 1% 101,029 -1% 6% 39 3% 2

Value 565 (869) 18,051 -29% 1% 89,453 1% 6% 41 3% -

Dividend 1,729 1,036 10,955 -11% 1% 81,167 4% 5% 48 4% 1

Blend (9,330) (16,561) 1,213,098 -18% 78% 855,563 -1% 55% 482 40% 2


DM Intl Equities

Growth (96) (96) 469 6% 0% 2,211 -6% 0% 1 0% -

Value (82) (64) 279 -42% 0% 2,460 -5% 0% 1 0% -

Dividend (1,817) (3,662) 14,821 -7% 1% 34,300 -10% 2% 45 4% 5

Blend (3,095) (27) 99,996 -15% 6% 229,007 -3% 15% 218 18% 3

Total DM Intl Equities (5,090) (3,850) 115,565 -14% 7% 267,979 -4% 17% 265 22% 8

EM Equities

Dividend (51) (114) 317 -43% 0% 2,448 1% 0% 12 1% 1

Blend (592) (4,129) 108,460 -11% 7% 96,555 -2% 6% 176 14% -

Total EM Equities (643) (4,243) 108,776 -11% 7% 99,003 -1% 6% 188 15% 1

Total Equities (14,719) (30,532) 1,551,819 -16% 100% 1,558,088 -1% 100% 1,218 100% 15



14 March 2016



Figure 87: ETP Summary Statistics by Sectors – US Equities

Sector

(US Equities)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Consumer Discretionary (521) (2,108) 23,743 -15% 2% 19,370 -2% 2% 23 4% -

Consumer Staples 291 993 18,298 4% 1% 16,933 2% 2% 13 2% -

Energy (150) 870 57,297 -8% 5% 27,557 -4% 2% 32 5% -

Financials (1,014) (3,501) 50,930 8% 4% 30,452 -6% 3% 39 6% -

Healthcare (2,983) (3,860) 47,960 -18% 4% 36,766 -10% 3% 36 6% -

Industrials 132 (155) 17,128 -1% 1% 10,813 5% 1% 15 2% -

Materials 118 91 8,975 6% 1% 4,054 11% 0% 12 2% -

Real Estate (615) 88 21,560 -25% 2% 40,348 -2% 4% 20 3% -

Technology (1,217) (3,743) 21,407 -14% 2% 31,307 -5% 3% 32 5% -

Telecom 113 115 581 -2% 0% 1,772 12% 0% 5 1% -

Utilities 2,435 3,367 24,119 76% 2% 12,458 27% 1% 9 1% -

Theme (501) (641) 1,671 -37% 0% 6,966 -7% 1% 38 6% 1

Overall (4,188) (11,938) 966,845 -22% 77% 888,415 0% 79% 336 55% 4




Commodity Breakdowns

Figure 88: ETP Summary Statistics by Sectors and Sub Sectors– Commodity

Sector

(Commodities)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

Mkt

Shr

YTD

New

Diversified Broad 86 89 906 -1% 2% 3,925 2% 7% 10 19% -

Agriculture (15) (35) 85 -27% 0% 715 -3% 1% 7 13% -

Energy 616 1,828 16,555 -10% 28% 6,106 2% 11% 15 28% -

Crude Oil 556 1,782 15,013 -12% 25% 5,483 5% 10% 7 13% -

Natural Gas 60 46 1,391 12% 2% 474 -17% 1% 4 8% -

Industrial Metals (7) (18) 31 42% 0% 100 -2% 0% 2 4% -

Precious Metals 5,204 6,499 41,651 126% 70% 45,800 25% 81% 19 36% -

Gold 5,162 6,610 39,092 133% 66% 39,771 28% 70% 9 17% -

Silver 29 (105) 2,386 55% 4% 5,145 5% 9% 5 9% -

Platinum 18 14 94 89% 0% 434 11% 1% 1 2% -

Palladium - (7) 21 -26% 0% 157 -1% 0% 1 2% -

Total Commodities 5,884 8,362 59,228 56% 100% 56,646 19% 100% 53 100% -



14 March 2016



Fixed Income Breakdowns

Figure 89: ETP Summary Statistics by Category – Fixed Income

Categories

(Fixed Income)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Broad 2,061 5,183 17,289 -19% 12% 113,761 2% 29% 44 15% 1

Convertible (129) (168) 672 -41% 0% 2,234 -5% 1% 3 1% -

Corporates 3,420 4,139 54,946 -2% 39% 115,916 3% 30% 89 31% -

EM debt (298) (715) 4,009 3% 3% 10,023 -2% 3% 24 8% 1

Inflation 457 718 2,960 7% 2% 23,751 3% 6% 17 6% -

International (50) 63 556 -49% 0% 3,085 1% 1% 13 5% -

Municipal 622 1,363 3,172 -12% 2% 20,623 3% 5% 36 13% -

Preferred 57 516 4,611 9% 3% 21,249 -1% 5% 9 3% -

Securitized 400 277 1,234 -46% 1% 10,839 4% 3% 9 3% -

Senior Loans (319) (467) 1,352 -3% 1% 4,934 -7% 1% 4 1% -

US Treasury 4,219 12,841 50,763 3% 36% 61,394 8% 16% 39 14% -

Total Fixed Income 10,440 23,749 141,563 -4% 100% 387,809 3% 100% 287 100% 2



Figure 90: ETP Summary Statistics by Credit Quality – Fixed Income

Credit Quality

(Fixed Income)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Investment Grade 9,304 21,939 95,570 -2% 68% 307,262 4% 79% 196 68% -

High Yield 1,283 1,575 36,744 -8% 26% 43,724 3% 11% 46 16% 1

Mixed (146) 235 9,249 -5% 7% 36,823 -1% 9% 45 16% 1




Figure 91: ETP Summary Statistics by Duration – Fixed Income

Duration

(Fixed Income)

Feb '16

$MM

YTD

$MMFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

$MM

MoM

Chg %

Mkt

ShrFeb '16

All

Mkt

Shr

YTD

New

Short 284 6,212 19,629 -23% 14% 101,310 0% 26% 70 24% -

Intermediate 4,620 7,524 48,944 -2% 35% 79,941 7% 21% 41 14% -

Long 1,733 3,666 34,289 15% 24% 22,073 9% 6% 29 10% -

Broad 3,495 5,702 37,427 -9% 26% 176,196 2% 45% 104 36% 2

Set Maturity 309 645 1,273 22% 1% 8,290 4% 2% 43 15% -




14 March 2016



Top 15 ETFs (includes ETNs)

Figure 92: Top 15 by 1M Total Return Gain (non-levered) Figure 93: Top 15 by 1M Total Return Loss (non-levered)

Ticker Name TERTotal

Return

LD iPath Dow Jones-UBS Lead Subindex Total Return

ETN

0.75% 41.5%

RING iShares MSCI Global Gold Miners ETF 0.39% 38.4%

SGDJ Sprott Junior Gold Miners ETF 0.57% 37.3%

SILJ PureFunds ISE Junior Silver ETF 0.69% 37.0%

SLVP iShares MSCI Global Silver Miners ETF 0.39% 36.5%

GDX Market Vectors Gold Miners ETF 0.52% 36.4%

GDXJ Market Vectors Junior Gold Miners ETF 0.54% 36.0%

GLDX Global X Gold Explorers ETF 0.65% 35.2%

PSAU PowerShares Global Gold and Precious Metals

Portfolio

0.75% 34.3%

SGDM Sprott Gold Miners ETF 0.57% 32.7%

JJT iPath Dow Jones-UBS Tin Subindex Total Return ETN 0.75% 31.6%

SIL Global X Silver Miners ETF 0.65% 29.3%

XME SPDR S&P Metals and Mining ETF 0.35% 20.0%

COPX Global X Copper Miners ETF 0.65% 19.1%

CNDA IQ Canada Small Cap ETF 0.69% 13.2%

Ticker Name TERTotal

Return

GAZ iPath Dow Jones-UBS Natural Gas Subindex Total

Return ETN

0.75% -32.0%

UNG United States Natural Gas Fund LP 1.11% -29.1%

GRN iPath Global Carbon ETN 0.75% -27.1%

FCG First Trust ISE-Revere Natural Gas Index Fund 0.60% -20.2%

DXJF WisdomTree Japan Hedged Financials Fund 0.43% -19.4%

UNL United States 12 Month Natural Gas Fund 0.75% -16.7%

PXE PowerShares Dynamic Energy Exploration &

Production Portfolio

0.65% -16.7%

SCIF Market Vectors India Small-Cap Index ETF 0.85% -16.0%

SCIN EGShares India Small Cap ETF 0.85% -14.4%

DXJC WisdomTree Japan Hedged Capital Goods Fund 0.43% -14.1%

DPU DB Commodity Index Long ETN 0.75% -14.0%

XOP SPDR S&P Oil & Gas Exploration & Production ETF 0.35% -13.7%

SMIN iShares MSCI India Small-Cap ETF 0.74% -13.5%

HGJP ProShares Hedged FTSE Japan ETF 0.23% -12.7%

DXJ WisdomTree Japan Hedged Equity Fund 0.48% -12.5% Source: Deutsche Bank, FactSet. Total Return corresponds to last month.


Figure 94: Top 15 by 1M Inflows Figure 95: Top 15 by 1M Outflows

Ticker Name TERInflows

$MM

GLD SPDR Gold Shares 0.40% 4,186

USMV iShares MSCI USA Minimum Volatility ETF 0.15% 1,862

TLT iShares 20+ Year Treasury Bond ETF 0.15% 1,250

LQD iShares iBoxx $ Investment Grade Corporate Bond

ETF

0.15% 1,194

FXU First Trust Utilities AlphaDEX Fund 0.70% 1,146

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 1,135

IEI iShares 3-7 Year Treasury Bond ETF 0.15% 992

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 963

IAU iShares Gold Trust 0.25% 887

EFAV iShares MSCI EAFE Minimum Volatility ETF 0.20% 708

VTI Vanguard Total Stock Market ETF 0.05% 692

VYM Vanguard High Dividend Yield ETF 0.09% 668

SH ProShares Short S&P500 0.90% 642

XLU Utilities Select Sector SPDR Fund 0.14% 638

IEF iShares 7-10 Year Treasury Bond ETF 0.15% 560

Ticker Name TEROutflows

$MM

SPY SPDR S&P 500 ETF 0.09% (3,779)

IWM iShares Russell 2000 ETF 0.20% (1,780)

FBT First Trust NYSE Arca Biotechnology Index Fund 0.60% (1,376)

DXJ WisdomTree Japan Hedged Equity Fund 0.48% (1,199)

IVV iShares Core S&P 500 ETF 0.07% (935)

EZU iShares MSCI Eurozone ETF 0.48% (915)

QQQ PowerShares QQQ 0.20% (889)

EWJ iShares MSCI Japan ETF 0.48% (835)

IJH iShares Core S&P Mid-Cap ETF 0.12% (714)

XLF Financial Select Sector SPDR Fund 0.14% (662)

XLV Health Care Select Sector SPDR Fund 0.14% (651)

VWO Vanguard FTSE Emerging Markets ETF 0.15% (639)

FDN First Trust Dow Jones Internet Index Fund 0.60% (636)

IYR iShares U.S. Real Estate ETF 0.43% (611)

HEDJ WisdomTree Europe Hedged Equity Fund 0.58% (539) Source: Deutsche Bank, Bloomberg Finance LP. Inflows correspond to last month.

Source: Deutsche Bank, Bloomberg Finance LP. Outflows correspond to last month.

Figure 96: Top 15 by AUM Figure 97: Top 15 by $ Volume traded last month

Ticker Name TERAUM

$MM

SPY SPDR S&P 500 ETF 0.09% 170,845

IVV iShares Core S&P 500 ETF 0.07% 65,706

EFA iShares MSCI EAFE ETF 0.33% 54,774

VTI Vanguard Total Stock Market ETF 0.05% 54,378

VOO Vanguard S&P 500 ETF 0.05% 40,244

QQQ PowerShares QQQ 0.20% 36,228

AGG iShares Core U.S. Aggregate Bond ETF 0.08% 32,911

VWO Vanguard FTSE Emerging Markets ETF 0.15% 30,923


BND Vanguard Total Bond Market ETF 0.08% 28,330

IWF iShares Russell 1000 Growth ETF 0.20% 28,197

VEA Vanguard FTSE Developed Markets ETF 0.10% 27,509

VNQ Vanguard REIT ETF 0.12% 26,990

LQD iShares iBoxx $ Investment Grade Corporate Bond

ETF

0.15% 25,072

IWD iShares Russell 1000 Value ETF 0.20% 24,412

Ticker Name TERVolume

$MM

SPY SPDR S&P 500 ETF 0.09% 554,936

QQQ PowerShares QQQ 0.20% 94,098

IWM iShares Russell 2000 ETF 0.20% 80,916

EEM iShares MSCI Emerging Markets ETF 0.69% 39,921

VXX iPath S&P 500 VIX Short-Term Futures ETN 0.89% 39,155


GDX Market Vectors Gold Miners ETF 0.52% 34,466

XLF Financial Select Sector SPDR Fund 0.14% 33,435

XLE Energy Select Sector SPDR Fund 0.14% 32,793

EFA iShares MSCI EAFE ETF 0.33% 32,039

TLT iShares 20+ Year Treasury Bond ETF 0.15% 28,738

UVXY ProShares Ultra VIX Short-Term Futures ETF 0.95% 25,204

DIA SPDR Dow Jones Industrial Average ETF 0.17% 25,145

HYG iShares iBoxx $ High Yield Corporate Bond ETF 0.50% 23,133

XLU Utilities Select Sector SPDR Fund 0.14% 20,070 Source: Deutsche Bank, Bloomberg Finance LP. AUM as of the end of last month.

Source: Deutsche Bank, Bloomberg Finance LP. Volume $ corresponds to total traded last month.

14 March 2016



Appendix A: ETN Snapshot

Figure 98: ETN Summary by Asset Class

Asset ClassFeb

2016

End of

2015%Chg

Feb

2016

Jan

2016YTD

YTD

Chg %

AUM

Feb

2016

Jan

2016%Chg

Feb

2016

End

of

2015

%Chg AUMTurn-

over

# of

ETNs

Equity 11,134 12,607 -11.7% 84 69 153 1.2% 3,589 5,052 -29.0% 57 55 3.6% 57.6% 4.5% 27.9%Fixed income 238 288 -17.3% (3) (4) (7) -2.3% 102 90 13.4% 19 19 0.0% 1.2% 0.1% 9.3%Commodity 4,938 5,262 -6.2% (364) 771 408 7.7% 19,003 16,524 15.0% 91 90 1.1% 25.5% 24.1% 44.6%Currency 75 73 2.5% (2) 4 2 2.9% 9 16 -47.9% 11 11 0.0% 0.4% 0.0% 5.4%Multi Asset 477 533 -10.4% (15) (14) (29) -5.4% 77 116 -33.5% 7 7 0.0% 2.5% 0.1% 3.4%Alternative 2,483 2,617 -5.1% (311) 182 (129) -4.9% 56,156 76,694 -26.8% 19 19 0.0% 12.8% 71.1% 9.3%Total 19,345 21,379 -9.5% (609) 1,008 399 1.9% 78,936 98,493 -19.9% 204 201 1.5% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


Figure 99: ETN Summary by Issuer

IssuerFeb

2016

End of

2015%Chg

Feb

2016

Jan

2016YTD

YTD

Chg %

AUM

Feb

2016

Jan

2016%Chg

Feb

2016

End

of

2015

%Chg AUMTurn-

over

# of

ETNs

Barclays Bank 5,469 6,507 -15.9% (260) (335) (594) -9.1% 40,351 50,618 -20.3% 81 81 0.0% 28.3% 51.1% 39.7%Credit Suisse 4,747 4,682 1.4% (384) 1,358 974 20.8% 34,541 42,523 -18.8% 26 26 0.0% 24.5% 43.8% 12.7%UBS 4,513 4,932 -8.5% 132 53 185 3.7% 1,127 1,183 -4.7% 48 45 6.7% 23.3% 1.4% 23.5%JPMorgan 2,980 3,446 -13.5% - - - 0.0% 2,387 3,668 -34.9% 1 1 0.0% 15.4% 3.0% 0.5%Deutsche Bank 844 941 -10.2% (69) (74) (144) -15.3% 431 385 12.0% 29 29 0.0% 4.4% 0.5% 14.2%Swedish Export CC 352 391 -9.9% (28) 10 (17) -4.5% 82 57 43.5% 7 7 0.0% 1.8% 0.1% 3.4%Citigroup 191 206 -7.3% - - - 0.0% 4 40 -91.0% 3 3 0.0% 1.0% 0.0% 1.5%Goldman Sachs 98 105 -6.5% - - - 0.0% 3 6 -45.4% 1 1 0.0% 0.5% 0.0% 0.5%Van Eck Funds 61 61 -0.1% - - - 0.0% 8 7 10.8% 4 4 0.0% 0.3% 0.0% 2.0%Morgan Stanley 41 51 -20.0% - - - 0.0% 1 3 -80.8% 1 1 0.0% 0.2% 0.0% 0.5%HSBC USA Inc 30 29 2.9% - - - 0.0% 0 0 47.3% 1 1 0.0% 0.2% 0.0% 0.5%RBC GAM 12 20 -39.8% (0) (4) (4) -22.8% 2 4 -52.5% 1 1 0.0% 0.1% 0.0% 0.5%Guggenheim 7 8 -9.3% - - - 0.0% 0 0 -57.9% 1 1 0.0% 0.0% 0.0% 0.5%Total 19,345 21,379 -9.5% (609) 1,008 399 1.9% 78,936 98,493 -19.9% 204 201 1.5% 100% 100% 100%

AUM ($ MM) Cash Flow ($ MM) Turnover ($ MM) # of ETNs Market Share %


14 March 2016



Appendix B: ETF List

Figure 100: Global and US Equities Reference list

5-Day $ 5-Day bps

Global Equities ACWI iShares MSCI ACWI ETF CM 28-Mar-08 0.33% 5,303 118 103 221 0.01 1.9

US Total Market VTI Vanguard Total Stock Market ETF CM 31-May-01 0.05% 55,938 365 2,347 2,712 0.01 1.2

S&P 500 (Large Cap) SPY SPDR S&P 500 ETF PF 29-Jan-93 0.09% 174,679 27,043 11,349 38,392 0.01 0.5

DJI DIA SPDR Dow Jones Industrial Average ETF PF 14-Jan-98 0.17% 11,908 1,192 1,314 2,506 0.02 1.0

NASDAQ-100 QQQ PowerShares QQQ PF 10-Mar-99 0.20% 37,437 4,651 6,275 10,927 0.01 1.0

Russell 1000 Growth IWF iShares Russell 1000 Growth ETF PF 22-May-00 0.20% 28,831 267 1,022 1,289 0.01 1.4

Russell 1000 Value IWD iShares Russell 1000 Value ETF PF 22-May-00 0.20% 25,224 249 6,474 6,723 0.01 1.4

S&P 400 (Mid Cap) MDY SPDR S&P MidCap 400 ETF PF 4-May-95 0.25% 14,242 438 981 1,419 0.05 2.0

Russell 2000 (SM Cap) IWM iShares Russell 2000 ETF PF 22-May-00 0.20% 23,904 3,993 260 4,253 0.01 1.0

Div. Growth VIG Vanguard Dividend Appreciation ETF CM 27-Apr-06 0.10% 19,570 112 428 540 0.02 2.2

Div. Yield DVY iShares Select Dividend ETF CM 7-Nov-03 0.39% 13,736 84 721 805 0.01 1.6

Div. Yield VYM Vanguard High Dividend Yield ETF CM 16-Nov-06 0.09% 12,376 81 861 943 0.02 3.0

Div. Yield & Growth SDY SPDR S&P Dividend ETF CM 15-Nov-05 0.35% 12,545 52 417 469 0.03 3.3

Cons. Discretionary XLY Consumer Discretionary Select Sector SPDR Fund PF 22-Dec-98 0.14% 10,268 709 2,976 3,685 0.01 1.4

Hotels, Rest & Leisure PEJ PowerShares Dynamic Leisure and Entertainment PortfolioAA 23-Jun-05 0.63% 179 2 9 12 0.06 15.9

Home Builders XHB SPDR S&P Homebuilders ETF PF 2-Feb-06 0.35% 1,520 110 183 293 0.01 3.3

Household Durables ITB iShares U.S. Home Construction ETF CM 5-May-06 0.43% 1,452 93 25 117 0.01 4.1

Media PBS PowerShares Dynamic Media Portfolio AA 23-Jun-05 0.63% 88 2 9 11 0.04 16.0

Retail XRT SPDR S&P Retail ETF PF 22-Jun-06 0.35% 612 188 147 334 0.01 2.5

Cons. Staples XLP Consumer Staples Select Sector SPDR Fund PF 22-Dec-98 0.14% 9,449 825 1,439 2,264 0.01 2.0

Food Products PBJ PowerShares Dynamic Food & Beverage Portfolio AA 23-Jun-05 0.63% 308 1 13 14 0.05 14.3

Energy XLE Energy Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,119 1,633 1,627 3,260 0.01 1.8

Energy Eq. & Serv. OIH Market Vectors Oil Services ETF PF 7-Feb-01 0.35% 977 158 411 569 0.01 4.2

Energy Eq. & Serv. XES SPDR S&P Oil & Gas Equipment & Services ETF AA 22-Jun-06 0.35% 169 6 58 64 0.02 14.7

Energy Eq. & Serv. IEZ iShares U.S. Oil Equipment & Services ETF AA 5-May-06 0.43% 219 3 63 66 0.04 12.5

Energy E&P XOP SPDR S&P Oil & Gas Exploration & Production ETF PF 22-Jun-06 0.35% 1,652 578 369 947 0.01 4.1

Energy E&P IEO iShares U.S. Oil & Gas Exploration & Production ETF AA 5-May-06 0.43% 330 10 724 734 0.04 9.6

MLPs AMLP Alerian MLP ETF CM 25-Aug-10 0.85% 6,838 150 171 322 0.01 10.0

Financials XLF Financial Select Sector SPDR Fund PF 22-Dec-98 0.14% 16,254 1,689 1,798 3,488 0.01 4.7

Large Banks KBWB PowerShares KBW Bank Portfolio AA 1-Nov-11 0.35% 440 39 765 804 0.03 9.5

Regional Banks KRE SPDR S&P Regional Banking ETF PF 22-Jun-06 0.35% 1,945 290 427 717 0.01 2.9

Capital Markets KCE SPDR S&P Capital Markets ETF AA 15-Nov-05 0.35% 47 1 79 80 0.04 11.9

Insurance KIE SPDR S&P Insurance ETF AA 15-Nov-05 0.35% 463 7 220 227 0.04 6.3

Healthcare XLV Health Care Select Sector SPDR Fund PF 22-Dec-98 0.14% 12,568 914 2,530 3,444 0.01 1.5

Biotech & Pharma IBB iShares Nasdaq Biotechnology ETF PF 5-Feb-01 0.48% 6,259 641 286 927 0.27 10.4

Large Biotech BBH Market Vectors Biotech ETF AA 23-Nov-99 0.35% 535 13 172 184 0.13 12.6

HC Eq. & Supplies IHI iShares U.S. Medical Devices ETF AA 5-May-06 0.43% 802 13 197 210 0.09 7.6

HC Providers & Serv IHF iShares U.S. Healthcare Providers ETF AA 5-May-06 0.43% 626 15 52 67 0.11 9.8

Large Pharma PPH Market Vectors Pharmaceutical ETF AA 1-Feb-00 0.35% 284 9 362 371 0.03 5.5

Industrials XLI Industrial Select Sector SPDR Fund PF 22-Dec-98 0.14% 6,495 746 2,094 2,840 0.01 1.9

Aerospace & Def ITA iShares U.S. Aerospace & Defense ETF AA 5-May-06 0.43% 625 9 93 102 0.09 8.1

Transportation IYT iShares Transportation Average ETF AA 10-Oct-03 0.43% 561 54 97 151 0.06 4.6

Materials XLB Materials Select Sector SPDR Fund PF 22-Dec-98 0.14% 2,113 374 699 1,074 0.01 2.4

Metals & Mining XME SPDR S&P Metals and Mining ETF PF 22-Jun-06 0.35% 396 59 39 98 0.01 6.3

Real Estate VNQ Vanguard REIT ETF CM 29-Sep-04 0.12% 27,858 316 435 751 0.01 1.4

Technology VGT Vanguard Information Technology ETF AA 30-Jan-04 0.10% 8,068 52 1,050 1,101 0.04 4.2

Comm. Equipment IGN iShares North American Tech-Multimedia Networking ETFAA 10-Jul-01 0.47% 63 6 68 74 0.04 10.4

Int. Software & Serv. FDN First Trust Dow Jones Internet Index Fund AA 23-Jun-06 0.60% 2,987 78 142 220 0.03 5.0

Semiconductors SMH Market Vectors Semiconductor ETF PF 5-May-00 0.35% 281 147 359 506 0.01 2.4

Software IGV iShares North American Tech-Software ETF AA 10-Jul-01 0.47% 732 34 328 362 0.06 5.9

Telecom VOX Vanguard Telecommunication Services ETF AA 29-Sep-04 0.10% 1,219 16 22 37 0.07 7.9

Utilities XLU Utilities Select Sector SPDR Fund PF 22-Dec-98 0.14% 7,836 1,022 859 1,881 0.01 2.2

Listing Date TERProduct

TypeAsset Class Ticker ETF Name AUM $M

20D ADV

$M

Implied

Liq. $M

Total

Liq. $M

Avg. Bid/Ask Spreads

Source: Deutsche Bank, Bloomberg Finance LP, FactSet. Data as of 4-Mar-16. Bid/Ask Spreads are provided only as reference, actual spreads are trade-specific. Product Type: Asset Allocation (AA), Cash Management (CM), Pseudo Futures (PF).

14 March 2016



Figure 101: International Equities Reference list

5-Day $ 5-Day bps

Intl DM EFA iShares MSCI EAFE ETF CM 14-Aug-01 0.33% 56,105 1,562 1,482 3,044 0.01 1.8

Canada EWC iShares MSCI Canada ETF CM 12-Mar-96 0.48% 2,016 68 601 669 0.01 4.6

Israel EIS iShares MSCI Israel Capped ETF AA 28-Mar-08 0.62% 119 2 4 6 0.25 55.0

Europe VGK Vanguard FTSE Europe ETF CM 3-Mar-05 0.12% 13,844 279 285 565 0.01 2.2

Denmark EDEN iShares MSCI Denmark Capped ETF AA 26-Jan-12 0.53% 80 3 11 14 0.10 18.4

Norway NORW Global X FTSE Norway 30 ETF AA 10-Nov-10 0.50% 57 1 11 12 0.03 34.7

Sweden EWD iShares MSCI Sweden ETF AA 12-Mar-96 0.48% 309 5 357 363 0.02 7.9

Switzerland EWL iShares MSCI Switzerland Capped ETF AA 12-Mar-96 0.48% 1,155 30 0 30 0.01 3.8

UK EWU iShares MSCI United Kingdom ETF CM 12-Mar-96 0.48% 2,113 63 1,893 1,955 0.01 6.7

Eurozone EZU iShares MSCI Eurozone ETF CM 25-Jul-00 0.48% 12,786 282 1,589 1,870 0.01 3.1

Austria EWO iShares MSCI Austria Capped ETF AA 12-Mar-96 0.48% 55 1 4 5 0.04 26.4

Belgium EWK iShares MSCI Belgium Capped ETF AA 12-Mar-96 0.48% 125 10 15 26 0.02 12.3

Finland EFNL iShares MSCI Finland Capped ETF AA 26-Jan-12 0.53% 23 0 7 8 0.09 28.9

France EWQ iShares MSCI France ETF AA 12-Mar-96 0.48% 366 29 1,081 1,110 0.01 4.4

Germany EWG iShares MSCI Germany ETF CM 12-Mar-96 0.48% 5,064 174 489 663 0.01 4.2

Ireland EIRL iShares MSCI Ireland Capped ETF AA 7-May-10 0.48% 165 2 10 12 0.18 48.0

Italy EWI iShares MSCI Italy Capped ETF CM 12-Mar-96 0.48% 789 24 370 393 0.01 8.8

Netherlands EWN iShares MSCI Netherlands ETF AA 12-Mar-96 0.48% 168 6 61 67 0.02 9.2

Portugal PGAL Global X FTSE Portugal 20 ETF AA 13-Nov-13 0.61% 23 0 1 1 0.07 80.4

Spain EWP iShares MSCI Spain Capped ETF CM 12-Mar-96 0.48% 952 31 129 160 0.01 4.0

Japan EWJ iShares MSCI Japan ETF CM 12-Mar-96 0.48% 17,978 575 1,315 1,890 0.01 9.0

Pacific ex JP EPP iShares MSCI Pacific ex Japan ETF AA 25-Oct-01 0.49% 1,809 17 411 428 0.01 3.8

Australia EWA iShares MSCI Australia ETF CM 12-Mar-96 0.48% 1,231 56 470 527 0.01 5.7

Hong Kong EWH iShares MSCI Hong Kong ETF CM 12-Mar-96 0.48% 1,765 98 127 224 0.01 5.5

New Zealand ENZL iShares MSCI New Zealand Capped ETF AA 2-Sep-10 0.48% 64 1 4 6 0.14 37.8

Singapore EWS iShares MSCI Singapore ETF CM 12-Mar-96 0.48% 476 15 91 106 0.01 10.3

EM EEM iShares MSCI Emerging Markets ETF PF 7-Apr-03 0.69% 19,021 2,032 319 2,351 0.01 3.3

Latin America ILF iShares Latin America 40 ETF AA 26-Oct-01 0.49% 554 11 45 55 0.02 8.8

Brazil EWZ iShares MSCI Brazil Capped ETF PF 10-Jul-00 0.62% 2,008 384 90 474 0.01 4.8

Chile ECH iShares MSCI Chile Capped ETF AA 16-Nov-07 0.62% 257 12 6 17 0.04 11.2

Colombia GXG Global X FTSE Colombia 20 ETF AA 9-Feb-09 0.68% 70 1 0 1 0.04 46.7

Mexico EWW iShares MSCI Mexico Capped ETF PF 12-Mar-96 0.48% 1,226 122 11 133 0.01 2.3

Peru EPU iShares MSCI Peru Capped ETF AA 22-Jun-09 0.62% 119 2 0 2 0.09 39.2

EM Asia EEMA iShares MSCI Emerging Markets Asia ETF AA 9-Feb-12 0.49% 114 1 342 343 0.20 41.6

China H FXI iShares China Large-Cap ETF PF 8-Oct-04 0.73% 4,680 905 197 1,103 0.01 3.3

China A ASHR Deutsche X-trackers Harvest CSI 300 China A-Shares ETFAA 6-Nov-13 0.80% 351 36 46 82 0.01 5.1

India INDA iShares MSCI India ETF AA 2-Feb-12 0.68% 3,154 49 104 153 0.01 4.2

Indonesia EIDO iShares MSCI Indonesia ETF AA 7-May-10 0.62% 422 19 0 19 0.01 5.6

Malaysia EWM iShares MSCI Malaysia ETF CM 12-Mar-96 0.48% 236 17 18 36 0.01 12.9

Philippines EPHE iShares MSCI Philippines ETF AA 29-Sep-10 0.62% 239 9 7 16 0.05 14.2

South Korea EWY iShares MSCI South Korea Capped ETF CM 9-May-00 0.62% 3,068 148 197 345 0.01 2.2

Taiwan EWT iShares MSCI Taiwan ETF PF 20-Jun-00 0.62% 2,263 123 114 238 0.01 7.7

Thailand THD iShares MSCI Thailand Capped ETF AA 28-Mar-08 0.62% 254 11 9 20 0.12 19.1

EM Europe GUR SPDR S&P Emerging Europe ETF AA 23-Mar-07 0.49% 34 0 0 1 0.15 65.0

Greece GREK Global X FTSE Greece 20 ETF AA 8-Dec-11 0.65% 212 2 0 2 0.02 37.6

Poland EPOL iShares MSCI Poland Capped ETF AA 26-May-10 0.62% 155 4 5 9 0.02 11.5

Russia RSX Market Vectors Russia ETF PF 26-Apr-07 0.63% 1,746 179 0 179 0.01 6.9

Turkey TUR iShares MSCI Turkey ETF AA 28-Mar-08 0.62% 285 12 7 19 0.06 14.7

Middle East MES Market Vectors Gulf States Index ETF AA 25-Jul-08 0.98% 8 0 0 0 0.62 294.1

Qatar QAT iShares MSCI Qatar Capped ETF AA 1-May-14 0.63% 44 0 8 9 0.36 192.2

UAE UAE iShares MSCI UAE Capped ETF AA 1-May-14 0.63% 28 0 3 4 0.36 226.0

Africa AFK Market Vectors Africa Index ETF AA 14-Jul-08 0.78% 54 0 4 4 0.22 127.3

Egypt EGPT Market Vectors Egypt Index ETF AA 18-Feb-10 0.98% 23 0 0 0 1.55 456.0

South Africa EZA iShares MSCI South Africa ETF AA 7-Feb-03 0.62% 309 33 123 156 0.08 17.2

Frontier Market FM iShares MSCI Frontier 100 ETF AA 13-Sep-12 0.79% 414 14 55 69 0.04 15.8

Argentina ARGT Global X MSCI Argentina ETF AA 3-Mar-11 0.75% 34 1 2 3 0.10 51.6

Nigeria NGE Global X MSCI Nigeria ETF AA 3-Apr-13 0.68% 17 0 0 1 0.09 148.6

Pakistan PAK Global X MSCI Pakistan ETF AA 23-Apr-15 0.88% 5 0 1 1 0.15 121.3

Vietnam VNM Market Vectors Vietnam ETF AA 14-Aug-09 0.76% 336 3 1 4 0.04 28.7

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 159 1 380 381 0.06 21.1



20D ADV

$M

Implied

Liq. $M

Total

Liq. $M



14 March 2016



Figure 102: Non-Equity Reference list

5-Day $ 5-Day bps

BRIC BKF iShares MSCI BRIC ETF AA 16-Nov-07 0.69% 159 1 380 381 0.06 21.1

Fixed Income (Broad) AGG iShares Core U.S. Aggregate Bond ETF CM 26-Sep-03 0.08% 33,084 294 n.a. n.a. 0.01 0.9

US Treasury GOVT iShares Core U.S. Treasury Bond ETF AA 16-Feb-12 0.15% 2,017 16 n.a. n.a. 0.02 5.9

Very Short SHV iShares Short Treasury Bond ETF CM 12-Jan-07 0.15% 4,609 144 n.a. n.a. 0.01 0.9

Short SHY iShares 1-3 Year Treasury Bond ETF CM 26-Jul-02 0.15% 12,709 149 n.a. n.a. 0.01 1.3

Intermediate IEI iShares 3-7 Year Treasury Bond ETF CM 12-Jan-07 0.15% 6,346 123 n.a. n.a. 0.03 2.1

Long TLT iShares 20+ Year Treasury Bond ETF PF 26-Jul-02 0.15% 9,566 1,441 n.a. n.a. 0.01 0.8

US Inflation TIP iShares TIPS Bond ETF CM 12-Apr-03 0.20% 15,591 119 n.a. n.a. 0.02 1.4

Municipal MUB iShares National AMT-Free Muni Bond ETF AA 9-Sep-07 0.25% 6,240 48 n.a. n.a. 0.03 2.4

Securitized MBB iShares MBS ETF AA 15-Mar-07 0.29% 7,753 42 n.a. n.a. 0.04 4.0

IG Corporates LQD iShares iBoxx $ Investment Grade Corporate Bond ETF CM 26-Jul-02 0.15% 24,728 493 n.a. n.a. 0.01 1.0

HY Corporates HYG iShares iBoxx $ High Yield Corporate Bond ETF PF 10-Apr-07 0.50% 16,110 1,217 n.a. n.a. 0.01 1.3

Floater FLOT iShares Floating Rate Bond ETF AA 17-Jun-11 0.20% 3,501 28 n.a. n.a. 0.01 2.7

Senior Loans BKLN PowerShares Senior Loan Portfolio CM 3-Mar-11 0.65% 3,578 56 n.a. n.a. 0.01 4.6

Preferred PFF iShares U.S. Preferred Stock ETF CM 30-Mar-07 0.47% 13,939 148 n.a. n.a. 0.01 2.7

Convertible CWB SPDR Barclays Convertible Securities ETF AA 16-Apr-09 0.40% 2,242 34 n.a. n.a. 0.02 5.7

Intl DM Debt BWX SPDR Barclays International Treasury Bond ETF AA 5-Oct-07 0.50% 1,588 10 n.a. n.a. 0.09 16.9

Intl Inflation WIP SPDR DB International Government Inflation-Protected Bond ETFAA 19-Mar-08 0.50% 547 2 n.a. n.a. 0.14 27.8

EM Gov Debt USD EMB iShares J.P. Morgan USD Emerging Markets Bond ETF CM 12-Dec-07 0.40% 4,722 153 n.a. n.a. 0.03 2.6

EM Gov Debt Local EMLC Market Vectors Emerging Markets Local Currency Bond ETFAA 23-Jul-10 0.47% 1,151 11 n.a. n.a. 0.02 11.8

EM Corp USD EMCB WisdomTree Emerging Markets Corporate Bond Fund AA 8-Mar-12 0.60% 59 1 n.a. n.a. 0.54 83.0

EM HY Corp USD HYEM Market Vectors Emerging Markets High Yield Bond ETF AA 9-May-12 0.40% 226 5 n.a. n.a. 0.05 21.9

Commodities DBC PowerShares DB Commodity Index Tracking Fund CM 3-Feb-06 0.85% 1,876 29 n.a. n.a. 0.01 8.0

Energy Cmdty DBE PowerShares DB Energy Fund AA 5-Jan-07 0.75% 75 0 n.a. n.a. 0.03 28.5

Crude Oil WTI USO United States Oil Fund LP PF 3-Apr-06 0.45% 3,909 474 n.a. n.a. 0.01 11.2

Natural Gas UNG United States Natural Gas Fund LP PF 18-Apr-07 1.11% 432 70 n.a. n.a. 0.01 16.3

Agriculture DBA PowerShares DB Agriculture Fund CM 5-Jan-07 0.85% 616 3 n.a. n.a. 0.01 7.3

Industrial Metals DBB PowerShares DB Base Metals Fund AA 5-Jan-07 0.75% 100 1 n.a. n.a. 0.02 12.4

Precious Metals DBP PowerShares DB Precious Metals Fund AA 5-Jan-07 0.75% 156 3 n.a. n.a. 0.09 24.8

Gold Physical GLD SPDR Gold Shares PF 18-Nov-04 0.40% 31,408 1,862 n.a. n.a. 0.01 0.9

Silver Physical SLV iShares Silver Trust PF 27-Apr-06 0.50% 4,659 125 n.a. n.a. 0.01 7.1

Platinum Physical PPLT ETFS Physical Platinum Shares AA 8-Jan-10 0.60% 440 5 n.a. n.a. 0.14 16.1

Palladium Physical PALL ETFS Physical Palladium Shares AA 8-Jan-10 0.60% 164 2 n.a. n.a. 0.18 38.2

Bull USD UUP PowerShares DB US Dollar Index Bullish Fund CM 20-Feb-07 0.80% 831 32 n.a. n.a. 0.01 3.9

JPYUSD FXY CurrencyShares Japanese Yen Trust PF 13-Feb-07 0.40% 264 22 n.a. n.a. 0.03 3.0

EURUSD FXE CurrencyShares Euro Currency Trust PF 12-Dec-05 0.40% 259 54 n.a. n.a. 0.01 1.3



20D ADV

$M

Implied

Liq. $M

Total

Liq. $M



14 March 2016



Appendix C: Definitions

ETP Universe Definitions

Exchange-Traded Products (ETPs)

We define an exchange-traded product (ETP) as a secure (funded or

collateralized) open-ended exchange-traded equity with no embedded

optionality and market-wide appeal to investors. This includes exchange traded

funds (ETF), and exchange-traded vehicles (ETV). The vast majority of

instruments are ETFs (~98% in AUM).

Exchange-Traded Funds (ETFs)

ETFs are open-ended funds which are listed on an exchange and offer intra-

day dual liquidity to access diversified investments in a transparent, cheap, and

tax efficient way. ETFs indexed to equity and fixed income benchmarks are

registered under the investment company act of 1940. Only physical index

replication techniques are permissible by this legislation while synthetic

replication is not allowed.

Exchange-traded vehicles (ETVs)

This terminology typically refers to grantor trusts that exist in the US market.

These instruments track primarily commodity benchmarks. They differ from

ETFs in that they are registered under the Securities Act of 1933 and not the

Investment Company Act of 1940, hence they are not classed as funds.

Vehicles that replicate commodity benchmarks, more often known as pools,

and funds targeting alternative index returns are formed under the

Commodities Exchange Act and are listed under the 33 Securities Act, and

report under 34 Corporate Act.

Management Style or Product Strategy Definitions

Beta

This is the main group with the largest number of products and assets. Within

this category we account for all those ETFs that track an index which employs

a market capitalization weighting methodology, and a simple selection

methodology usually involving screenings such as minimum market cap and

liquidity levels, or profitability levels. ETFs in this group are also referred to as

“plain-vanilla” ETFs. Some examples of indices falling within this category are:

S&P 500, S&P 400, S&P 600, MSCI EAFE, MSCI EM, Russell 2000, and Russell

1000, to name a few.

Beta+

In this group we include every product that offers any level of leverage or

inverse implementation. For example, an ETF offering access to twice the daily

returns of the S&P 500 on either direction (long or short) would be classified

under this category.

Active

Classifying products in this group is still easy; basically if the ETF doesn’t track

any index then we classify the fund as active.

14 March 2016



Enhanced Beta (aka Smart Beta)

This category is reserved for those ETFs that also track an index, but which

follow more elaborated strategies. After defining an index universe, there are

two main levers that determine most of the risk/return profile of the index: (1)

the selection criteria, and (2) the weighting criteria. In their selection process,

enhanced beta ETFs usually employ additional screening processes and

scoring systems involving multiple factors beyond just minimum market cap

and liquidity levels. For example, they could include growth or value scores,

dividends paid or dividend yield, earnings, volatility, or momentum screens, to

name a few. The weighting methodology of enhanced beta ETFs is usually

anything but market cap weighted, it can include simple equal weighting or

variations of it, optimized weights, and other metric-specific weights such as

those based on dividends paid, inverse volatility, dividend yield, fundamental

multi factor scores, earnings, and revenues, to name a few. An enhanced beta

ETF will either have a non-traditional selection methodology, a non-traditional

weighting methodology, or a combination of both.

Product Type Definitions

Asset Allocation ETFs

This group covers all ETFs with exception of levered and inverse products.

These are usually good products for market access strategies, portfolio

completion, and core positions. They are also efficient building blocks for multi

asset strategies. When selecting these products, major emphasis should be set

on the desired exposure, tracking efficiency, primary liquidity (i.e. the liquidity

of the underlying basket), and cost.

Cash Management ETFs

This group covers a more selected group of ETFs which in addition to being

good asset allocation tools, also serves a series of cash management portfolio

needs. For example, these products are very good for equitizing cash between

transitions, around reporting periods (window dressing), and during tax loss

harvesting. These ETFs usually have good liquidity, large fund size, and low

cost, all of which makes it easier to execute sizeable short-term transactions,

therefore secondary market liquidity and fund size tend to be a more relevant

factor compared to asset allocation ETFs. The most popular asset allocation

usage of these funds is as core building blocks.

Pseudo Futures ETFs

This group covers an even more selected sample of ETFs which in addition to

being good asset allocation and cash management tools can also be used for

fulfilling risk management functions such as risk hedging, portable alpha

strategies, or tactical shorts. Many times they also trade at a cheaper level

than their underlying basket, and offer large amounts of liquidity which can

make them attractive for market making activities as well. Secondary and short

liquidity (ease to borrow), and fund size tend to be more relevant

characteristics at the moment of selecting this type of ETFs. There is usually no

more than one pseudo futures ETF per asset class. The most popular asset

allocation usage of these funds is among portfolios that require more liquidity

given their size or more tactical nature.

14 March 2016



Figure 103: Selection criteria depending on intended ETF usage

Criteria Measured by Source Pseudo Futures Cash Mgmt Asset Allocation

Secondary Liquidity (quantity) Avg. Daily Value traded in $ FactSet More Relevant More Relevant Less Relevant

Secondary Liquidity (cost) Avg. Bid/Ask Spreads Bloomberg Finance LP More Relevant More Relevant Less Relevant

Primary Liquidity Implied liquidity of basket Bloomberg Finance LP Less Relevant Less Relevant More Relevant

Short Liquidity (quantity) Short Interest/ Shrs. Out. % Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Short Liquidity (cost) Avg. Borrow Rate Deutsche Bank More Relevant Less Relevant Less Relevant

Size AUM $ Bloomberg Finance LP More Relevant More Relevant Less Relevant

Ownership:

Brokers+Hedge Funds Ownership % FactSet More Relevant Relevant Less Relevant

Mutual Funds+Pension Funds Ownership % FactSet Relevant More Relevant Relevant

Invest. Adviser+Private Bank/WM+Retail Ownership % FactSet Less Relevant Less Relevant More Relevant

Flow Activity Abs(Daily Flows Median) $ Bloomberg Finance LP More Relevant Less Relevant Less Relevant

Cost Total Expense Ratio ETF Issuer Less Relevant Relevant More Relevant

Exposure/Benchmark Investor's objective Investor Relevant Relevant More Relevant

Tracking efficiency to Index NAV-Index Performance dif. Bloomberg Finance LP Less Relevant Relevant More Relevant

Tracking efficiency to NAV Price-NAV premium/discounts Bloomberg Finance LP Less Relevant Relevant More Relevant

Product Provider Assets, products, years Combination of above Less Relevant Less Relevant Relevant Source: Deutsche Bank

14 March 2016



The authors of this report wish to acknowledge the contribution made by

Alfonso Delgado Valdivia, employee of Evalueserve, a third-party provider of

offshore research support services to Deutsche Bank.

14 March 2016



Appendix 1

Important Disclosures

Additional information available upon request

*Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors . Other information is sourced from Deutsche Bank, subject companies, and other sources. 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(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Sebastian Mercado

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.

Newly issued research recommendations and target prices supersede previously published research.

49 % 49 %

3 %

52 %41 %

38 %0

50100150200250300350400450500

Buy Hold Sell

North American Universe

Companies Covered Cos. w/ Banking Relationship

http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

14 March 2016



Regulatory Disclosures

1.Additional Information

Information on ETFs is provided strictly for illustrative purposes and should not be deemed an offer to sell or a

solicitation of an offer to buy shares of any fund that is described in this document. Consider carefully any fund's

investment objectives, risk factors, and charges and expenses before investing. This and other information can be found

in the fund's prospectus. Prospectuses about db X-trackers funds and Powershares DB funds can be obtained by calling

1-877-369-4617 or by visiting www.DBXUS.com. Read prospectuses carefully before investing. Past performance is not

necessarily indicative of future results. Investing involves risk, including possible loss of principal. To better understand

the similarities and differences between investments, including investment objectives, risks, fees and expenses, it is

important to read the products' prospectuses. Shares of ETFs may be sold throughout the day on an exchange through

any brokerage account. However, shares may only be redeemed directly from an ETF by authorized participants, in very

large creation/redemption units. Transactions in shares of ETFs will result in brokerage commissions and will generate

tax consequences. ETFs are obliged to distribute portfolio gains to shareholders. Deutsche Bank may be an issuer,

advisor, manager, distributor or administrator of, or provide other services to, an ETF included in this report, for which it

receives compensation. db X-trackers and Powershares DB funds are distributed by ALPS Distributors, Inc. The opinions

expressed are those of the authors and do not necessarily reflect the views of DB, ALPS or their affiliates.

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.

http://www.dbxus.com/

http://gm.db.com/

14 March 2016



Additional Information

The information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively

"Deutsche Bank"). Though the information herein is believed to be reliable and has been obtained from public sources

believed to be reliable, Deutsche Bank makes no representation as to its accuracy or completeness.

If you use the services of Deutsche Bank in connection with a purchase or sale of a security that is discussed in this

report, or is included or discussed in another communication (oral or written) from a Deutsche Bank analyst, Deutsche

Bank may act as principal for its own account or as agent for another person.

Deutsche Bank may consider this report in deciding to trade as principal. It may also engage in transactions, for its own

account or with customers, in a manner inconsistent with the views taken in this research report. Others within

Deutsche Bank, including strategists, sales staff and other analysts, may take views that are inconsistent with those

taken in this research report. Deutsche Bank issues a variety of research products, including fundamental analysis,

equity-linked analysis, quantitative analysis and trade ideas. Recommendations contained in one type of communication

may differ from recommendations contained in others, whether as a result of differing time horizons, methodologies or

otherwise. Deutsche Bank and/or its affiliates may also be holding debt securities of the issuers it writes on.

Analysts are paid in part based on the profitability of Deutsche Bank AG and its affiliates, which includes investment

banking revenues.

Opinions, estimates and projections constitute the current judgment of the author as of the date of this report. They do

not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no

obligation to update, modify or amend this report or to otherwise notify a recipient thereof if any opinion, forecast or

estimate contained herein changes or subsequently becomes inaccurate. This report is provided for informational

purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any

particular trading strategy. Target prices are inherently imprecise and a product of the analyst’s judgment. The financial

instruments discussed in this report may not be suitable for all investors and investors must make their own informed

investment decisions. Prices and availability of financial instruments are subject to change without notice and

investment transactions can lead to losses as a result of price fluctuations and other factors. If a financial instrument is

denominated in a currency other than an investor's currency, a change in exchange rates may adversely affect the

investment. Past performance is not necessarily indicative of future results. Unless otherwise indicated, prices are

current as of the end of the previous trading session, and are sourced from local exchanges via Reuters, Bloomberg and

other vendors. Data is sourced from Deutsche Bank, subject companies, and in some cases, other parties.

Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise

to pay fixed or variable interest rates. For an investor who is long fixed rate instruments (thus receiving these cash

flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a

loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the

loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse

macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation

(including changes in assets holding limits for different types of investors), changes in tax policies, currency

convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and

settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed

income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to

FX depreciation, or to specified interest rates – these are common in emerging markets. It is important to note that the

index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended

to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon

rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is

also important to acknowledge that funding in a currency that differs from the currency in which coupons are

denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options in addition to

the risks related to rates movements.

14 March 2016



Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk.

The appropriateness or otherwise of these products for use by investors is dependent on the investors' own

circumstances including their tax position, their regulatory environment and the nature of their other assets and

liabilities, and as such, investors should take expert legal and financial advice before entering into any transaction similar

to or inspired by the contents of this publication. The risk of loss in futures trading and options, foreign or domestic, can

be substantial. As a result of the high degree of leverage obtainable in futures and options trading, losses may be

incurred that are greater than the amount of funds initially deposited. Trading in options involves risk and is not suitable

for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized

Options”, at http://www.optionsclearing.com/about/publications/character-risks.jsp. If you are unable to access the

website please contact your Deutsche Bank representative for a copy of this important document.

Participants in foreign exchange transactions may incur risks arising from several factors, including the following: ( i)

exchange rates can be volatile and are subject to large fluctuations; ( ii) the value of currencies may be affected by

numerous market factors, including world and national economic, political and regulatory events, events in equity and

debt markets and changes in interest rates; and (iii) currencies may be subject to devaluation or government imposed

exchange controls which could affect the value of the currency. Investors in securities such as ADRs, whose values are

affected by the currency of an underlying security, effectively assume currency risk.

Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the

investor's home jurisdiction.

United States: Approved and/or distributed by Deutsche Bank Securities Incorporated, a member of FINRA, NFA and

SIPC. Analysts employed by non-US affiliates may not be associated persons of Deutsche Bank Securities Incorporated

and therefore not subject to FINRA regulations concerning communications with subject companies, public appearances

and securities held by analysts.

Germany: Approved and/or distributed by Deutsche Bank AG, a joint stock corporation with limited liability incorporated

in the Federal Republic of Germany with its principal office in Frankfurt am Main. Deutsche Bank AG is authorized under

German Banking Law and is subject to supervision by the European Central Bank and by BaFin, Germany’s Federal

Financial Supervisory Authority.

United Kingdom: Approved and/or distributed by Deutsche Bank AG acting through its London Branch at Winchester

House, 1 Great Winchester Street, London EC2N 2DB. Deutsche Bank AG in the United Kingdom is authorised by the

Prudential Regulation Authority and is subject to limited regulation by the Prudential Regulation Authority and Financial

Conduct Authority. Details about the extent of our authorisation and regulation are available on request.

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India: Prepared by Deutsche Equities Private Ltd, which is registered by the Securities and Exchange Board of India

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multiplying the transaction amount by the commission rate agreed with each customer. Stock transactions can lead to

losses as a result of share price fluctuations and other factors. Transactions in foreign stocks can lead to additional

losses stemming from foreign exchange fluctuations. We may also charge commissions and fees for certain categories

of investment advice, products and services. Recommended investment strategies, products and services carry the risk

of losses to principal and other losses as a result of changes in market and/or economic trends, and/or fluctuations in

market value. Before deciding on the purchase of financial products and/or services, customers should carefully read the

relevant disclosures, prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in

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Group's analysts with the coverage companies specified by DSI. Some of the foreign securities stated on this report are

http://www.optionsclearing.com/about/publications/character-risks.jsp

14 March 2016



not disclosed according to the Financial Instruments and Exchange Law of Japan.

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Taipei Branch may not execute transactions for clients in these securities/instruments.

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Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall

within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower,

West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related

financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre

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District, P.O. Box 301809, Faisaliah Tower - 17th Floor, 11372 Riyadh, Saudi Arabia.

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by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services

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Additional information relative to securities, other financial products or issuers discussed in this report is available upon

request. This report may not be reproduced, distributed or published without Deutsche Bank's prior written consent.

Copyright © 2016 Deutsche Bank AG

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David Folkerts-Landau Chief Economist and Global Head of Research

Raj Hindocha Global Chief Operating Officer

Research

Marcel Cassard Global Head

FICC Research & Global Macro Economics

Steve Pollard Global Head

Equity Research

Michael Spencer Regional Head

Asia Pacific Research

Ralf Hoffmann Regional Head

Deutsche Bank Research, Germany

Andreas Neubauer Regional Head

Equity Research, Germany

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